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

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.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.