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Название: Detecting Regime Change in Computational Finance: Data Science, Machine Learning and Algorithmic Trading
Автор: Jun Chen, Edward P K Tsang
Издательство: CRC Press
Год: 2021
Формат: PDF
Страниц: 165
Размер: 15,15 МБ
Язык: English
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").