The Ways of Identifying Price Trends in Non-Equidistant High-Frequency Time Series

Student: Akhmedov Dmitriy

Supervisor: Oleg Shenker

Educational Programme: Financial Analyst (Master)

Year of Graduation: 2020

Term paper presented is devoted to market price trend identification. Specifics of this particular work comes from the time series specification as High Frequency (HF) time series. Major difference of High Frequency series is that time intervals between data points are not equal and varies (non-equidistant data points). Term paper’s topic might be of a great interest for traders, exchange technology specialists, trading algorithms’ developers. The concept of trend is important for many investors and traders, as they prefer to follow this directional price movement in their activities. Trends are present in all markets, stock, futures and others.

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