Quickest detection problems in the technical analysis of the financial data
Brownian motion with random driftchange-point (disorder) detection problemsCUSUM and Shiryaev-Roberts statisticsfiltering equationsinnovation processesoptimal stopping times
Signal detection and filtering (aspects of stochastic processes) (60G35) Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stopping in statistics (62L15) Applications of statistics to actuarial sciences and financial mathematics (62P05) Stochastic models in economics (91B70)
In this paper the problem of change-point (disorder) detection schemes in different formulations is considered both for a sequence of independent, identically distributed random variables and for a Brownian motion with random drift. Also, the problem of stopping a Brownian motion without anticipation as close as possible to its ultimate maximum is considered. These problems can be applied to the technical analysis of financial data and to decision-making procedures. This is a wonderful overview of detection schemes, which was the subject of the author during many years. For the entire collection see [Zbl 0978.00046].
- Minimax perfect stopping rules for selling an asset near its ultimate maximum
- Analytic moment and Laplace transform formulae for the quasi-stationary distribution of the Shiryaev diffusion on an interval
- Three-dimensional Brownian motion and the golden ratio rule
- Optimal control problems with disorder
- Quickest drift change detection in Lévy-type force of mortality model
- Selling a stock at the ultimate maximum
- An analytic expression for the distribution of the generalized Shiryaev-Roberts diffusion. The Fourier spectral expansion approach
- The optimal stopping problem concerned with ultimate maximum of a Lévy process
- Disorder problem for a Brownian motion on a segment in the case of uniformly distributed moment of disorder
- On the quasi-stationary distribution of the Shiryaev-Roberts diffusion
- Bayesian switching multiple disorder problems
- Optimal detection of a hidden target: the median rule
- Detecting changes in real-time data: a user's guide to optimal detection
- Asymptotic near-minimaxity of the randomized Shiryaev-Roberts-Pollak change-point detection procedure in continuous time
- A note on the quasi-stationary distribution of the Shiryaev martingale on the positive half-line
- Stochastic disorder problems
- Quickest detection of a hidden target and extremal surfaces
- Bayesian quickest detection problems for some diffusion processes
- On the convergence rate of the quasi- to stationary distribution for the Shiryaev-Roberts diffusion
- Explicit asymptotics on first passage times of diffusion processes
- Analytic evaluation of the fractional moments for the quasi-stationary distribution of the Shiryaev martingale on an interval
- Generalised ``arcsine laws for run-and-tumble particle in one dimension
- Some applications of \(M\)-ary detection in quantitative finance
- Optimal closing of a momentum trade
- A series expansion formula of the scale matrix with applications in CUSUM analysis
- \(L^p\) optimal prediction of the last zero of a spectrally negative Lévy process
- Predicting the ultimate supremum of a stable Lévy process with no negative jumps
- Efficient performance evaluation of the generalized Shiryaev-Roberts detection procedure in a multi-cyclic setup
- Optimal selling time in stock market over a finite time horizon
- Numerical approaches to finite-horizon optimal stopping problems for the Shiryaev process
- The Wiener disorder problem with finite horizon
- On the Wiener disorder problem
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