MARC details
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| fixed length control field |
02827nam a22002417a 4500 |
| 005 - DATE AND TIME OF LATEST TRANSACTION |
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20230117120118.0 |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION |
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230117b ||||| |||| 00| 0 eng d |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER |
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| International Standard Book Number |
9780367540951 |
| 082 ## - DEWEY DECIMAL CLASSIFICATION NUMBER |
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| Classification number |
332.01511352 |
| Item number |
CHE |
| 100 ## - MAIN ENTRY--PERSONAL NAME |
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| Personal name |
Chen, Jun |
| 245 ## - TITLE STATEMENT |
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| Title |
Detecting regime change in computational finance: |
| Remainder of title |
data science, machine learning and algorithmic trading |
| 260 ## - PUBLICATION, DISTRIBUTION, ETC. (IMPRINT) |
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| Name of publisher, distributor, etc. |
CRC Press |
| Place of publication, distribution, etc. |
Boco Raton |
| Date of publication, distribution, etc. |
2021 |
| 300 ## - PHYSICAL DESCRIPTION |
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| Extent |
xxvi, 138 p. |
| 365 ## - TRADE PRICE |
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| Price type code |
GBP |
| Price amount |
41.99 |
| 504 ## - BIBLIOGRAPHY, ETC. NOTE |
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| Bibliography, etc. note |
Table of Contents<br/>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. |
| 520 ## - SUMMARY, ETC. |
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| Summary, etc. |
Based on interdisciplinary research into "Directional Change", a new data-driven approach to financial data analysis, Detecting Regime Change in Computational Finance: Data Science, Machine Learning and Algorithmic Trading applies machine learning to financial market monitoring and algorithmic trading. Directional Change is a new way of summarising price changes in the market. Instead of sampling prices at fixed intervals (such as daily closing in time series), it samples prices when the market changes direction ("zigzags"). By sampling data in a different way, this book lays out concepts which enable the extraction of information that other market participants may not be able to see. The book includes a Foreword by Richard Olsen and explores the following topics:<br/><br/>Data science: as an alternative to time series, price movements in a market can be summarised as directional changes<br/>Machine learning for regime change detection: historical regime changes in a market can be discovered by a Hidden Markov Model<br/>Regime characterisation: normal and abnormal regimes in historical data can be characterised using indicators defined under Directional Change<br/>Market Monitoring: by using historical characteristics of normal and abnormal regimes, one can monitor the market to detect whether the market regime has changed<br/>Algorithmic trading: regime tracking information can help us to design trading algorithms<br/>It will be of great interest to researchers in computational finance, machine learning and data science. |
| 650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical term or geographic name as entry element |
Stocks--Prices--Mathematical models |
| 650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical term or geographic name as entry element |
Hidden Markov models |
| 650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical term or geographic name as entry element |
Expectation-maximization algorithms |
| 650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical term or geographic name as entry element |
Finance--Mathematical models |
| 700 ## - ADDED ENTRY--PERSONAL NAME |
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| Personal name |
Tsang, Edward P K |
| 942 ## - ADDED ENTRY ELEMENTS (KOHA) |
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| Source of classification or shelving scheme |
Dewey Decimal Classification |
| Koha item type |
Book |