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Title:A directional-change event approach for studying financial time series PDF Logo
Authors:Aloud, Monira
Tsang, Edward
Olsen, Richard
Dupuis, Alexandre
Issue Date:2012
Citation:[Journal:] Economics: The Open-Access, Open-Assessment E-Journal [Volume:] 6 [Issue:] 2012-36 [Pages:] 1-17
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, to use physical time scales for studying financial time series runs the risk of missing important activities. An alternative approach is to use an event-based time scale that captures periodic activities in the market. In this paper, the authors use a special type of event, called a directional-change event, and show its usefulness in capturing periodic market activities. The 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
Persistent Identifier of the first edition:doi:10.5018/economics-ejournal.ja.2012-36
Creative Commons License:
Document Type:Article
Appears in Collections:Economics: The Open-Access, Open-Assessment E-Journal - Journal Articles

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