Artikel
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.
- Sprache
-
Englisch
- Erschienen in
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Journal: Economics: The Open-Access, Open-Assessment E-Journal ; ISSN: 1864-6042 ; Volume: 6 ; Year: 2012 ; Issue: 2012-36 ; Pages: 1-17 ; Kiel: Kiel Institute for the World Economy (IfW)
- Klassifikation
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Wirtschaft
General Financial Markets: General (includes Measurement and Data)
- Thema
-
directional-change event
intrinsic time
high-frequency finance
foreign exchange market
time-series analysis
Devisenmarkt
Zeitreihenanalyse
Event Study
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Aloud, Monira
Tsang, Edward
Olsen, Richard
Dupuis, Alexandre
- Ereignis
-
Veröffentlichung
- (wer)
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Kiel Institute for the World Economy (IfW)
- (wo)
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Kiel
- (wann)
-
2012
- DOI
-
doi:10.5018/economics-ejournal.ja.2012-36
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:41 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Artikel
Beteiligte
- Aloud, Monira
- Tsang, Edward
- Olsen, Richard
- Dupuis, Alexandre
- Kiel Institute for the World Economy (IfW)
Entstanden
- 2012
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