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On-line change-point detection procedures for Initial Public Offerings
Halmstad University, School of Information Science, Computer and Electrical Engineering (IDE). Halmstad University, School of Information Science, Computer and Electrical Engineering (IDE), Halmstad Embedded and Intelligent Systems Research (EIS), MPE-lab. (Finance Mathematics)
Halmstad University, School of Information Science, Computer and Electrical Engineering (IDE). Halmstad University, School of Information Science, Computer and Electrical Engineering (IDE), Halmstad Embedded and Intelligent Systems Research (EIS), MPE-lab. (Finance Mathematics)
2010 (English)Independent thesis Advanced level (degree of Master (One Year)), 15 credits / 22,5 HE creditsStudent thesis
Abstract [en]

 

In this thesis we investigate the case of monitoring of stocks havingjust been introduced for public trading on the nancial market. Theempirical distribution of the change-point for 20 assets for 60 days was calculated to check the support for the assumption that the priceinitially drop or rise to some steady level.The price process X = {Xt : t in Z} is assumed to be an AR(1) process with a shift in the mean value from a slope to a constant. The Shiryaev-Roberts, Shewhart, EWMA, Likelihood ratio and CUSUM proceduresfor detecting a change-point in such a process are derived. The expecteddelay of the motivated alarm according to these methods is achievedunder the assumptions of a Poisson, uniform, binomial and geometric distributed 

by means of simulations.

 

  

 

Place, publisher, year, edition, pages
2010. , 55 p.
Keyword [en]
Financial Mathematics, cange-point detection, monitoring
National Category
Computational Mathematics Probability Theory and Statistics
Identifiers
URN: urn:nbn:se:hh:diva-13940OAI: oai:DiVA.org:hh-13940DiVA: diva2:373130
Presentation
2010-06-04, Haldasalen, Halmstad University, Halmstad, 10:40 (English)
Uppsok
Physics, Chemistry, Mathematics
Supervisors
Examiners
Available from: 2010-12-02 Created: 2010-11-30 Last updated: 2010-12-02Bibliographically approved

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CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • harvard1
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf