Zum Hauptinhalt springen
Dekorationsartikel gehören nicht zum Leistungsumfang.
Detecting Regime Change in Computational Finance
Data Science, Machine Learning and Algorithmic Trading
Taschenbuch von Edward P K Tsang
Sprache: Englisch

87,40 €*

inkl. MwSt.

Versandkostenfrei per Post / DHL

Lieferzeit 1-2 Wochen

Kategorien:
Beschreibung
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.

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.
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.

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.
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: Betriebssysteme & Benutzeroberflächen
Genre: Importe, Informatik
Rubrik: Naturwissenschaften & Technik
Medium: Taschenbuch
ISBN-13: 9780367540951
ISBN-10: 0367540959
Sprache: Englisch
Ausstattung / Beilage: Paperback
Einband: Kartoniert / Broschiert
Autor: Tsang, Edward P K
Hersteller: Chapman and Hall/CRC
Verantwortliche Person für die EU: Books on Demand GmbH, In de Tarpen 42, D-22848 Norderstedt, info@bod.de
Maße: 234 x 156 x 10 mm
Von/Mit: Edward P K Tsang
Erscheinungsdatum: 30.05.2022
Gewicht: 0,263 kg
Artikel-ID: 120951282
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: Betriebssysteme & Benutzeroberflächen
Genre: Importe, Informatik
Rubrik: Naturwissenschaften & Technik
Medium: Taschenbuch
ISBN-13: 9780367540951
ISBN-10: 0367540959
Sprache: Englisch
Ausstattung / Beilage: Paperback
Einband: Kartoniert / Broschiert
Autor: Tsang, Edward P K
Hersteller: Chapman and Hall/CRC
Verantwortliche Person für die EU: Books on Demand GmbH, In de Tarpen 42, D-22848 Norderstedt, info@bod.de
Maße: 234 x 156 x 10 mm
Von/Mit: Edward P K Tsang
Erscheinungsdatum: 30.05.2022
Gewicht: 0,263 kg
Artikel-ID: 120951282
Sicherheitshinweis

Ähnliche Produkte

Ähnliche Produkte