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Time Series Analysis Indicators under Directional Changes: The Case of Saudi Stock Market

Author

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  • Monira Essa Aloud

    (Department of Management Information Systems, College of Business Administration, King Saud University, Saudi Arabia.)

Abstract

We introduce a set of time series analysis indicators under an event based framework of directional changes (DC) and overshoots. Our aim is to map continuous financial market price data into the so-called DC Framework - A state based discretization of basically dissected price time series. The DC framework analysis relied on understanding the price time series as an event-based process, as an alternative of focusing on their stochastic character. Defining a scheme for state reduction of DC Framework, we show that it has a dependable hierarchical structure that permits for analysis of financial data. We show empirical examples within the Saudi Stock Market. The new DC indicators represent the foundation of a completely new generation of financial tools for studying volatility, risk measurement, and building advanced forecasting and automated trading models

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  • Monira Essa Aloud, 2016. "Time Series Analysis Indicators under Directional Changes: The Case of Saudi Stock Market," International Journal of Economics and Financial Issues, Econjournals, vol. 6(1), pages 55-64.
    • Handle: RePEc:eco:journ1:2016-01-08
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    References listed on IDEAS

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    Cited by:

    1. Amer M. Bakhach & Edward P.K. Tsang & V.L. Raju Chinthalapati, 2018. "TSFDC: A trading strategy based on forecasting directional change," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 25(3), pages 105-123, July.

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    More about this item

    Keywords

    Directional Changes; Financial Forecasting; Automated Trading; Financial Markets; Saudi Stock Market;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G1 - Financial Economics - - General Financial Markets

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