Essays about: "cange-point detection"

Found 1 essay containing the words cange-point detection.

  1. 1. On-line change-point detection procedures for Initial Public Offerings

    University essay from Sektionen för Informationsvetenskap, Data– och Elektroteknik (IDE); Tillämpad matematik och fysik (MPE-lab)

    Author : Evgenia Shcherbakova; Olga Gogoleva; [2010]
    Keywords : Financial Mathematics; cange-point detection; monitoring;

    Abstract :   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. READ MORE