Profiling high-frequency equity price movements in directional changes-Reference-Cited by-同舟云学术

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Profiling high-frequency equity price movements in directional changes

Published:2016-06-07 Issue:2 Volume:17 Page:217-225
ISSN:1469-7688
Container-title:Quantitative Finance
language:en
Short-container-title:Quantitative Finance

Author:

Tsang Edward P. K.¹,Tao Ran¹,Serguieva Antoaneta²³,Ma Shuai¹⁴

Affiliation:

1. Centre for Computational Finance and Economic Agents, University of Essex, Colchester, UK

2. Financial Computing and Analytics Group, University College London, London, UK

3. Advanced Analytics Division, Bank of England, London, UK

4. Everbright Securities Co. Ltd, Shanghai, China

Funder

Royal Academy of Engineering

Publisher

Informa UK Limited

Subject

General Economics, Econometrics and Finance,Finance

Link

https://www.tandfonline.com/doi/pdf/10.1080/14697688.2016.1164887

Reference12 articles.

1. A Directional-Change Event Approach for Studying Financial Time Series

2. The scale of market quakes

3. Patterns in high-frequency FX data: discovery of 12 empirical scaling laws

4. From the bird's eye to the microscope: A survey of new stylized facts of the intra-daily foreign exchange markets

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4. Optimization of Trading Strategies Using a Genetic Algorithm Under the Directional Changes Paradigm with Multiple Thresholds;2023 IEEE Congress on Evolutionary Computation (CEC);2023-07-01

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