Time Series Analysis Indicators under Directional Changes: The Case of Saudi Stock Market

Journal Article

• Publication Work Type: Original article
• Publication Online URL: Time Series Analysis Indicators under Directional Changes
• Tags: Directional Changes, Financial Forecasting, Automated Trading, Financial Markets, Saudi Stock Market
• Magazine \ Newspaper: International Journal of Economics and Financial Issues
• Issue Number: 1
• Volume Number: 6
• Pages: 55-64

Publication Abstract

 We introduce a set of time series analysis indicators under an event based framework of directional changes (DC) and overshoots. Our aim is to map continuous financial market price data into the so-called DC Framework - A state-based discretization of basically dissected price time series. The DC framework analysis relied on understanding the price time series as an event-based process, as an alternative of focusing on their stochastic character. Defining a scheme for state reduction of DC Framework, we show that it has a dependable hierarchical structure that permits for analysis of financial data. We show empirical examples within the Saudi Stock Market. The new DC indicators represent the foundation of a completely new generation of financial tools for studying volatility, risk measurement, and building advanced forecasting and automated trading models.