DC Profiling software

TR1 by TAO Ran: A program to produce DC indicators

• Version: TR1.4
• Author: TAO, Ran
• Released date: 2017.07.31
• Language: Matlab
• Description: This is a program that takes a data file as input (in .csv format) and produce useful indicators under the Directional Change framework. Specification of the program can be found in Tsang et al 2015. Tsang et al 2017 explains how the indicators can be used to analyse stocks data.

Ma Shuai DC Data Files Repository

• Description:
  • Euro-USD foreign exchange prices, 25/09/2009 00:00:00 to 22/07/2016 16:59:00
  • Directional changes were computed from second-to-second data
  • All files are in .csv format.
  • All files are DC files. For details of what they are, see Working Paper WP074-14, 2016
• Data:
  • Threshold = 0.02%
  • Threshold = 0.04%
  • Threshold = 0.08%
  • Threshold = 0.16%

Related Demos:

DC Demonstrator by Ao Han

• Directional Change is a new way to summarize price movements.
• This demo is designed to illustrate the concept of Directional Change (DC), a new concept for summarising financial data.
• This program allows uses to understand what Directional Changes are, and how they are related to time series.
• Released 2013.07.13

Simulator: A Formalization of Double Auction Market Dynamics by Shaimaa Masry

• This demo was designed to illustrate how Market Calculus could help monitor the fragility of the market.
• Released 2010.10.13

References:

• 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 this software and its 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 its documentation 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: Prof Edward Tsang, 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.