Volatility change point detection using stochastic differential equations and time series control charts

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F70883521%3A28120%2F13%3A43869717" target="_blank" >RIV/70883521:28120/13:43869717 - isvavai.cz</a>

Výsledek na webu

<a href="http://www.naun.org/multimedia/NAUN/ijmmas/16-661.pdf" target="_blank" >http://www.naun.org/multimedia/NAUN/ijmmas/16-661.pdf</a>

DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

Volatility change point detection using stochastic differential equations and time series control charts

Popis výsledku v původním jazyce

The article focuses on volatility change point detection using SPC (Statistical Process Control), specifically through time series control charts, and stochastic differential equations (SDEs). In the paper, recent advances in timechange point for processvolatility component satisfying a stochastic differential equation (SDE) based on discrete observations and also using time series control charts will be reviewed. Theoretical part will discuss the methodology of time series control charts and SDEs driven by a Brownian motion. Research part will demonstrate the methodologies using a case study focusing on analysis of Slovak currency during the period of 2000 - 2004 from the perspective of its usefulness for generating profits for company management through time series control charts and SDEs. The aim of the paper is to demonstrate use of change point detection in time series of the Slovak crown. It also aims to highlight versatility of control charts not only in manufacturing but also

Název v anglickém jazyce

Volatility change point detection using stochastic differential equations and time series control charts

Popis výsledku anglicky

The article focuses on volatility change point detection using SPC (Statistical Process Control), specifically through time series control charts, and stochastic differential equations (SDEs). In the paper, recent advances in timechange point for processvolatility component satisfying a stochastic differential equation (SDE) based on discrete observations and also using time series control charts will be reviewed. Theoretical part will discuss the methodology of time series control charts and SDEs driven by a Brownian motion. Research part will demonstrate the methodologies using a case study focusing on analysis of Slovak currency during the period of 2000 - 2004 from the perspective of its usefulness for generating profits for company management through time series control charts and SDEs. The aim of the paper is to demonstrate use of change point detection in time series of the Slovak crown. It also aims to highlight versatility of control charts not only in manufacturing but also

Druh

J_x - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)

CEP obor

AE - Řízení, správa a administrativa

OECD FORD obor

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Projekt

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Návaznosti

V - Vyzkumna aktivita podporovana z jinych verejnych zdroju

Rok uplatnění

2013

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

International Journal of Mathematical Models and Methods in Applied Science

ISSN

1998-0140

e-ISSN

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Svazek periodika

7

Číslo periodika v rámci svazku

2

Stát vydavatele periodika

GB - Spojené království Velké Británie a Severního Irska

Počet stran výsledku

12

Strana od-do

121-132

Kód UT WoS článku

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EID výsledku v databázi Scopus

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