Change point dynamics for financial data: an indexed Markov chain approach

DOI10.1007/S10436-018-0337-0zbMATH Open1417.91564OpenAlexW2897987439WikidataQ129088935 ScholiaQ129088935MaRDI QIDQ2000694FDOQ2000694

Filippo Petroni, Ada Lika, Guglielmo D'Amico

Publication date: 28 June 2019

Published in: Annals of Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10436-018-0337-0

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zbMATH Keywords

change pointvolatilityfinancial returnsintra-day prices

Mathematics Subject Classification ID

Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Actuarial science and mathematical finance (91G99)

Cites Work

• Long memory and regime switching
• Applied Semi-Markov Processes
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• Testing for the number of states in hidden Markov models
• Variance matters (in stochastic dividend discount models)
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• Online change detection of Markov chains with unknown post-change transition probabilities

Cited In (5)

• Valuation of R\&D compound option using Markov chain approach
• A semi-Markov approach to financial modelling during the COVID-19 pandemic
• Semiparametric method for detecting multiple change points model in financial time series
• Order patterns, their variation and change points in financial time series and Brownian motion
• Rapid detection of the switching point in a financial market structure using the particle filter

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