Share price changes using MST-based sequential change point detection

DOI10.1080/07474946.2025.2506420MaRDI QIDQ6939426zbMATH OpenFDO

Authors Bhargab Chattopadhyay

Publication date 21 August 2025

Published in Sequential Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07474946.2025.2506420

Mathematics Subject Classification ID

Sequential statistical analysis (62L10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Financial markets (91G15)

Cites work

• scientific article; zbMATH DE number 1048663 (Why is no real title available?)
• scientific article; zbMATH DE number 795279 (Why is no real title available?)
• A novel approach to detection of intrusions in computer networks via adaptive sequential and batch-sequential change-point detection methods
• A regime switching model for temperature modeling and applications to weather derivatives pricing
• An up-to-date review of scan statistics
• Change-point analysis of asset price bubbles with power-law hazard function
• Graph-based change-point detection
• Minimum cost‐compression risk in principal component analysis
• Multivariate generalizations of the Wald-Wolfowitz and Smirnov two-sample tests
• Practical Bayesian support vector regression for financial time series prediction and market condition change detection
• Procedures for Reacting to a Change in Distribution
• Sequential change-point detection based on nearest neighbors
• Sequential hypothesis testing in machine learning, and crude oil price jump size detection
• Statistical models and methods for financial markets
• Using interpolated implied volatility for analysing exogenous market changes

This page was built for publication: Share price changes using MST-based sequential change point detection

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6939426)