An Overview of Event Based Directional Change for Algorithmic Trading

Botao Ye, Dejun Xie*

*Corresponding author for this work

Research output: Chapter in Book or Report/Conference proceedingConference Proceedingpeer-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 languageEnglish
Title of host publicationProceedings - 2018 IEEE/ACIS 16th International Conference on Software Engineering Research, Management and Application, SERA 2018
EditorsXiaohui Cui, Junfeng Wang, Zhi Jin, Zhengtao Yu, Bing Luo, Shaowen Yao
PublisherInstitute of Electrical and Electronics Engineers Inc.
Pages13-18
Number of pages6
ISBN (Electronic)9781538658864
DOIs
Publication statusPublished - 28 Sept 2018
Event16th IEEE/ACIS International Conference on Software Engineering Research, Management and Application, SERA 2018 - Kunming, China
Duration: 13 Jun 201815 Jun 2018

Publication series

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

Conference

Conference16th IEEE/ACIS International Conference on Software Engineering Research, Management and Application, SERA 2018
Country/TerritoryChina
CityKunming
Period13/06/1815/06/18

Keywords

  • Algorithmic trading
  • Directional change
  • Genetic programming
  • High free frequency trading

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