Essays about: "shiryaev"

Found 2 essays containing the word shiryaev.

  1. 1. Detection of the Change Point and Optimal Stopping Time by Using Control Charts on Energy Derivatives

    University essay from Högskolan i Halmstad/Tillämpad matematik och fysik (MPE-lab); Högskolan i Halmstad/Tillämpad matematik och fysik (MPE-lab)

    Author : Cihan AL; Kubra Koroglu; [2011]
    Keywords : change point detection; optimal stopping time; shiryaev; shewhart; ewma; cusum; statistical process control; SPC; Financial Mathematics; changepoint detection; optimalstopping time; Shiryaev metod; Cusum metod; Ewma metod;

    Abstract : .... READ MORE

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

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