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A novel application of statistical process control charts in financial market surveillance with the idea of profile monitoring

The implementation of statistical techniques in on-line surveillance of financial markets has been frequently studied more recently. As a novel approach, statistical control charts which are famous tools for monitoring industrial processes, have been applied in various financial applications in the...

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Autores principales: Yeganeh, Ali, Shongwe, Sandile Charles
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Public Library of Science 2023
Materias:
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC10359006/
https://www.ncbi.nlm.nih.gov/pubmed/37471396
http://dx.doi.org/10.1371/journal.pone.0288627
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author Yeganeh, Ali
Shongwe, Sandile Charles
author_facet Yeganeh, Ali
Shongwe, Sandile Charles
author_sort Yeganeh, Ali
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description The implementation of statistical techniques in on-line surveillance of financial markets has been frequently studied more recently. As a novel approach, statistical control charts which are famous tools for monitoring industrial processes, have been applied in various financial applications in the last three decades. The aim of this study is to propose a novel application of control charts called profile monitoring in the surveillance of the cryptocurrency markets. In this way, a new control chart is proposed to monitor the price variation of a pair of two most famous cryptocurrencies i.e., Bitcoin (BTC) and Ethereum (ETH). Parameter estimation, tuning and sensitivity analysis are conducted assuming that the random explanatory variable follows a symmetric normal distribution. The triggered signals from the proposed method are interpreted to convert the BTC and ETH at proper times to increase their total value. Hence, the proposed method could be considered a financial indicator so that its signal can lead to a tangible increase of the pair of assets. The performance of the proposed method is investigated through different parameter adjustments and compared with some common technical indicators under a real data set. The results show the acceptable and superior performance of the proposed method.
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spelling pubmed-103590062023-07-21 A novel application of statistical process control charts in financial market surveillance with the idea of profile monitoring Yeganeh, Ali Shongwe, Sandile Charles PLoS One Research Article The implementation of statistical techniques in on-line surveillance of financial markets has been frequently studied more recently. As a novel approach, statistical control charts which are famous tools for monitoring industrial processes, have been applied in various financial applications in the last three decades. The aim of this study is to propose a novel application of control charts called profile monitoring in the surveillance of the cryptocurrency markets. In this way, a new control chart is proposed to monitor the price variation of a pair of two most famous cryptocurrencies i.e., Bitcoin (BTC) and Ethereum (ETH). Parameter estimation, tuning and sensitivity analysis are conducted assuming that the random explanatory variable follows a symmetric normal distribution. The triggered signals from the proposed method are interpreted to convert the BTC and ETH at proper times to increase their total value. Hence, the proposed method could be considered a financial indicator so that its signal can lead to a tangible increase of the pair of assets. The performance of the proposed method is investigated through different parameter adjustments and compared with some common technical indicators under a real data set. The results show the acceptable and superior performance of the proposed method. Public Library of Science 2023-07-20 /pmc/articles/PMC10359006/ /pubmed/37471396 http://dx.doi.org/10.1371/journal.pone.0288627 Text en © 2023 Yeganeh, Shongwe https://creativecommons.org/licenses/by/4.0/This is an open access article distributed under the terms of the Creative Commons Attribution License (https://creativecommons.org/licenses/by/4.0/) , which permits unrestricted use, distribution, and reproduction in any medium, provided the original author and source are credited.
spellingShingle Research Article
Yeganeh, Ali
Shongwe, Sandile Charles
A novel application of statistical process control charts in financial market surveillance with the idea of profile monitoring
title A novel application of statistical process control charts in financial market surveillance with the idea of profile monitoring
title_full A novel application of statistical process control charts in financial market surveillance with the idea of profile monitoring
title_fullStr A novel application of statistical process control charts in financial market surveillance with the idea of profile monitoring
title_full_unstemmed A novel application of statistical process control charts in financial market surveillance with the idea of profile monitoring
title_short A novel application of statistical process control charts in financial market surveillance with the idea of profile monitoring
title_sort novel application of statistical process control charts in financial market surveillance with the idea of profile monitoring
topic Research Article
url https://www.ncbi.nlm.nih.gov/pmc/articles/PMC10359006/
https://www.ncbi.nlm.nih.gov/pubmed/37471396
http://dx.doi.org/10.1371/journal.pone.0288627
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