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Found 2 essays matching the above criteria.

1. 1. Monitoring Exchange Rates by Statistical Process Control

   University essay from Tillämpad matematik och fysik (MPE-lab)

   Author : Byeonggeon Ko; Yang Gao; [2011]
   Keywords : Financial Mathematics; exchange rates; statistical process control;

   Abstract : The exchange rate market has traditionally played a key role in the financial market. The variation of the exchange rate which is called volatility is also an important feature for studying the exchange rate market because the increased volatility may have a negative effect on a nation's economy by increasing the uncertainty in the exchange market. READ MORE

3. 2. Monitoring portfolio weights by means of the Shewhart method

   University essay from Sektionen för Informationsvetenskap, Data– och Elektroteknik (IDE)

   Author : Jeela Mohammadian; [2010]
   Keywords : Mathematics; Finacial Mathematics; Shewhart method; Change-point detection; Monitoring; ARL.;

   Abstract : The distribution of asset returns may lead to structural breaks. Thesebreaks may result in changes of the optimal portfolio weights. For a port-folio investor, the ability of timely detection of any systematic changesin the optimal portfolio weights is of a great interest. READ MORE