Related papers: Structural Change in (Economic) Time Series
Influence diagram is a graphical representation of belief networks with uncertainty. This article studies the structural properties of a probabilistic model in an influence diagram. In particular, structural controllability theorems and…
We propose a novel method for modeling data by using structural models based on economic theory as regularizers for statistical models. We show that even if a structural model is misspecified, as long as it is informative about the…
To identify emerging interdependencies between traded stocks we investigate the behavior of the stocks of FTSE 100 companies in the period 2000-2015, by looking at daily stock values. Exploiting the power of information theoretical measures…
Most time series observed in practice exhibit time-varying trend (first-order) and autocovariance (second-order) behaviour. Differencing is a commonly-used technique to remove the trend in such series, in order to estimate the time-varying…
An approach is suggested for analyzing time series by means of resummation techniques of theoretical physics. A particular form of such an analysis, based on the algebraic self-similar renormalization, is developed and illustrated by…
We investigate structural change in the PR China during a period of particularly rapid growth 1998-2014. For this, we utilize sectoral data from the World Input-Output Database and firm-level data from the Chinese Industrial Enterprise…
In a wide range of applications, the stochastic properties of the observed time series change over time. The changes often occur gradually rather than abruptly: the prop- erties are (approximately) constant for some time and then slowly…
In this research the technology of complex Markov chains is applied to predict financial time series. The main distinction of complex or high-order Markov Chains and simple first-order ones is the existing of aftereffect or memory. The…
In a wide range of applications, the stochastic properties of the observed time series change over time. The changes often occur gradually rather than abruptly: the properties are (approximately) constant for some time and then slowly start…
We investigate hierarchical structure in various complex systems according to Minimum Spanning Tree methods. Firstly, we investigate stock markets where the graphis obtained from the matrix of correlations coefficient computed between all…
A methodology is developed to identify, as units of study, each decrease in the value of a stock from a given maximum price level. A critical level in the amount of price declines is found to separate a segment operating under a random walk…
In the prediction of oscillating time series, the interest is in the turning points of successive oscillations rather than the samples themselves. For this purpose a scheme has been proposed; the state space reconstruction is limited to the…
The price of financial assets are, since Bachelier, considered to be described by a (discrete or continuous) time sequence of random variables, i.e a stochastic process. Sharp scaling exponents or unifractal behavior of such processes has…
This paper deals with analyzing structural breaks in the covariance operator of sequentially observed functional data. For this purpose, procedures are developed to segment an observed stretch of curves into periods for which second-order…
We consider the problem of sequentially testing for changes in the mean parameter of a time series, compared to a benchmark period. Most tests in the literature focus on the null hypothesis of a constant mean versus the alternative of a…
With the rapid development and evolution of sophisticated algorithms for statistical analysis of time series data, the research community has started spending considerable effort in technical analysis of such data. Forecasting is also an…
We consider a mean-reverting stochastic volatility model which satisfies some relevant stylized facts of financial markets. We introduce an algorithm for the detection of peaks in the volatility profile, that we apply to the time series of…
The availability of historical data related to electricity day-ahead prices and to the underlying price formation process is limited. In addition, the electricity market in Europe is facing a rapid transformation, which limits the…
In this paper, we provide an overview of the research conducted in the context of structural systems since the latest survey by Dion et al. in 2003. We systematically consider all the papers that cite this survey as well as the seminal work…
We find prominent similarities in the features of the time series for the overlap of two Cantor sets when one set moves with uniform relative velocity over the other and time series of stock prices. An anticipation method for some of the…