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Case Study 2: Financial Data Analysis

  • Bon K. Sy
  • Arjun K. Gupta
Part of the The Kluwer International Series in Engineering and Computer Science book series (SECS, volume 757)

Abstract

In this chapter, we show the application of change point technique to the weekly prices of two stocks from the New York Stock Exchange; namely, Exxon and General Dynamics. The information theoretic approach described in chapter 7 is used to estimate the number of change points as well as their locations. Model selection methodology, using Schwarz Information Criterion, is promulgated to solve the difficult problem of change point analysis.

Keywords

Change Point Return Series Change Point Analysis Financial Data Analysis York Stock Exchange 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Springer Science+Business Media New York 2004

Authors and Affiliations

  • Bon K. Sy
    • 1
  • Arjun K. Gupta
    • 2
  1. 1.City University of New YorkUSA
  2. 2.Bowling Green State UniversityUSA

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