Software for Computational Finance

Directional Change Demonstrator
Written by Han AO; Released 2013.07.13

This demo is designed to illustrate the concept of Directional Change (DC), a new concept for summarising financial data.

Simulator: A Formalization of Double Auction Market Dynamics
Written by Shaimaa Masry; Released 2010.10.13

This demo has been designed to illustrate how Market Calculus could help monitor the fragility of the market. The demo is based on the paper:

• Tsang, E.P.K., Olsen, R. & Masry, S. A Formalization of Double Auction Market Dynamics, Quantitative Finance, Vol.13, Iss.7, July 2013, 981-988 (see early version)

TR1: A program to produce DC indicators
Written by TAO Ran; Released 2017.07.31

This is a program that takes a data file as input (in .csv format) and produce useful indicators under the Directional Change framework.

• TR1 (DC Profiling) specification:
  Edward P K Tsang, Ran Tao and Shuai Ma, Profiling Financial Market Dynamics under Directional Changes, Working Paper WP074-15, Centre for Computational Finance and Economic Agents (CCFEA), University of Essex, 2015
• DC Profiling application:
  Edward P K Tsang, Ran Tao, Antoaneta Serguieva and Shuai Ma, Profiling High Frequency Equity Price Movements in Directional Changes, Quantitative Finance, Vol.17, Issue 2, 2017, 217-225 (published on line: 07 June 2017)
  (An earlier version of this paper appeared as Working Paper WP077-15, Centre for Computational Finance and Economic Agents (CCFEA), University of Essex, June 2015)

Disclaimer

Permission to use, copy, modify, and distribute the above software and their documentation for educational, research, and not-for-profit and non commercial purposes, without fee and without a signed licensing agreement, is hereby granted, provided that the above copyright notice, this paragraph and the following two paragraphs appear in all copies, modifications, and distributions and all dealings between the University of Essex and third parties are governed exclusively by English law and all disputes are subject to the non–exclusive jurisdiction of the English courts. If you are not willing to accept these terms please return the software and their documentations to us. The creators must be immediately informed of all enhancements and modifications to the software and they shall be free to use these as they choose.

Contact: Dr Edward Tsang, Professor, CCFEA, University of Essex, Wivenhoe Park, Colchester, Essex, CO4 3SQ, UK

IN NO EVENT SHALL THE UNIVERSITY OF ESSEX BE LIABLE TO ANY PARTY FOR DIRECT, INDIRECT, SPECIAL, INCIDENTAL, OR CONSEQUENTIAL DAMAGES, INCLUDING LOST PROFITS, ARISING OUT OF THE USE OF THIS SOFTWARE AND ITS DOCUMENTATION, EVEN IF THE UNIVERSITY HAS BEEN ADVISED OF THE POSSIBILITY OF SUCH DAMAGE.

THE UNIVERSITY SPECIFICALLY DISCLAIMS ANY EXPRESS WARRANTIES OR WARRANTIES IMPLIED BY LAW TO THE FULLEST EXTENT ALLOWED BY LAW, INCLUDING, BUT NOT LIMITED TO, THE IMPLIED WARRANTIES OF MERCHANTABILITY AND FITNESS FOR A PARTICULAR PURPOSE. THE SOFTWARE AND ACCOMPANYING DOCUMENTATION, IF ANY, PROVIDED HEREUNDER IS PROVIDED "AS IS". THE UNIVERSITY HAS NO OBLIGATION TO PROVIDE MAINTENANCE, SUPPORT, UPDATES, ENHANCEMENTS, OR MODIFICATIONS.