In finance, the problem of turning-points detection plays a crucial role. In this paper we develop a change detection procedure, based on an hypothesis test for the difference between two consecutive slopes in a rolling regression framework. Some empirical evidences on S&P 500 daily data change-point detection are provided.
Bramante, R., Facchinetti, S., ON THE TURNING POINT DETECTION IN FINANCIAL TIME SERIES, in Clada g 2017 Book of Short Papers, (MILANO -- ITA, 13-15 September 2017), Universitas Studiorum S.r.l. Casa Editrice, MANTOVA -- ITA 2017: N/A-N/A [http://hdl.handle.net/10807/111087]
ON THE TURNING POINT DETECTION IN FINANCIAL TIME SERIES
Bramante, Riccardo;Facchinetti, Silvia
2017
Abstract
In finance, the problem of turning-points detection plays a crucial role. In this paper we develop a change detection procedure, based on an hypothesis test for the difference between two consecutive slopes in a rolling regression framework. Some empirical evidences on S&P 500 daily data change-point detection are provided.
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