Directional Change (DC) is an alternative to Time Series in recording transactions: it only records the transactions at which price changes to the opposite direction of the current trend by a threshold specified by the observer.
DC can only be confirmed in hindsight: one does not know that direction has changed until it is confirmed by a later transaction. The transaction in which the price confirms a DC is called a DC confirmation point. DC Nowcasting is an attempt to recognize DC before the DC confirmation point. Accurate DC nowcasting will benefit trading. In this paper, we propose a method for DC nowcasting. This method is entirely data-driven: it is based on the historical distribution of DC-related indicators.
Empirical results suggest that DC nowcasting is possible, even under a naïve rule. This opens the door to a promising research direction on an important topic.
This talk is based on the recent paper:
Tsang, E. P. K., Ma, S., & Chinthalapati, V. L. R. (2024). Nowcasting directional change in high frequency FX markets. Intelligent Systems in Accounting, Finance and Management, 31(1), e1552.
Raju is a Reader in Financial Technologies from the Department of Computing, Goldsmiths, University of London. He is the programme director for MSc (Data Science) pathways at Goldsmiths. He had academic positions at University of Southampton (Southampton Business School) and University of Greenwich (Business School). Raju holds a PhD (Financial Mathematics) from LSE and prior to his studies at LSE, he received a PhD in Computer Science and MSc in Mechanical Engineering from Indian Institute of Science, Bangalore.
His research and consultancy activities are broadly in financial technologies, banking and finance, algorithmic trading, machine learning and big data analytics. His research aims to bridge the gap between technologies and the financial processes that are related to investment, risk management and regulatory aspects. Raju is actively working with startups related to FinTech and Data Analytics to design and build innovative solutions for investment analysis, algorithmic trading, 3D visual analytics, risk management, regulation and compliance.
The seminar will be held in English.
Maggiori informazioni: Giulia Baschieri (giulia.baschieri@unibo.it).