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- Directional-change intrinsic time is an event-based operator to dissect a data series into a sequence of alternating trends of defined size . The directional-change intrinsic time operator was developed for the analysis of financial market data series. It is an alternative methodology to the concept of continuous time. Directional-change intrinsic time operator dissects a data series into a set of drawups and drawdowns or up and down trends that alternate with each other. An established trend comes to an end as soon as a trend reversal is observed. A price move that extends a trend is called overshoot and leads to new price extremes. Figure 1 provides an example of a price curve dissected by the directional change intrinsic time operator. The frequency of directional-change intrinsic events maps (1) the volatility of price changes conditional to (2) the selected threshold . The stochastic nature of the underlying process is mirrored in the non-equal number of intrinsic events observed over equal periods of physical time. Directional-change intrinsic time operator is a noise filtering technique. It identifies regime shifts, when trend changes of a particular size occur and hides price fluctuations that are smaller than the threshold . (en)
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- 5681 (xsd:nonNegativeInteger)
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- Directional-change intrinsic time is an event-based operator to dissect a data series into a sequence of alternating trends of defined size . The directional-change intrinsic time operator was developed for the analysis of financial market data series. It is an alternative methodology to the concept of continuous time. Directional-change intrinsic time operator dissects a data series into a set of drawups and drawdowns or up and down trends that alternate with each other. An established trend comes to an end as soon as a trend reversal is observed. A price move that extends a trend is called overshoot and leads to new price extremes. (en)
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- Directional-change intrinsic time (en)
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