Price: $88.58
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The book, Detecting Regime Change in Computational Finance: Data Science, Machine Learning and Algorithmic Trading, is a groundbreaking exploration into the innovative “Directional Change” concept, an avant-garde, data-driven approach to financial data analysis. This approach revolutionises the traditional method of financial market monitoring and algorithmic trading by leveraging machine learning techniques.
“Directional Change” offers a fresh perspective on interpreting price changes in the market. Rather than the mainstream practice of sampling prices at fixed intervals – akin to the daily closing prices in time series – it introduces the concept of “zigzags,” sampling prices when the market changes direction. This unique sampling method uncovers information that may otherwise remain hidden to other market participants.
This book, which includes a riveting Foreword by Richard Olsen, delves into several pertinent topics such as:
– Data Science: The book presents an alternative to time series by summarising price movements in a market as directional changes.
– Machine Learning for Regime Change Detection: It illustrates how a Hidden Markov Model can identify historical regime changes in the market.
– Regime Characterisation: The book demonstrates how to characterise normal and abnormal regimes in historical data using indicators defined under “Directional Change.”
– Market Monitoring: It shows how to utilise historical characteristics of normal and abnormal regimes to monitor and identify if the market regime has changed.
– Algorithmic Trading: The book elucidates how regime tracking information can aid in designing efficient trading algorithms.
This book will captivate the interest of researchers in computational finance, machine learning, and data science.
About the Authors:
Jun Chen holds a PhD in computational finance from the Centre for Computational Finance and Economic Agents, University of Essex, earned 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.
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