Paper Info
Title
Constructing a bellwether theory: Regime change detection using directional change
Abstract
A regime change is considered to be a significant change in the trading behaviour of the financial market. Such changes are always related to the booms and crashes that occur in the financial market. Being able to detect regime change could lead both to a better understanding of and a further way to monitor the financial market. In this paper, we explain how to detect regime change using directional change, a data-driven approach. We also describe further research into the field of regime change detection, which include the definition and recognition of the category of different market regimes in the financial market.
Year
DOI
Venue
2017
10.1109/CEEC.2017.8101609
2017 9th Computer Science and Electronic Engineering (CEEC)
Keywords
Field
DocType
regime change detection,directional change,financial market,market regimes,data-driven approach
Economics,Financial economics,Regime change,Monetary economics,Financial market,Boom
Conference
ISSN
ISBN
Citations 
2472-1530
978-1-5386-3008-2
0
PageRank 
References 
Authors
0.34
0
2
Name
Order
Citations
PageRank
Jun Chen131.49
Edward P. K. Tsang289987.77