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Directional Changes: A New Way to Look at Price Dynamics

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Computational Intelligence, Communications, and Business Analytics (CICBA 2017)

Part of the book series: Communications in Computer and Information Science ((CCIS,volume 775))

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.

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References

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Acknowledgements

This is an overview of a large project, which has benefited from input by Richard Olsen, Alex Dupuis, Anton Golub, Raju Chinthalapati, Antoaneta Serguieva, Han Ao, Amer Bakhach, Ran Tao, Shuai Ma, James Chen, Shengnan Li, Wing Lon Ng, Hamid Jalalian, Sara Lupino Lane and students from University of Essex.

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Authors and Affiliations

  1. Centre for Computational Finance and Economic Agents (CCFEA), University of Essex, Colchester, CO4 3SQ, UK

    Edward P. K. Tsang

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  1. Edward P. K. Tsang
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Correspondence to Edward P. K. Tsang .

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Editors and Affiliations

  1. Department of Computer Science and Engineering, University of Kalyani, Kalyani, West Bengal, India

    J. K. Mandal

  2. Department of Computer and System Sciences, Visva Bharati University, Bolpur Santiniketan, West Bengal, India

    Paramartha Dutta

  3. Department of Information Technology, Calcutta Business School, Kolkata, India

    Somnath Mukhopadhyay

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Tsang, E.P.K. (2017). Directional Changes: A New Way to Look at Price Dynamics. In: Mandal, J., Dutta, P., Mukhopadhyay, S. (eds) Computational Intelligence, Communications, and Business Analytics. CICBA 2017. Communications in Computer and Information Science, vol 775. Springer, Singapore. https://doi.org/10.1007/978-981-10-6427-2_4

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  • DOI: https://doi.org/10.1007/978-981-10-6427-2_4

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  • Publisher Name: Springer, Singapore

  • Print ISBN: 978-981-10-6426-5

  • Online ISBN: 978-981-10-6427-2

  • eBook Packages: Computer ScienceComputer Science (R0)

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