Natural time analysis in financial markets

IF 0.3 Q4 BUSINESS, FINANCE

Algorithmic Finance Pub Date : 2016-01-01 DOI:10.3233/AF-160057

A. Mintzelas, K. Kiriakopoulos

引用次数: 3

Abstract

In this paper we introduce natural time analysis in financial markets. Due to the remarkable results of this analysis on earthquake prediction and the similarities of earthquake data to financial time series, its application in price prediction and algorithmic trading seems to be a natural choice. This is tested through a trading strategy with very encouraging results.

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金融市场的自然时间分析

本文将自然时间分析引入金融市场。由于地震预测分析的显著结果以及地震数据与金融时间序列的相似性，将其应用于价格预测和算法交易似乎是一种自然选择。这是通过一个交易策略测试非常令人鼓舞的结果。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Algorithmic Finance BUSINESS, FINANCE-

CiteScore

0.40

自引率

0.00%

发文量

期刊介绍： Algorithmic Finance is both a nascent field of study and a new high-quality academic research journal that seeks to bridge computer science and finance. It covers such applications as: High frequency and algorithmic trading Statistical arbitrage strategies Momentum and other algorithmic portfolio management Machine learning and computational financial intelligence Agent-based finance Complexity and market efficiency Algorithmic analysis of derivatives valuation Behavioral finance and investor heuristics and algorithms Applications of quantum computation to finance News analytics and automated textual analysis.