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

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.

Sommario

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.

Info autore

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.

Riassunto

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.

Dettagli sul prodotto

• Autori: Jun Chen, Jun Tsang Chen, Chen Jun, Edward P K Tsang
• Editore: Taylor & Francis Ltd.
• Lingue: Inglese
• Formato: Tascabile
• Pubblicazione: 30.05.2022
• EAN: 9780367540951
• ISBN: 978-0-367-54095-1
• Pagine: 138
• Categorie: Scienze naturali, medicina, informatica, tecnica > Informatica, EDP > Sistemi operativi, interfacce; Scienze sociali, diritto, economia > Economia > Altro; Finance, COMPUTERS / General, COMPUTERS / Computer Science, BUSINESS & ECONOMICS / Finance / General, COMPUTERS / Mathematical & Statistical Software, COMPUTERS / Computer Simulation, COMPUTERS / Programming / Algorithms, COMPUTERS / Programming / Games, algorithms and data structures, Automatic control engineering, Databases, COMPUTERS / Data Science / Data Analytics, COMPUTERS / Data Science / General, COMPUTERS / Data Science / Neural Networks, Finance and the finance industry