Work

Natural time analysis in financial markets

Year: 2016

Type: article

Abstract: In this paper we introduce natural time analysis in financial markets.Due to the remarkable results of this analysis on earthquake prediction and the similarities of earthquake data to financial time series, its application in price prediction and algorithmic trading seems to be a natural choice.This is tested through a trading strategy with very encouraging results.

Source: Algorithmic Finance

DOI: 10.3233/af-160057

Authors: A. Mintzelas, K. Kiriakopoulos

Institution: National and Kapodistrian University of Athens

Language: English

Topic: Complex Systems and Time Series Analysis

Subfield: Economics and Econometrics

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: bronze

OpenAlex ID: W2467804690

FWCI: 0.641

Cites: 42

Cited by: 6

Related to: 10