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Title: Profitability of Directional Change Based Trading Strategies: The Case of Saudi Stock Market

Speaker: Dr. Monira Essa Aloud, PhD  |  Assistant Professor, Department of Management Information System, College of Business Administration, KSU.



An event-based framework of directional changes and overshoots maps financial market price time series into the so-called Intrinsic Time where events are the time scale of the price time series. This allows for multi-scale analysis of financial data. In the light of this, this paper formulates directional changes (DC) event approach into three automated trading strategies for investments in the financial markets: ZI-DCT0, DCT1, and DCT2. The main idea is to use intrinsic time scale based on DC events to learn the size and the direction of periodic patterns from the asset price historical dataset. Using simulation models of Saudi Stock Market, we evaluate the returns of the automated DC trading strategies. The analysis revealed interesting results and evidence that the proposed strategies can indeed generate effective trading for investors with a high rate of returns. The results of this study can be used further to develop decision support systems and autonomous trading agent strategies for the financial market.

Dr. Monira Essa Aloud:

Monira Essa Aloud is an assistant professor in the Department of Management Information SystemsCollege of Business AdministrationKing Saud University. She is the vice-dean of the College of Business Administration in King Saud University. She received her Ph.D. from the School of Computer Science and Electronic Engineering at University of Essex (UK) in 2013. She received her MSc in E-Commerce Technology from the same university in 2008 and her Bsc in Information Technology from King Saud University in 2006. Aloud has a broad research interest in the use of artificial intelligence to Business applications such as finance. Her research focuses on agents and multi-agent systems and their practical applications.


Date/Time: Tuesday, October 13, 2015 at 12:00pm

Location: Maria Auditorium, F50 in Building 6  - Broadcast to Room 2084 in CCIS Building 31.

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