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Abstract for Seminar
When history is recorded, one does not report the situation at the end of each day, each month or each year. One records significant events. Yet most researchers record market price movements with snapshots, such as daily closing prices. Richard Olsen proposed an event-based approach to summarize price movements, based on a concept called Directional Changes. A directional change is defined by a threshold that the observer cares about, e.g. 5%. An r% directional change is basically a price change of r% from the last peak or bottom price. This new concept provides traders with new perspectives to the market, as demonstrated by Olsen Ltd in foreign exchange trading. It also enables researchers to discover new regularities in markets. These will be explained in the talk.