BOOK DOWNLOAD

Detecting Regime Change in Computational Finance: Data Science, Machine Learning and Algorithmic Trading

10.00$
Detecting Regime Change in Computational Finance: Data Science, Machine Learning and Algorithmic Trading
BOOK DOWNLOAD

Detecting Regime Change in Computational Finance: Data Science, Machine Learning and Algorithmic Trading

10.00$

1st Edition

by Jun Chen (Author), Edward P K Tsang (Author)

Based on interdisciplinary research into "Directional Change", a new data-driven approach to financial data analysis, Detecting Regime Change in Computational Finance: Data Science, Machine Learning and Algorithmic Trading applies machine learning to financial market monitoring and algorithmic trading. Directional Change is a new way of summarising price changes in the market. Instead of sampling prices at fixed intervals (such as daily closing in time series), it samples prices when the market changes direction ("zigzags"). By sampling data in a different way, this book lays out concepts which enable the extraction of information that other market participants may not be able to see. The book includes a Foreword by Richard Olsen and explores the following topics:

  • Data science: as an alternative to time series, price movements in a market can be summarised as directional changes
  • Machine learning for regime change detection: historical regime changes in a market can be discovered by a Hidden Markov Model
  • Regime characterisation: normal and abnormal regimes in historical data can be characterised using indicators defined under Directional Change
  • Market Monitoring: by using historical characteristics of normal and abnormal regimes, one can monitor the market to detect whether the market regime has changed
  • Algorithmic trading: regime tracking information can help us to design trading algorithms

It will be of great interest to researchers in computational finance, machine learning and data science.

Year:
2021
Pages:
165
Language:
English
Format:
PDF
Size:
15 MB
ISBN-10:
367536285
ISBN-13:
978-0367536282
ASIN:
B08GJ8QM86
BOOK DOWNLOAD

© 2024 BOOK DOWNLOAD. SHOP : Since 2012 until Now. All Rights Reserved.

  • Visa
  • Mastercard
  • American Express
  • Paypal
  • Manual Payment