A directional-change event approach for studying financial time series

Monira Aloud, Edward Tsang, Richard Olsen and Alexandre Dupuis

Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), 2012, vol. 6, No 2012-36, 17 pages

Abstract: 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. In this paper, the authors use a special type of event, called a directional-change event, and show its usefulness in capturing periodic market activities. The study confirms that the length of the price-curve coastline, as defined by directional-change events, turns out to be a long one.

Keywords: directional-change event; intrinsic time; high-frequency finance; foreign exchange market; time-series analysis (search for similar items in EconPapers)
JEL-codes: G10 (search for similar items in EconPapers)
Date: 2012
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (10)

Downloads: (external link)
http://dx.doi.org/10.5018/economics-ejournal.ja.2012-36
https://www.econstor.eu/bitstream/10419/65285/1/726346985.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:zbw:ifweej:201236

DOI: 10.5018/economics-ejournal.ja.2012-36

Access Statistics for this article

Economics - The Open-Access, Open-Assessment E-Journal (2007-2020) is currently edited by Dennis J. Snower

More articles in Economics - The Open-Access, Open-Assessment E-Journal (2007-2020) from Kiel Institute for the World Economy (IfW Kiel) Contact information at EDIRC.
Bibliographic data for series maintained by ZBW - Leibniz Information Centre for Economics ().