Cargando…
Developing a crisis model based on higher-order moments
In this paper, the goal is to create a model for detecting a crisis situation using the example of financial time series. An analysis of fixed and cumulative central and raw moments has been carried out. When conducting the analysis by higher-order moments, it has been shown that the moments record...
| Autor principal: | |
|---|---|
| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
Elsevier
2022
|
| Materias: | |
| Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8841371/ https://www.ncbi.nlm.nih.gov/pubmed/35198767 http://dx.doi.org/10.1016/j.heliyon.2022.e08896 |
| _version_ | 1784650823166328832 |
|---|---|
| author | Ivanyuk, Vera |
| author_facet | Ivanyuk, Vera |
| author_sort | Ivanyuk, Vera |
| collection | PubMed |
| description | In this paper, the goal is to create a model for detecting a crisis situation using the example of financial time series. An analysis of fixed and cumulative central and raw moments has been carried out. When conducting the analysis by higher-order moments, it has been shown that the moments record the presence of deviations and extreme values in the distribution of the series. Based on the higher-order moments, a crisis indicator has been proposed. |
| format | Online Article Text |
| id | pubmed-8841371 |
| institution | National Center for Biotechnology Information |
| language | English |
| publishDate | 2022 |
| publisher | Elsevier |
| record_format | MEDLINE/PubMed |
| spelling | pubmed-88413712022-02-22 Developing a crisis model based on higher-order moments Ivanyuk, Vera Heliyon Research Article In this paper, the goal is to create a model for detecting a crisis situation using the example of financial time series. An analysis of fixed and cumulative central and raw moments has been carried out. When conducting the analysis by higher-order moments, it has been shown that the moments record the presence of deviations and extreme values in the distribution of the series. Based on the higher-order moments, a crisis indicator has been proposed. Elsevier 2022-02-03 /pmc/articles/PMC8841371/ /pubmed/35198767 http://dx.doi.org/10.1016/j.heliyon.2022.e08896 Text en © 2022 The Author(s) https://creativecommons.org/licenses/by/4.0/This is an open access article under the CC BY license (http://creativecommons.org/licenses/by/4.0/). |
| spellingShingle | Research Article Ivanyuk, Vera Developing a crisis model based on higher-order moments |
| title | Developing a crisis model based on higher-order moments |
| title_full | Developing a crisis model based on higher-order moments |
| title_fullStr | Developing a crisis model based on higher-order moments |
| title_full_unstemmed | Developing a crisis model based on higher-order moments |
| title_short | Developing a crisis model based on higher-order moments |
| title_sort | developing a crisis model based on higher-order moments |
| topic | Research Article |
| url | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8841371/ https://www.ncbi.nlm.nih.gov/pubmed/35198767 http://dx.doi.org/10.1016/j.heliyon.2022.e08896 |
| work_keys_str_mv | AT ivanyukvera developingacrisismodelbasedonhigherordermoments |