Tsang, EPK (2017) Directional changes: A new way to look at price dynamics. In: UNSPECIFIED, ? - ?.

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Abstract

© Springer Nature Singapore Pte Ltd 2017. Prices in financial markets are normally summarized by time series, where transaction prices are sampled at fixed time intervals. Directional change is an alternative way of sampling data: transaction price is sampled when a significant change in the price is recorded. In this paper, we explain how directional changes can provide a valuable alternative perspective to price movements. We also describe the frontier of directional change research, which include forecasting, algorithmic trading and market tracking.

Item Type:	Conference or Workshop Item (Paper)
Additional Information:	Published proceedings: Communications in Computer and Information Science
Subjects:	H Social Sciences > HG Finance Q Science > QA Mathematics > QA75 Electronic computers. Computer science
Divisions:	Faculty of Science and Health > Computer Science and Electronic Engineering, School of
Depositing User:	Elements
Date Deposited:	20 Oct 2017 13:06
Last Modified:	04 Feb 2019 16:15
URI:	http://repository.essex.ac.uk/id/eprint/20536

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