Time Deformation: Definition and Comparisons - HAL-SHS - Sciences de l'Homme et de la Société Accéder directement au contenu
Article Dans Une Revue Journal of Computational Intelligence in Finance Année : 1998

Time Deformation: Definition and Comparisons

Gaëlle Le Fol
  • Fonction : Auteur
  • PersonId : 882687
Mercier Ludovic
  • Fonction : Auteur

Résumé

In this paper, we are dealing with financial high frequency data; any time an order reaches the market, any time a cancellation or transaction occurs, a new record is made, ending up with a huge amount of data. Hence the time interval between two events is not fixed, forbidding the use of standard statistical tools. In the recent literature, several authors proposed time deformation techniques to deal with this problem. The practical importance of time deformation is to give a preprocessing technique to obtain a regularly spaced grid of data. The main contribution of this paper is to survey most of the time deformations proposed in the literature in a general setting and to compare them from both a statistical and financial point of view. We provide a new trading strategy in which the time to invest is endogeneous. Moreover, we highlight the fact that changing time scale can improve the daily gain following such a strategy.
Fichier non déposé

Dates et versions

halshs-00586097 , version 1 (14-04-2011)

Identifiants

  • HAL Id : halshs-00586097 , version 1

Citer

Gaëlle Le Fol, Mercier Ludovic. Time Deformation: Definition and Comparisons. Journal of Computational Intelligence in Finance, 1998, 6 (5), pp.19-33. ⟨halshs-00586097⟩
328 Consultations
0 Téléchargements

Partager

Gmail Mastodon Facebook X LinkedIn More