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Revealing of Structural Changes in the Stock Market Dynamics
- Authors: Zrelov P.V.1
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Affiliations:
- Joint Institute for Nuclear Research, Dubna
- Issue: No 3-4 (2007)
- Pages: 93-100
- Section: Modeling and Simulation
- URL: https://journals.rudn.ru/miph/article/view/51145
- EDN: https://elibrary.ru/JWJLXZ
- ID: 51145
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Abstract
This work is a continuation of investigations started in [1], where a new stock market variable $\Xi$ (daily closing price normalized by corresponding traded volume) has been proposed and its statistical properties has been studied for a wide spectrum of stock market data. In the present work we propose and investigate two new stock market variables. We show that these variables can be used for revealing structural changes in dynamics of the stock market series. Aiming to identify the position in time of the change point, we propose a novel approach. These new variables and method can be considered as a two-dimensional market indicator that provides the change point detection in the stock market dynamics.
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About the authors
P. V. Zrelov
Joint Institute for Nuclear Research, Dubna6, Joliot-Curie str., Dubna, Moscow Region, 141980, Russia
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