Detecting Regime Change in Computational Finance
Data Science, Machine Learning and Algorithmic Trading
1st Edition
Published on 14. September 2020
164 pages
978-1-000-22016-2 (ISBN)
Description
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.
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.
Reviews / Votes
"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
More details
Edition
1. Auflage
Language
English
Place of publication
London
United Kingdom
Publishing group
Taylor & Francis Ltd
Target group
College/higher education
Illustrations
16 Illustrations, color; 22 Illustrations, black and white
ISBN-13
978-1-000-22016-2 (9781000220162)
Copyright in bibliographic data and cover images is held by Nielsen Book Services Limited or by the publishers or by their respective licensors: all rights reserved.
Schweitzer Classification
Other editions
Additional editions
Jun Chen | Edward P. K. Tsang
Detecting Regime Change in Computational Finance
Data Science, Machine Learning and Algorithmic Trading
Book
05/2022
1st Edition
Chapman & Hall/CRC
€81.10
Shipment within 15-20 days
Jun Chen | Edward P. K. Tsang
Detecting Regime Change in Computational Finance
Data Science, Machine Learning and Algorithmic Trading
Book
09/2020
1st Edition
Chapman & Hall/CRC
€102.74
Shipment within 15-20 days
Persons
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.
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.
Content
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.
