{"title":"金融市场的自然时间分析","authors":"A. Mintzelas, K. Kiriakopoulos","doi":"10.3233/AF-160057","DOIUrl":null,"url":null,"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.","PeriodicalId":42207,"journal":{"name":"Algorithmic Finance","volume":"5 1","pages":"37-46"},"PeriodicalIF":0.3000,"publicationDate":"2016-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.3233/AF-160057","citationCount":"3","resultStr":"{\"title\":\"Natural time analysis in financial markets\",\"authors\":\"A. Mintzelas, K. Kiriakopoulos\",\"doi\":\"10.3233/AF-160057\",\"DOIUrl\":null,\"url\":null,\"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.\",\"PeriodicalId\":42207,\"journal\":{\"name\":\"Algorithmic Finance\",\"volume\":\"5 1\",\"pages\":\"37-46\"},\"PeriodicalIF\":0.3000,\"publicationDate\":\"2016-01-01\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"https://sci-hub-pdf.com/10.3233/AF-160057\",\"citationCount\":\"3\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Algorithmic Finance\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.3233/AF-160057\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q4\",\"JCRName\":\"BUSINESS, FINANCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Algorithmic Finance","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.3233/AF-160057","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q4","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
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.
期刊介绍：
Algorithmic Finance is both a nascent field of study and a new high-quality academic research journal that seeks to bridge computer science and finance. It covers such applications as: High frequency and algorithmic trading Statistical arbitrage strategies Momentum and other algorithmic portfolio management Machine learning and computational financial intelligence Agent-based finance Complexity and market efficiency Algorithmic analysis of derivatives valuation Behavioral finance and investor heuristics and algorithms Applications of quantum computation to finance News analytics and automated textual analysis.
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