A 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, 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.

الصفحات

اشترك ب KSU Faculty آر.إس.إس