GENEVA RESEARCH COLLABORATION SEMINAR - Trend analysis of financial time series

by Dr. Allan Din (Geneva Research Collaboration, Geneva)

Tuesday 17 Jun 2003, 16:30 → 17:30 Europe/Zurich

PS Auditorium (CERN)

A large part of the many claims for successfully predicting the directional movement of financial markets is based on some kind of scheme for "riding the right trend". A problem with such claims is the lack of general agreement about the definition of what constitutes a "trend" and how good it is. The talk discusses financial time series in terms of a discrete change representation which allows for a rather straightforward definition of a Trend-Range process associated with the time series.
Trend analysis is first carried out for random walks so as to determine a certain reference probability distribution for the range process. It is shown how it may be possible to identify a statistically significant signals for trendy behaviour of a financial time series through the appearance of enhancements of the lower tail of the cumulative range probability distribution function. This distribution function leads in a natural way to the definition of a Trend Index a Range Index.
As an example, the trend-range properties of daily prices for a few currency crosses, world indices and blue chip stocks are investigated. Results are presented for these time series which show distinctive range characteristics of importance for better understanding the dynamics of financial forecasting.
More information: http://grc.web.cern.ch/grc/