Detecting regime change in computational finance : data science, machine learning and algorithmic trading /: data science, machine learning and algorithmic trading. (2020)

• Record Type: Book
• Further Information: Note: Edward P.K. Tsang, Jun Chen.
• Authors: Tsang, Edward; Chen, Jun, 1990 February 16
• Contents: 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.
• Edition: 1st
• Publisher Details: Boca Raton : Chapman & Hall/CRC
• Publication Date: 2020
• Extent: 1 online resource, illustrations (black and white, and colour)
• Subjects: 332.01511352; Financial engineering -- Methodology; Finance -- Mathematical models; Stocks -- Prices -- Mathematical models; Hidden Markov models; Expectation-maximization algorithms
• Languages: English
• ISBNs: 9781000220360; 9781000220162; 9781000220261; 9781003087595
• Related ISBNs: 9780367536282
• Notes: Note: Includes bibliographical references and index.; Note: Description based on CIP data; resource not viewed.
• Access Rights: Legal Deposit; Only available on premises controlled by the deposit library and to one user at any one time; The Legal Deposit Libraries (Non-Print Works) Regulations (UK).
• Access Usage: Restricted: Printing from this resource is governed by The Legal Deposit Libraries (Non-Print Works) Regulations (UK) and UK copyright law currently in force.