Detection of financial time series turning points: a new CUSUM approach applied to IPO cycles

David Blondell; Philip Hoang; John G. Powell; Jing Shi

doi:10.1023/A:1015344418860

Detection of financial time series turning points: a new CUSUM approach applied to IPO cycles

David Blondell, Philip Hoang, John G. Powell, Jing Shi^*

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

15 Citations (Scopus)

Abstract

This paper presents a new Cumulative Sum approach for the detection of turning points in financial time series that are subject to cyclical mean level and volatility regime shifts. The new CUSUM approach is applied to the problem of detecting turning points in "hot issue" markets for Initial Public Offerings (IPOs), thus providing a multi-dimensional characterization of states of the IPO cycle.

Original language	English
Pages (from-to)	293-315
Number of pages	23
Journal	Review of Quantitative Finance and Accounting
Volume	18
Issue number	3
DOIs	https://doi.org/10.1023/A:1015344418860
Publication status	Published - May 2002
Externally published	Yes

Keywords

CUSUM approach
IPO cycle
turning points

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10.1023/A:1015344418860

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abstract = "This paper presents a new Cumulative Sum approach for the detection of turning points in financial time series that are subject to cyclical mean level and volatility regime shifts. The new CUSUM approach is applied to the problem of detecting turning points in {"}hot issue{"} markets for Initial Public Offerings (IPOs), thus providing a multi-dimensional characterization of states of the IPO cycle.",

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Detection of financial time series turning points: a new CUSUM approach applied to IPO cycles

Abstract

Keywords

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