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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...
Autores principales: | , |
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Formato: | Online Artículo Texto |
Lenguaje: | English |
Publicado: |
Public Library of Science
2023
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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 |
collection | PubMed |
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. |
format | Online Article Text |
id | pubmed-10359006 |
institution | National Center for Biotechnology Information |
language | English |
publishDate | 2023 |
publisher | Public Library of Science |
record_format | MEDLINE/PubMed |
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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