Han Ao's scientific contributions

Publication (1)

Conference Paper
Full-text available
Algorithm trading has become more and more important to financial markets. Most existing algorithms use time series as input. Instead of relying on physical time, Directional Changes (DC) focus on the price reversion events where the reversion reaches a certain magnitude, which is referred to as the threshold. In this paper, we propose two trading...


... A DC event detection algorithm with a comprehensive description of DC can be found in the literature [29]. The potential of DC event approaches has been proven in many studies for different financial markets, and they have been used for event detection [7], [13], forecasting models [30], [31], designing trading strategies [30], [32]- [40], profiling price timeseries [31], and time-series analysis [41], [42]. ...