37AUSTEN's Future Movement Group Algorithm: Real-Time Directional Forecasting for High Frequency Data

The Group Algorithm is used to analyse an asset's time series, which is high-frequency or exhibits static price per time interval. The Group Algorithm batches the data periods into groups of 3 to create a price range per interval. This data is transformed to proprietary data representing our interpretation of the asset's price volatility then analysed using our in-house data mining techniques. Using this algorithm, clients can forecast high-frequency data, which is often noisy and hard to model. Furthermore, the algorithm does not rely on historical price/return patterns, enabling the application of the algorithm to be non-restricted to an asset class.