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

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. Keywords: directional changes, financial forecasting, automated trading, financial markets, simulation. JEL Classifications: G11, G14, G1

Time Series Analysis Indicators under Directional Changes: The Case of Saudi Stock Market

We introduce a set of time series analysis indicators under an event based framework of directional changes and overshoots.  Our aim is to map continuous financial market price data into the so-called Directional-Change (DC) Framework- a state based discretization of basically dissected price time series. The DC framework analysis relied on understanding the price time series as an event-based process, as an alternative of focusing on their stochastic character.  Defining a scheme for state reduction of DC Framework, we show that it has a dependable hierarchical structure that permits for analysis of financial data. We show empirical examples within the Saudi Stock Market. The new DC indicators represent the foundation of a completely new generation of financial tools for studying volatility, risk measurement, and building advanced forecasting and automated trading models. Keywords:  directional changes, financial forecasting, automated trading, financial markets, Saudi Stock Market. JEL Classifications: G11, G14, G

A Directional-Change Events Approach for Studying Financial Time Series

Financial markets witness high levels of activity at certain times, but remain calm at others. This makes the flow of physical time discontinuous. Therefore using physical time scales for studying financial time series, runs the risk of missing important activities. An alternative approach is the use of an event-based time that captures periodic activities in the market. In this paper, we use a special type of event, called a directional-change event, and show its usefulness in capturing periodic market activities. Our study confirms that the length of the price curve coastline as defined by directional-change events, turns out to be a long one

The effects of knowledge management processes on service sector performance: evidence from Saudi Arabia

Abstract This study examines the effect of Knowledge Management (KM) processes on organizational performance in Saudi Arabian service organizations. It focuses on knowledge creation, capture, sharing, and application, and examines their effects on quality, operational, and innovation performance. While the service sector can enhance operational efficiencies through effective KM implementation, the extent of this impact, particularly in terms of quality and operational performance in developing countries like Saudi Arabia, remains underexplored. The study uses a quantitative methodology, obtaining 605 valid responses from Saudi service sector managers through an online self-reported questionnaire. Structural equation modeling validates the research model and tests the hypotheses. Results indicate that knowledge sharing has a nonsignificant effect, while knowledge creation, capture, and application have substantial impacts. Specifically, knowledge application significantly improves operational performance, while knowledge creation influences quality and innovation performance. Organizations are advised to understand their KM processes’ structure to effectively implement and leverage their impact on performance. Emphasizing knowledge sharing through personalized communication channels, employee development opportunities, and effective incentive systems is recommended to sustain engagement and motivation. Furthermore, prioritizing KM tools and technology for seamless knowledge flow across organizational levels and implementing collaborative tools can enhance innovative capabilities, adaptability, and competitive advantages

A Directional-Change Event Approach for Studying Financial Time Series

Financial markets witness high levels of activity at certain times but remain calm at others. This makes the flow of physical time discontinuous. Therefore, to use physical time scales for studying financial time series runs the risk of missing important activities. An alternative approach is to use an event-based time scale that captures periodic activities in the market. In this paper, the authors use a special type of event, called a directional-change event, and show its usefulness in capturing periodic market activities. The study confirms that the length of the price-curve coastline, as defined by directional-change events, turns out to be a long one

A directional-change events approach for studying financial time series

Financial markets witness high levels of activity at certain times, but remain calm at others. This makes the flow of physical time discontinuous. Therefore using physical time scales for studying financial time series, runs the risk of missing important activities. An alternative approach is the use of an event-based time that captures periodic activities in the market. In this paper, we use a special type of event, called a directional-change event, and show its usefulness in capturing periodic market activities. Our study confirms that the length of the price curve coastline as defined by directional-change events, turns out to be a long one. --Directional-change event,intrinsic time,high-frequency finance,foreign exchange market,time-series analysis