Definitions of directional-change events

Conference Paper

Olsen, Richard . 2010

• الوسوم: Directional-change events, Intrinsic time, Financial time series, High-frequency data
• اسم المؤتمر: 2nd Computer Science and Electronic Engineering Conference (CEEC), IEEE Xplore
• عنوان المؤتمر: Colchester
• تاريخ المؤتمر: الجمعة, أيلول (سبتمبر) 10, 2010
• المنظمة الراعية: IEEE

مستخلص المنشور

In the challenge of observing precious periodic patterns in the financial time series based on physical time changes, we propose intrinsic time as an alternative to physical time, where events of different magnitudes are the time-scale of the time series. This alternative approach, called directional-change events, defines the time series by the irregularity of time intervals between two sequential events. We believe directional-change events can enhance our study of the financial time series and improve the quality of time series analysis.