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Quantitative Finance Volume 17, 2017 - Issue 2
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Research Papers

Profiling high-frequency equity price movements in directional changes

Edward P. K. TsangCentre for Computational Finance and Economic Agents, University of Essex, Colchester, UK
,
Ran TaoCentre for Computational Finance and Economic Agents, University of Essex, Colchester, UK
,
Antoaneta SerguievaFinancial Computing and Analytics Group, University College London, London, UK;Advanced Analytics Division, Bank of England, London, UKCorrespondence[email protected]
&
Shuai MaCentre for Computational Finance and Economic Agents, University of Essex, Colchester, UK;Everbright Securities Co. Ltd, Shanghai, China
Pages 217-225 | Received 16 Jun 2015, Accepted 11 Feb 2016, Published online: 07 Jun 2016

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