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- 000 03134cam a2200373 i 4500
- 008 200620s2021 flua b 001 0 eng
- 020 __ |a 9780367536282 |c CNY685.41
- 040 __ |a LBSOR/DLC |b eng |c DLC |e rda |d DLC
- 050 00 |a HG176.7 |b .T83 2021
- 082 00 |a 332.01/511352 |2 23
- 100 1_ |a Chen, Jun, |d 1990 February 16- |e author.
- 245 10 |a Detecting regime change in computational finance : |b data science, machine learning and algorithmic trading / |c authored by Jun Chen and Edward P K Tsang.
- 260 __ |a Boca Raton : |b C&H/CRC Press, |c 2021.
- 300 __ |a 1 volume : |b illustrations (black and white, and colour) ; |c 24 cm
- 336 __ |a text |b txt |2 rdacontent
- 337 __ |a unmediated |b n |2 rdamedia
- 338 __ |a volume |b nc |2 rdacarrier
- 504 __ |a Includes bibliographical references and index.
- 505 0_ |a Background and literature survey -- Regime change detection using directional change indicators -- Classification of normal and abnormal regimes in financial markets -- Tracking regime changes using directional change indicators -- Algorithmic trading based on regime change tracking.
- 520 __ |a "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 summarizing 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 ("zigzag"). By sampling data in a different way, the 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"-- |c Provided by publisher.
- 650 _0 |a Financial engineering |x Methodology.
- 650 _0 |a Finance |x Mathematical models.
- 650 _0 |a Stocks |x Prices |x Mathematical models.
- 650 _0 |a Hidden Markov models.
- 650 _0 |a Expectation-maximization algorithms.
- 700 1_ |a Tsang, Edward, |e author.