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 journalArticle

13 Citations (Scopus)


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 languageEnglish
Pages (from-to)293-315
Number of pages23
JournalReview of Quantitative Finance and Accounting
Issue number3
Publication statusPublished - May 2002
Externally publishedYes


  • CUSUM approach
  • IPO cycle
  • turning points

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