Detecting turning points in high-frequency financial data analysis
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Cites work
- A numerical approach to performance analysis of quickest change-point detection procedures
- A Small Sample Size Comparison of the Cusum and Shiryayev-Roberts Approaches: Changepoint Detection
- A test for a change in a parameter occurring at an unknown point
- An exact formula for the average run length to false alarm of the generalized Shiryaev-Roberts procedure for change-point detection under exponential observations
- Buy low and sell high
- Buy-low and sell-high investment strategies
- Dependent functional linear models with applications to monitoring structural change
- Jump Regressions
- Monitoring for a change point in a sequence of distributions
- Non-parametric threshold estimation for models with stochastic diffusion coefficient and jumps
- Numerical methods for simulation of stochastic differential equations
- On Optimum Methods in Quickest Detection Problems
- On sequential detection of parameter changes in linear regression
- Optimal detection of a change in distribution
- Optimal redeeming strategy of stock loans under drift uncertainty
- Optimal selling rules in a regime switching model
- Optimal stopping times for detecting changes in distributions
- Optimality of the CUSUM procedure in continuous time.
- Optimality properties of the Shiryaev-Roberts procedure
- Sequential Change-Point Detection for Mutually Exciting Point Processes
- Stochastic disorder problems
- Stock trading rules under a switchable market
- Stock trading: an optimal selling rule
- The pricing of options and corporate liabilities
- Trading a mean-reverting asset: buy low and sell high
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