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

Monira Essa Aloud
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Monira Essa Aloud: Department of Management Information Systems, College of Business Administration, King Saud University, Saudi Arabia.

International Journal of Economics and Financial Issues, 2016, vol. 6, issue 1, 55-64

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

Keywords: Directional Changes; Financial Forecasting; Automated Trading; Financial Markets; Saudi Stock Market (search for similar items in EconPapers)
JEL-codes: G1 G11 G14 (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eco:journ1:2016-01-08

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