Mathematics of the Changepoint Detection Model

William T. Ziemba, Sebastien Lleo and Mikhail Zhitlukhin

Chapter 12 in Stock Market Crashes:Predictable and Unpredictable and What to do About Them, 2017, pp 259-272 from World Scientific Publishing Co. Pte. Ltd.

Abstract: This appendix provides the mathematical details of the simple changepoint detection model used in Chapter 9. It should be noted that many more advanced models exist, we refer the reader to the specialized literature, see e.g. the book of Polunchenko and Tartakovsky (2012)…

Keywords: Stock Market Crashes; Brexit; Trump; Financial Bubbles (search for similar items in EconPapers)
JEL-codes: F30 (search for similar items in EconPapers)
Date: 2017
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