Profiling high-frequency equity price movements in directional changes

DOI10.1080/14697688.2016.1164887zbMath1402.91738OpenAlexW2417272239MaRDI QIDQ4555073

Antoaneta Serguieva, Edward P. K. Tsang, Ran Tao, Shuai Ma

Publication date: 19 November 2018

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2016.1164887

zbMATH Keywords

time seriesreturnvolatilityprofilingeventsdirectional change

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items (2)

Intelligent dynamic backlash agent: a trading strategy based on the directional change framework ⋮ Classification of normal and abnormal regimes in financial markets

Cites Work

• Unnamed Item
• From the bird's eye to the microscope: A survey of new stylized facts of the intra-daily foreign exchange markets
• The scale of market quakes

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