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

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title = "Detection of financial time series turning points: A new CUSUM approach applied to IPO cycles",

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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author = "David Blondell and Philip Hoang and Powell, \{John G.\} and Jing Shi",

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AU - Hoang, Philip

AU - Powell, John G.

AU - Shi, Jing

PY - 2002/5

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AB - 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.

KW - CUSUM approach

KW - Ipo cycle

KW - Turning points

UR - https://www.scopus.com/pages/publications/33644991669

U2 - 10.1023/A:1015344418860

DO - 10.1023/A:1015344418860

M3 - Article

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EP - 315

JO - Review of Quantitative Finance and Accounting

JF - Review of Quantitative Finance and Accounting

IS - 3

ER -

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

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