A directional-change events 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 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.
|Date of creation:||2011|
|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
References listed on IDEAS
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.:
- 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, 8/09. "Patterns in high-frequency FX data: Discovery of 12 empirical scaling laws," Papers 0809.1040, arXiv.org, revised 2010/06.
- 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.
- T. Bisig & A. Dupuis & V. Impagliazzo & R. B. Olsen, 9/09. "The scale of market quakes," Papers 0909.1690, arXiv.org.
When requesting a correction, please mention this item's handle: RePEc:zbw:ifwedp:201128. 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.