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Title: Using directional change for information extraction in financial market data
Author: Tao, Ran
Awarding Body: University of Essex
Current Institution: University of Essex
Date of Award: 2018
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Directional change (DC) is a new concept for summarizing market dynamics. Instead of sampling the financial market at fixed intervals as in the traditional time series analysis, by contrast, DC is data-driven: the price change itself dictates when a price is recorded. DC provides us with a complementary way to extract information from data. The data sampled at irregular time intervals in DC allows us to observe features that may not be recognized under time series. In this thesis we propose our new method for the summarizing of financial markets through the use of the DC framework. Firstly, we define what is the vocabulary needed for a DC market summary. The vocabulary includes DC indicators and metrics. DC indicators are used to build a DC market summary for a single market. DC metrics help us quantitatively measure the differences between two markets under the directional change method. We demonstrate how such metrics could quantitatively measure the differences between different DC market summaries. Then, with real financial market data studied using DC, we aim to demonstrate the practicability of DC market analysis, as a complementary method to that of time series, in the analysis of the financial market.
Supervisor: Not available Sponsor: Not available
Qualification Name: Thesis (Ph.D.) Qualification Level: Doctoral
EThOS ID:  DOI: Not available
Keywords: HG Finance ; QA75 Electronic computers. Computer science