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A directional-change events approach for studying financial time series

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  • Aloud, Monira
  • Tsang, Edward
  • Olsen, Richard
  • Dupuis, Alexandre
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    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. --

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    Bibliographic Info

    Paper provided by Kiel Institute for the World Economy in its series Economics Discussion Papers with number 2011-28.

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    Date of creation: 2011
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    Handle: RePEc:zbw:ifwedp:201128

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    Related research

    Keywords: Directional-change event; intrinsic time; high-frequency finance; foreign exchange market; time-series analysis;

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    1. J. B. Glattfelder & A. Dupuis & R. B. Olsen, 2008. "Patterns in high-frequency FX data: Discovery of 12 empirical scaling laws," Papers 0809.1040, arXiv.org, revised Jun 2010.
    2. T. Bisig & A. Dupuis & V. Impagliazzo & R. B. Olsen, 2009. "The scale of market quakes," Papers 0909.1690, arXiv.org.
    3. Richard B. Olsen & Ulrich A. Müller & Michel M. Dacorogna & Olivier V. Pictet & Rakhal R. Davé & Dominique M. Guillaume, 1997. "From the bird's eye to the microscope: A survey of new stylized facts of the intra-daily foreign exchange markets (*)," Finance and Stochastics, Springer, vol. 1(2), pages 95-129.
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