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...

Full description

Saved in:
Bibliographic Details
Published in:Economics. The open-access, open-assessment e-journal open-assessment e-journal, 2012-12, Vol.6 (2012-36), p.1-17
Main Authors: Aloud, Monira, Tsang, Edward, Olsen, Richard, Dupuis, Alexandre
Format: Article
Language:English
Subjects:
Devisenmarkt
Directional-change event
Event Study
foreign exchange market
G10
high-frequency finance
intrinsic time
time-series analysis
Zeitreihenanalyse
Citations: Items that this one cites
Items that cite this one
Online Access:Get full text
Tags: Add Tag
No Tags, Be the first to tag this record!
Description
Summary: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.
ISSN:1864-6042
1864-6042
DOI:10.5018/economics-ejournal.ja.2012-36