2014/09/18 by Yasemin Hafizogullari, Hafizogullari, Yasemin, Stanislaus Maier‐Paape +3
Economics, Econometrics and Finance · Mathematics · #Complex Systems and Time Series Analysis #FOS: Economics and business #Financial Risk and Volatility Modeling #Modeling, Simulation, and Optimization #Statistical Finance (q-fin.ST)
paper · pdf · doi:10.48550/arxiv.1409.5321
openalex publication_date 2014/09/18 · openalex created_date 2025/10/10 · openalex updated_date 2026/08/01
In this paper we study automatically recognized trends and investigate their statistics. To do that we introduce the notion of a wavelength for time series via cross correlation and use this wavelength to calibrate the 1-2-3 trend indicator of Maier-Paape [Automatic One Two Three, Quantitative Finance, 2013] to automatically find trends. Extensive statistics are reported for EUR-USD, DAX-Future, Gold and Crude Oil regarding e.g. the dynamic, duration and extension of trends on different time scales.