ON THE TURNING POINT DETECTION IN FINANCIAL TIME SERIES

Riccardo Bramante, Silvia Facchinetti

Risultato della ricerca: Contributo in libroContributo a convegno

Abstract

In finance, the problem of turning-points detection plays a crucial role. In this paper we develop a change detection procedure, based on an hypothesis test for the difference between two consecutive slopes in a rolling regression framework. Some empirical evidences on S&P 500 daily data change-point detection are provided.
Lingua originaleEnglish
Titolo della pubblicazione ospiteClada g 2017 Book of Short Papers
PagineN/A
Stato di pubblicazionePubblicato - 2017
EventoInternational Conference of The CLAssification and Data Analysis Group (CLADAG) of the Italian Statistical Society (SIS) - MILANO -- ITA
Durata: 13 set 201715 set 2017

Convegno

ConvegnoInternational Conference of The CLAssification and Data Analysis Group (CLADAG) of the Italian Statistical Society (SIS)
CittàMILANO -- ITA
Periodo13/9/1715/9/17

Keywords

  • rolling regression.
  • time series analysis
  • turning point detection

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