|
EconStor >
Institut für Weltwirtschaft (IfW), Kiel >
Economics: The Open-Access, Open-Assessment E-Journal - Discussion Papers >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/48828
|
| | |
| Title: | | A directional-change events approach for studying financial time series  |
| Authors: | | Aloud, Monira Tsang, Edward Olsen, Richard Dupuis, Alexandre |
| Issue Date: | | 2011 |
| Series/Report no.: | | Economics Discussion Papers 2011-28 |
| Abstract: | | Financial markets witness high levels of activity at certain times, but remain calm at others. This makes the flow of physical time discontinuous. Therefore using physical time scales for studying financial time series, runs the risk of missing important activities. An alternative approach is the use of an event-based time that captures periodic activities in the market. In this paper, we use a special type of event, called a directional-change event, and show its usefulness in capturing periodic market activities. Our study confirms that the length of the price curve coastline as defined by directional-change events, turns out to be a long one. |
| Subjects: | | Directional-change event intrinsic time high-frequency finance foreign exchange market time-series analysis |
| JEL: | | G10 |
| Creative Commons License: | |  |
| Document Type: | | Working Paper |
| Appears in Collections: | | Economics: The Open-Access, Open-Assessment E-Journal - Discussion Papers
|
| |
| | |
Download bibliographical data as:
BibTeX
|
| |
Share on:http://hdl.handle.net/10419/48828
|
Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.
|