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Master's Dissertation
DOI
10.11606/D.100.2018.tde-16092018-205348
Document
Author
Full name
Vitor Mendes Cardoso
E-mail
Institute/School/College
Knowledge Area
Date of Defense
Published
São Paulo, 2018
Supervisor
Committee
Mendonca, Jose Ricardo Goncalves de (President)
Fernandez Tuesta, Esteban
Latif, Sumaia Abdel
Moura, Maria Sílvia de Assis
Title in Portuguese
Algoritmos não-paramétricos para detecção de pontos de mudança em séries temporais de alta frequência
Keywords in Portuguese
Estatística não-paramétrica
Máscara V
Série cambial
Séries temporais
Soma cumulativa
Abstract in Portuguese
A área de estudos econométricos visando prever o comportamento dos mercados financeiros aparece cada vez mais como uma área de pesquisas dinâmica e abrangente. Dentro deste universo, podemos de maneira geral separar os modelos desenvolvidos em paramétricos e não paramétricos. O presente trabalho tem como objetivo investigar técnicas não-paramétricas derivadas do CUSUM, ferramenta gráfica que se utiliza do conceito de soma acumulada originalmente desenvolvida para controles de produção e de qualidade. As técnicas são utilizadas na modelagem de uma série cambial (USD/EUR) de alta frequência com diversos pontos de negociação dentro de um mesmo dia
Title in English
Non-parametric change-point detection algorithms for high-frequency time series
Keywords in English
Cumulative sum
Foreign exchange series
Non-parametric statistics
Time series
V mask
Abstract in English
The area of econometric studies to predict the behavior of financial markets increasingly proves itself as a dynamic and comprehensive research area. Within this universe, we can generally separate the models developed in parametric and non-parametric. The present work aims to investigate non-parametric techniques derived from CUSUM, a graphical tool that uses the cumulative sum concept originally developed for production and quality controls. The techniques are used in the modeling of a high frequency exchange series (USD/EUR) with several trading points within the same day
 
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Publishing Date
2018-09-21
 
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