Hardback : $256.00
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:
It will be of great interest to researchers in computational finance, machine learning and data science.
About the Authors
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.
Show moreBased 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:
It will be of great interest to researchers in computational finance, machine learning and data science.
About the Authors
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.
Show more1. 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.
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.
"This is the first book of its kind to build on the framework of
Directional Change. The concept of Directional Change opens a whole
new area of research."-- From the Foreword by Richard Olsen,
Founder and CEO of Lykke, co-founder of OANDA and pioneer in high
frequency finance and fintech."Financial markets technology and the
practice of trading are in a state of constant change. A book that
details a completely new concept in trading, however, is very rare.
Detecting Regime Change in Computational finance is one such book
and Professor Tsang and Dr Chen should be applauded for producing
this exciting new work. The concept and framework of directional
change in prices is an area of research with much promise!"-- Dr
David Norman, Founder of TTC Institute and author of Professional
Electronic Trading (Wileys 2001) “A creative start at a novel and
difficult problem for investors large and small.”-- Professor M. A.
H. Dempster, University of Cambridge & Cambridge Systems Associates
Limited"This book shows how AI could be a game-changer in
finance"-- Dr Amadeo Alentorn, Head of Research/Fund Manager at
Merian Global Investors
"This is the first book of its kind to build on the framework of
Directional Change. The concept of Directional Change opens a whole
new area of research."-- From the Foreword by Richard Olsen,
Founder and CEO of Lykke, co-founder of OANDA and pioneer in high
frequency finance and fintech."Financial markets technology and the
practice of trading are in a state of constant change. A book that
details a completely new concept in trading, however, is very rare.
Detecting Regime Change in Computational finance is one such book
and Professor Tsang and Dr Chen should be applauded for producing
this exciting new work. The concept and framework of directional
change in prices is an area of research with much promise!"-- Dr
David Norman, Founder of TTC Institute and author of Professional
Electronic Trading (Wileys 2001) “A creative start at a novel and
difficult problem for investors large and small.”-- Professor M. A.
H. Dempster, University of Cambridge & Cambridge Systems Associates
Limited"This book shows how AI could be a game-changer in
finance"-- Dr Amadeo Alentorn, Head of Research/Fund Manager at
Merian Global Investors
 |
Ask a Question About this Product More... |
|
