Detecting Regime Change in Computational F...

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Beschreibung

Based on interdisciplinary research into "Directional Change", a new data-driven approach to financial data analysis, this book applies machine learning to financial market monitoring and algorithmic trading.

Über den Autor

Jun Chen received his PhD in computational finance from the Centre for Computational Finance and Economic Agents, University of Essex in 2019.

Edward P K Tsang is an Emeritus Professor at the University of Essex, where he co-founded the Centre for Computational Finance and Economic Agents in 2002. He is a Visiting Professor at University of Hong Kong.

Inhaltsverzeichnis

1. Introduction. 2. Background and Literature Survey. 3. Regime Change Detection using Directional Change Indicators. 4. Classification of Normal and Abnormal Regimes in Financial Markets. 5. Tracking Regime Changes using Directional Change Indicators. 6. Algorithmic Trading based on Regime Change Tracking. 7. Conclusion. Appendix A. A Formal Definition of Directional Change. Appendix B. Extended Results of Chapter. 3 Appendix C. Experiment Summary of Chapter. 4 Appendix D. Detected Regime Changes in Chapter.

Details

Erscheinungsjahr:	2022
Fachbereich:	Allgemeines
Genre:	Importe , Wirtschaft
Rubrik:	Recht & Wirtschaft
Medium:	Taschenbuch
ISBN-13:	9780367540951
ISBN-10:	0367540959
Sprache:	Englisch
Einband:	Kartoniert / Broschiert
Autor:	Chen, Jun Tsang, Edward P K
Hersteller:	Chapman and Hall/CRC
Verantwortliche Person für die EU:	Libri GmbH, Europaallee 1, D-36244 Bad Hersfeld, gpsr@libri.de
Maße:	234 x 156 x 10 mm
Von/Mit:	Jun Chen (u. a.)
Erscheinungsdatum:	30.05.2022
Gewicht:	0,263 kg