The Usage of Time Series Control Charts for Financial Process Analysis

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F70883521%3A28120%2F12%3A43868211" target="_blank" >RIV/70883521:28120/12:43868211 - isvavai.cz</a>
Result on the web
<a href="http://dx.doi.org/10.7441/joc.2012.03.03" target="_blank" >http://dx.doi.org/10.7441/joc.2012.03.03</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.7441/joc.2012.03.03" target="_blank" >10.7441/joc.2012.03.03</a>

Result language
angličtina
Original language name
The Usage of Time Series Control Charts for Financial Process Analysis
Original language description
We will deal with financial proceedings of the company using methods of SPC (Statistical Process Control), specifically through time series control charts. The paper will outline the intersection of two disciplines which are econometrics and statisticalprocess control. The theoretical part will discuss the methodology of time series control charts and in the research part there will be this methodology demonstrated in three case studies. The first study will focus on the regulation of simulated financial flows for a company by CUSUM control chart. The second study will involve the regulation of financial flows for a heteroskedastic financial process by EWMA control chart. The last case study of our paper will be devoted to applications of ARIMA, EWMAand CUSUM control charts in the financial data that are sensitive to the mean shifting while calculating the autocorrelation in the data. In this paper, we highlight the versatility of control charts not only in manufacturing but also in
Czech name
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Czech description
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Type
J<sub>x</sub> - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)
CEP classification
AE - Management, administration and clerical work
OECD FORD branch
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Publication year
2012
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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