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Title:A directional-change events approach for studying financial time series PDF Logo
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:http://creativecommons.org/licenses/by-nc/2.0/de/deed.en
Document Type:Working Paper
Appears in Collections:Economics: The Open-Access, Open-Assessment E-Journal - Discussion Papers

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