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.
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© 2004 Springer Science+Business Media New York
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Sy, B.K., Gupta, A.K. (2004). Case Study 2: Financial Data Analysis. In: Information-Statistical Data Mining. The Kluwer International Series in Engineering and Computer Science, vol 757. Springer, Boston, MA. https://doi.org/10.1007/978-1-4419-9001-3_14
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DOI: https://doi.org/10.1007/978-1-4419-9001-3_14
Publisher Name: Springer, Boston, MA
Print ISBN: 978-1-4613-4755-2
Online ISBN: 978-1-4419-9001-3
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