An Overview of Event Based Directional Change for Algorithmic Trading

Botao Ye; Dejun Xie

doi:10.1109/SERA.2018.8477229

An Overview of Event Based Directional Change for Algorithmic Trading

Botao Ye, Dejun Xie^*

^*Corresponding author for this work

Department of Financial and Actuarial Mathematics

Xi'an Jiaotong-Liverpool University

Research output: Chapter in Book or Report/Conference proceeding › Conference Proceeding › peer-review

1 Citation (Scopus)

Abstract

This paper outlines a framework of a practicable scheme to facilitate algorithm trading of securities. The proposed scheme is capable to intelligently identify, analyze, and implement the intrinsic directional changes in the price movement of the stock market. An overall qualitative assessment is provided together with survey of existing theoretical and empirical foundations towards the success of such an algorithm. Potential loopholes and roadmap for further improvement are suggested.

Original language	English
Title of host publication	Proceedings - 2018 IEEE/ACIS 16th International Conference on Software Engineering Research, Management and Application, SERA 2018
Editors	Xiaohui Cui, Junfeng Wang, Zhi Jin, Zhengtao Yu, Bing Luo, Shaowen Yao
Publisher	Institute of Electrical and Electronics Engineers Inc.
Pages	13-18
Number of pages	6
ISBN (Electronic)	9781538658864
DOIs	https://doi.org/10.1109/SERA.2018.8477229
Publication status	Published - 28 Sept 2018
Event	16th IEEE/ACIS International Conference on Software Engineering Research, Management and Application, SERA 2018 - Kunming, China Duration: 13 Jun 2018 → 15 Jun 2018

Publication series

Name	Proceedings - 2018 IEEE/ACIS 16th International Conference on Software Engineering Research, Management and Application, SERA 2018

Conference

Conference	16th IEEE/ACIS International Conference on Software Engineering Research, Management and Application, SERA 2018
Country/Territory	China
City	Kunming
Period	13/06/18 → 15/06/18

Keywords

Algorithmic trading
Directional change
Genetic programming
High free frequency trading

Access to Document

10.1109/SERA.2018.8477229

Cite this

Ye, B., & Xie, D. (2018). An Overview of Event Based Directional Change for Algorithmic Trading. In X. Cui, J. Wang, Z. Jin, Z. Yu, B. Luo, & S. Yao (Eds.), Proceedings - 2018 IEEE/ACIS 16th International Conference on Software Engineering Research, Management and Application, SERA 2018 (pp. 13-18). Article 8477229 (Proceedings - 2018 IEEE/ACIS 16th International Conference on Software Engineering Research, Management and Application, SERA 2018). Institute of Electrical and Electronics Engineers Inc.. https://doi.org/10.1109/SERA.2018.8477229

Ye, Botao ; Xie, Dejun. / An Overview of Event Based Directional Change for Algorithmic Trading. Proceedings - 2018 IEEE/ACIS 16th International Conference on Software Engineering Research, Management and Application, SERA 2018. editor / Xiaohui Cui ; Junfeng Wang ; Zhi Jin ; Zhengtao Yu ; Bing Luo ; Shaowen Yao. Institute of Electrical and Electronics Engineers Inc., 2018. pp. 13-18 (Proceedings - 2018 IEEE/ACIS 16th International Conference on Software Engineering Research, Management and Application, SERA 2018).

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title = "An Overview of Event Based Directional Change for Algorithmic Trading",

abstract = "This paper outlines a framework of a practicable scheme to facilitate algorithm trading of securities. The proposed scheme is capable to intelligently identify, analyze, and implement the intrinsic directional changes in the price movement of the stock market. An overall qualitative assessment is provided together with survey of existing theoretical and empirical foundations towards the success of such an algorithm. Potential loopholes and roadmap for further improvement are suggested.",

keywords = "Algorithmic trading, Directional change, Genetic programming, High free frequency trading",

author = "Botao Ye and Dejun Xie",

note = "Publisher Copyright: {\textcopyright} 2018 IEEE.; 16th IEEE/ACIS International Conference on Software Engineering Research, Management and Application, SERA 2018 ; Conference date: 13-06-2018 Through 15-06-2018",

year = "2018",

month = sep,

day = "28",

doi = "10.1109/SERA.2018.8477229",

language = "English",

series = "Proceedings - 2018 IEEE/ACIS 16th International Conference on Software Engineering Research, Management and Application, SERA 2018",

publisher = "Institute of Electrical and Electronics Engineers Inc.",

pages = "13--18",

editor = "Xiaohui Cui and Junfeng Wang and Zhi Jin and Zhengtao Yu and Bing Luo and Shaowen Yao",

booktitle = "Proceedings - 2018 IEEE/ACIS 16th International Conference on Software Engineering Research, Management and Application, SERA 2018",

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Ye, B & Xie, D 2018, An Overview of Event Based Directional Change for Algorithmic Trading. in X Cui, J Wang, Z Jin, Z Yu, B Luo & S Yao (eds), Proceedings - 2018 IEEE/ACIS 16th International Conference on Software Engineering Research, Management and Application, SERA 2018., 8477229, Proceedings - 2018 IEEE/ACIS 16th International Conference on Software Engineering Research, Management and Application, SERA 2018, Institute of Electrical and Electronics Engineers Inc., pp. 13-18, 16th IEEE/ACIS International Conference on Software Engineering Research, Management and Application, SERA 2018, Kunming, China, 13/06/18. https://doi.org/10.1109/SERA.2018.8477229

An Overview of Event Based Directional Change for Algorithmic Trading. / Ye, Botao; Xie, Dejun.
Proceedings - 2018 IEEE/ACIS 16th International Conference on Software Engineering Research, Management and Application, SERA 2018. ed. / Xiaohui Cui; Junfeng Wang; Zhi Jin; Zhengtao Yu; Bing Luo; Shaowen Yao. Institute of Electrical and Electronics Engineers Inc., 2018. p. 13-18 8477229 (Proceedings - 2018 IEEE/ACIS 16th International Conference on Software Engineering Research, Management and Application, SERA 2018).

Research output: Chapter in Book or Report/Conference proceeding › Conference Proceeding › peer-review

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AB - This paper outlines a framework of a practicable scheme to facilitate algorithm trading of securities. The proposed scheme is capable to intelligently identify, analyze, and implement the intrinsic directional changes in the price movement of the stock market. An overall qualitative assessment is provided together with survey of existing theoretical and empirical foundations towards the success of such an algorithm. Potential loopholes and roadmap for further improvement are suggested.

KW - Algorithmic trading

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KW - High free frequency trading

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BT - Proceedings - 2018 IEEE/ACIS 16th International Conference on Software Engineering Research, Management and Application, SERA 2018

A2 - Cui, Xiaohui

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A2 - Jin, Zhi

A2 - Yu, Zhengtao

A2 - Luo, Bing

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Ye B, Xie D. An Overview of Event Based Directional Change for Algorithmic Trading. In Cui X, Wang J, Jin Z, Yu Z, Luo B, Yao S, editors, Proceedings - 2018 IEEE/ACIS 16th International Conference on Software Engineering Research, Management and Application, SERA 2018. Institute of Electrical and Electronics Engineers Inc. 2018. p. 13-18. 8477229. (Proceedings - 2018 IEEE/ACIS 16th International Conference on Software Engineering Research, Management and Application, SERA 2018). doi: 10.1109/SERA.2018.8477229

An Overview of Event Based Directional Change for Algorithmic Trading

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