A directional-change events approach for studying financial time series
AbstractFinancial 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 InfoPaper provided by Kiel Institute for the World Economy in its series Economics Discussion Papers with number 2011-28.
Date of creation: 2011
Date of revision:
Directional-change event; intrinsic time; high-frequency finance; foreign exchange market; time-series analysis;
Find related papers by JEL classification:
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
This paper has been announced in the following NEP Reports:
- NEP-ALL-2011-08-22 (All new papers)
- NEP-CFN-2011-08-22 (Corporate Finance)
- NEP-FMK-2011-08-22 (Financial Markets)
- NEP-MST-2011-08-22 (Market Microstructure)
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