Detecting Regime Change in Computational Finance

Jun Chen received his PhD in computational finance from the Centre for Computational Finance and Economic Agents, University of Essex in 2019.Edward P K Tsang is an Emeritus Professor at the University of Essex, where he co-founded the Centre for Computational Finance and Economic Agents in 2002. He is a Visiting Professor at University of Hong Kong.

• 1. Introduction. 2. Background and Literature Survey. 3. Regime Change Detection using Directional Change Indicators. 4. Classification of Normal and Abnormal Regimes in Financial Markets. 5. Tracking Regime Changes using Directional Change Indicators. 6. Algorithmic Trading based on Regime Change Tracking. 7. Conclusion. Appendix A. A Formal Definition of Directional Change. Appendix B. Extended Results of Chapter. 3 Appendix C. Experiment Summary of Chapter. 4 Appendix D. Detected Regime Changes in Chapter.

"This is the first book of its kind to build on the framework of Directional Change. The concept of Directional Change opens a whole new area of research."-- From the Foreword by Richard Olsen, Founder and CEO of Lykke, co-founder of OANDA and pioneer in high frequency finance and fintech."Financial markets technology and the practice of trading are in a state of constant change. A book that details a completely new concept in trading, however, is very rare. Detecting Regime Change in Computational finance is one such book and Professor Tsang and Dr Chen should be applauded for producing this exciting new work. The concept and framework of directional change in prices is an area of research with much promise!"-- Dr David Norman, Founder of TTC Institute and author of Professional Electronic Trading (Wileys 2001) “A creative start at a novel and difficult problem for investors large and small.”-- Professor M. A. H. Dempster, University of Cambridge & Cambridge Systems Associates Limited"This book shows how AI could be a game-changer in finance"-- Dr Amadeo Alentorn, Head of Research/Fund Manager at Merian Global Investors