Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/48828 
Year of Publication: 
2011
Series/Report no.: 
Economics Discussion Papers No. 2011-28
Publisher: 
Kiel Institute for the World Economy (IfW), Kiel
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: 
cc-by-nc Logo
Document Type: 
Working Paper

Files in This Item:
File
Size
720.16 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.