A directional-change events approach for studying financial time series
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- Monira Essa Aloud, 2016. "Profitability of Directional Change Based Trading Strategies: The Case of Saudi Stock Market," International Journal of Economics and Financial Issues, Econjournals, vol. 6(1), pages 87-95.
- Ma, Junjun & Xiong, Xiong & He, Feng & Zhang, Wei, 2017. "Volatility measurement with directional change in Chinese stock market: Statistical property and investment strategy," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 471(C), pages 169-180.
More about this item
KeywordsDirectional-change event; intrinsic time; high-frequency finance; foreign exchange market; time-series analysis;
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
NEP fieldsThis 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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