Jun Chen, Edward P K Tsang (United Kingdom University of Essex)

Detecting Regime Change in Computational Finance

Data Science, Machine Learning and Algorithmic Trading

• Broschiertes Buch

Produktbeschreibung

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.

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Produktdetails

• Verlag: Taylor & Francis Ltd
• Seitenzahl: 166
• Erscheinungstermin: 30. Mai 2022
• Englisch
• Abmessung: 234mm x 156mm x 10mm
• Gewicht: 268g
• ISBN-13: 9780367540951
• ISBN-10: 0367540959
• Artikelnr.: 63199931

Autorenporträt

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.

Inhaltsangabe

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.