Physical Sciences and Mathematics Commons^™

Detection Of Changes In Financial Time Series, Rich Madsen

All Graduate Plan B and other Reports, Spring 1920 to Spring 2023

The purpose of this paper is to examine and model data from several years of foreign currency trading, to determine if one or more change points has occured in the data, and to estimate when those change points took place. Leading up to the analysis of the data we will construct and develop several statistics which we will use to determine if a change point has occured.

This paper falls into the area of computational statistics and will make use of Splus and the S+GARCH module within Splus. Heavy use will also be made of C++. The models that we …