Statistical process control and its application in finance

被引：0

作者：

Severin, T ^{[1
]}

Schmid, W ^{[1
]}

机构：

[1] Europe Univ Viadrina, Dept Stat, D-15207 Frankfurt, Germany

来源：

RISK MANAGEMENT, ECONOMETRICS AND NEURAL NETWORKS | 1998年

关键词：

financial time series; GARCH process; statistical process control; control charts; stock market returns;

D O I：

暂无

中图分类号：

TP18 [人工智能理论];

学科分类号：

081104 ; 0812 ; 0835 ; 1405 ;

摘要：

Analyzing a financial time series it is of great interest to monitor changes in its structure. In this paper it is shown how control charts can be used to detect such positions. Several control schemes for GARCH processes are introduced and compared with each other. Furthermore these methods are applied to stock market returns.

引用

页码：83 / 104

页数：22

共 50 条

[31] Application of statistical process control to IMRT quality assurance
Fang, B.
Shoale, J.
Pawlicki, T.
Boyer, A.
MEDICAL PHYSICS, 2006, 33 (06) : 2071 - 2071
[32] The Application of Monte Carlo Simulation for Statistical Process Control
Zhang, Lin
PROCEEDINGS OF 2009 INTERNATIONAL CONFERENCE OF MANAGEMENT ENGINEERING AND INFORMATION TECHNOLOGY, VOLS 1 AND 2, 2009, : 853 - 856
[33] Reaming process improvement and control: An application of statistical engineering
Muller, P.
Genta, G.
Barbato, G.
De Chiffre, L.
Levi, R.
CIRP JOURNAL OF MANUFACTURING SCIENCE AND TECHNOLOGY, 2012, 5 (03) : 196 - 201
[34] Application of Statistical Process Control for Coal Particle Size
Deniz, V.
Umucu, Y.
ENERGY SOURCES PART A-RECOVERY UTILIZATION AND ENVIRONMENTAL EFFECTS, 2013, 35 (14) : 1306 - 1315
[35] Application of latent variable methods to process control and multivariate statistical process control in industry
Kourti, T
INTERNATIONAL JOURNAL OF ADAPTIVE CONTROL AND SIGNAL PROCESSING, 2005, 19 (04) : 213 - 246
[36] GUIDELINES FOR THE APPLICATION OF STATISTICAL PROCESS-CONTROL IN THE CONTINUOUS PROCESS INDUSTRIES
MAMZIC, C
MEASUREMENT & CONTROL, 1995, 28 (03): : 69 - 73
[37] Application of multivariate statistical process control (MSPC) to a continuous manufacturing process
Hawkins, CJ
Wood, M
ADVANCES IN PROCESS CONTROL 5, 1998, : 25 - 33
[38] Statistical process control and its applications in Korean industries
Park, SH
Kim, JJ
QUALITY IMPROVEMENT THROUGH STATISTICAL METHODS, 1998, : 121 - 133
[39] Statistical process control - A glimpse at its past and future
Hunter, JS
QUALITY PROGRESS, 1999, 32 (12) : 54 - 57
[40] Principal Curves for Statistical Divergences and an Application to Finance
Rodrigues, Ana Flavia P.
Cavalcante, Charles Casimiro
ENTROPY, 2018, 20 (05)

← 1 2 3 4 5 →