A directional-change event approach for studying financial time series
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.
Volume (Year): 6 (2012)
Issue (Month): ()
|Contact details of provider:|| Postal: Kiellinie 66, D-24105 Kiel|
Phone: +49 431 8814-1
Fax: +49 431 8814528
Web page: http://www.economics-ejournal.org/
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- T. Bisig & A. Dupuis & V. Impagliazzo & R. B. Olsen, 2012. "The scale of market quakes," Quantitative Finance, Taylor & Francis Journals, vol. 12(4), pages 501-508, July.
- J. B. Glattfelder & A. Dupuis & R. B. Olsen, 2010.
"Patterns in high-frequency FX data: discovery of 12 empirical scaling laws,"
Taylor & Francis Journals, vol. 11(4), pages 599-614.
- 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.
- Allais, Maurice, 1974. "The Psychological Rate of Interest," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 6(3), pages 285-331, August.
When requesting a correction, please mention this item's handle: RePEc:zbw:ifweej:201236. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (ZBW - German National Library of Economics)
If references are entirely missing, you can add them using this form.