1. Introduction. 2. Background and Literature Survey. 3. Regime Change Detection using Directional Change Indicators. 4. Classification of Normal and Abnormal Regimes in Financial Markets. 5. Tracking Regime Changes using Directional Change Indicators. 6. Algorithmic Trading based on Regime Change Tracking. 7. Conclusion. Appendix A. A Formal Definition of Directional Change. Appendix B. Extended Results of Chapter. 3 Appendix C. Experiment Summary of Chapter. 4 Appendix D. Detected Regime Changes in Chapter.
Jun Chen received his PhD in computational finance from the Centre for Computational Finance and Economic Agents, University of Essex 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. He is a Visiting Professor at University of Hong Kong.
"This is the first book of its kind to build on the framework of
Directional Change. The concept of Directional Change opens a whole
new area of research."-- From the Foreword by Richard Olsen,
Founder and CEO of Lykke, co-founder of OANDA and pioneer in high
frequency finance and fintech."Financial markets technology and the
practice of trading are in a state of constant change. A book that
details a completely new concept in trading, however, is very rare.
Detecting Regime Change in Computational finance is one such book
and Professor Tsang and Dr Chen should be applauded for producing
this exciting new work. The concept and framework of directional
change in prices is an area of research with much promise!"-- Dr
David Norman, Founder of TTC Institute and author of Professional
Electronic Trading (Wileys 2001) “A creative start at a novel and
difficult problem for investors large and small.”-- Professor M. A.
H. Dempster, University of Cambridge & Cambridge Systems Associates
Limited"This book shows how AI could be a game-changer in
finance"-- Dr Amadeo Alentorn, Head of Research/Fund Manager at
Merian Global Investors
"This is the first book of its kind to build on the framework of
Directional Change. The concept of Directional Change opens a whole
new area of research."-- From the Foreword by Richard Olsen,
Founder and CEO of Lykke, co-founder of OANDA and pioneer in high
frequency finance and fintech."Financial markets technology and the
practice of trading are in a state of constant change. A book that
details a completely new concept in trading, however, is very rare.
Detecting Regime Change in Computational finance is one such book
and Professor Tsang and Dr Chen should be applauded for producing
this exciting new work. The concept and framework of directional
change in prices is an area of research with much promise!"-- Dr
David Norman, Founder of TTC Institute and author of Professional
Electronic Trading (Wileys 2001) “A creative start at a novel and
difficult problem for investors large and small.”-- Professor M. A.
H. Dempster, University of Cambridge & Cambridge Systems Associates
Limited"This book shows how AI could be a game-changer in
finance"-- Dr Amadeo Alentorn, Head of Research/Fund Manager at
Merian Global Investors
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