Detecting Regime Change in Computational Finance

Data Science, Machine Learning and Algorithmic Trading

Jun Chen and Edward P K Tsang, Research Monograph, CRC Press, 2021

ISBN: 9780367536282 / Preorder: CRC Press / Amazon

Brief overview:

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About the book:

Based on interdisciplinary research into “Directional Change”, a new data-driven approach to financial data analysis, this book applies machine learning to financial market monitoring and algorithmic trading.

Directional Change is a new way of summarizing price changes in the market. Instead of sampling prices at fixed intervals (such as daily closing in time series), it samples prices when the market changes direction ("zigzag"). By sampling data in a different way, the book lays out concepts which enable the extraction of information that other market participants may not be able to see.

The book includes a Foreword by Richard Olsen and explores the following topics:

It will be of great interest to researchers in computational finance, machine learning, and data science.

About the authors:

Foreword by Richard Olsen, inventor of Directional Change, Co-founder of OANDA, Founder of Lykke


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