Time Series Analysis Indicators under Directional Changes: The Case of Saudi Stock Market

Monira Essa Aloud

Article Details

Time Series Analysis Indicators under Directional Changes: The Case of Saudi Stock Market

Authors:

Monira Essa Aloud

Publisher:

İlhan ÖZTÜRK

Journal:

International Journal of Economics and Financial Issues 2016 Vol.6 Issue 1, pp.55-64

Document Type:

Article

Publication Date:

2/2016

Document Language:

Turkish

Document ID (Org No.):

2000813290

Frequency:

Bimonthly

eISSN:

2146-4138

Abstract:

 

We introduce a set of time series analysis indicators under an event based framework of directional changes (DC) and overshoots. Our aim
 is to map continuous financial market price data into the so-called DC Framework - A state based discretization of basically dissected price
 time series. The DC framework analysis relied on understanding the price time series as an event-based process, as an alternative of focusing
 on their stochastic character. Defining a scheme for state reduction of DC Framework, we show that it has a dependable hierarchical structure
 that permits for analysis of financial data. We show empirical examples within the Saudi Stock Market. The new DC indicators represent the
 foundation of a completely new generation of financial tools for studying volatility, risk measurement, and building advanced forecasting and
 automated trading models.

Article Details

Time Series Analysis Indicators under Directional Changes: The Case of Saudi Stock Market

Authors: Monira Essa Aloud

Publisher: İlhan ÖZTÜRK

Journal: International Journal of Economics and Financial Issues 2016 Vol.6 Issue 1, pp.55-64

Document Type: Article

Publication Date: 2/2016

Document Language: Turkish

Document ID (Org No.): 2000813290

Frequency: Bimonthly

eISSN: 2146-4138

Issues

Authors:

Monira Essa Aloud

Publisher:

İlhan ÖZTÜRK

Journal:

International Journal of Economics and Financial Issues 2016 Vol.6 Issue 1, pp.55-64

Document Type:

Article

Publication Date:

2/2016

Document Language:

Turkish

Document ID (Org No.):

2000813290

Frequency:

Bimonthly

eISSN:

2146-4138