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Detection of Financial Time Series Turning Points: A New CUSUM Approach Applied to IPO Cycles

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Date

2001

Authors

Blondell, David
Hoang, Philip
Powell, John G
Shi, Jing

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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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Keywords

CUSUM approach, IPO cycles, turning points

Citation

URI

http://hdl.handle.net/1885/40663
 http://digitalcollections.anu.edu.au/handle/1885/40663

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ANU Research Publications

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Type

Working/Technical Paper

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Restricted until

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WorkingPaper01-06.pdf (165.58 KB)

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