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Trend Analysis and Detection of Change-Points of Selected Financial and Market Indices

  • Dominika BallováEmail author
Conference paper
Part of the Advances in Intelligent Systems and Computing book series (AISC, volume 945)

Abstract

From the macroeconomic point of view, the stock index is the best indicator of the behavior of the stock market. Stock indices fulfill different functions. One of heir most important function is to observe developments of the stock market situation. Therefore, it is crucial to describe the long-term development of indices and also to find moments of abrupt changes. Another interesting aspect is to find those indices that have evolved in a similar way over time. In this article, using trend analysis, we will uncover the long-term evolution of selected indices. Other goal is to detect the moments in which this development suddenly changed using the change point analysis. By means of cluster analysis, we find those indices that are most similar in long-term development. In each analysis, we select the most appropriate methods and compare their results.

Keywords

Trend analysis Change-point analysis Cluster analysis 

Notes

Acknowledgement

The support of the grant VEGA 1/0420/15 is kindly announced.

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Copyright information

© Springer Nature Switzerland AG 2020

Authors and Affiliations

  1. 1.Slovak University of TechnologyBratislavaSlovakia

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