A Directional-Change Event Approach for Studying Financial Time Series
نویسندگان
چکیده
منابع مشابه
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 au...
متن کاملA 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...
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ژورنال
عنوان ژورنال: Economics
سال: 2012
ISSN: 1864-6042
DOI: 10.5018/economics-ejournal.ja.2012-36