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.
| Identifer | oai:union.ndltd.org:UPSALLA1/oai:DiVA.org:hh-13940 |
| Date | January 2010 |
| Creators | Shcherbakova, Evgenia, Gogoleva, Olga |
| Publisher | Högskolan i Halmstad, Sektionen för Informationsvetenskap, Data– och Elektroteknik (IDE), Högskolan i Halmstad, Tillämpad matematik och fysik (MPE-lab), Högskolan i Halmstad, Sektionen för Informationsvetenskap, Data– och Elektroteknik (IDE), Högskolan i Halmstad, Tillämpad matematik och fysik (MPE-lab) |
| Source Sets | DiVA Archive at Upsalla University |
| Language | English |
| Detected Language | English |
| Type | Student thesis, info:eu-repo/semantics/bachelorThesis, text |
| Format | application/pdf |
| Rights | info:eu-repo/semantics/openAccess |
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