Tsang, EPK (2017) Directional Changes: A New Way to Look at Price Dynamics. In: Computational Intelligence, Communications, and Business Analytics. CICBA 2017., 2017-03-24 - 2017-03-25, Kolkata, India.
Tsang, EPK (2017) Directional Changes: A New Way to Look at Price Dynamics. In: Computational Intelligence, Communications, and Business Analytics. CICBA 2017., 2017-03-24 - 2017-03-25, Kolkata, India.
Tsang, EPK (2017) Directional Changes: A New Way to Look at Price Dynamics. In: Computational Intelligence, Communications, and Business Analytics. CICBA 2017., 2017-03-24 - 2017-03-25, Kolkata, India.
Abstract
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 Faculty of Science and Health > Computer Science and Electronic Engineering, School of |
| SWORD Depositor: | Unnamed user with email elements@essex.ac.uk |
| Depositing User: | Unnamed user with email elements@essex.ac.uk |
| Date Deposited: | 20 Oct 2017 13:06 |
| Last Modified: | 16 May 2024 19:05 |
| URI: | http://repository.essex.ac.uk/id/eprint/20536 |