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Conference on Information Technology, Systems Research and Computational Physics

ITSRCP 2018: Information Technology, Systems Research, and Computational Physics pp 372–381Cite as

Trend Analysis and Detection of Change-Points of Selected Financial and Market Indices

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Part of the book series: Advances in Intelligent Systems and Computing ((AISC,volume 945))

Abstract

From the macroeconomic point of view, the stock index is the best indicator of the behavior of the stock market. Stock indices fulfill different functions. One of heir most important function is to observe developments of the stock market situation. Therefore, it is crucial to describe the long-term development of indices and also to find moments of abrupt changes. Another interesting aspect is to find those indices that have evolved in a similar way over time. In this article, using trend analysis, we will uncover the long-term evolution of selected indices. Other goal is to detect the moments in which this development suddenly changed using the change point analysis. By means of cluster analysis, we find those indices that are most similar in long-term development. In each analysis, we select the most appropriate methods and compare their results.

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Acknowledgement

The support of the grant VEGA 1/0420/15 is kindly announced.

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Authors and Affiliations

  1. Slovak University of Technology, 81005, Bratislava, Slovakia

    Dominika Ballová

Authors
  1. Dominika Ballová
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Correspondence to Dominika Ballová .

Editor information

Editors and Affiliations

  1. Faculty of Physics and Applied Computer Science, AGH University of Science and Technology, Krakow, Poland

    Piotr Kulczycki

  2. Systems Research Institute, Polish Academy of Sciences, Warsaw, Poland

    Janusz Kacprzyk

  3. Faculty of Engineering Sciences, Széchenyi István University, Győr, Hungary

    László T. Kóczy

  4. Faculty of Civil Engineering, Slovak University of Technology, Bratislava, Slovakia

    Radko Mesiar

  5. Department of Electronic Systems, Aalborg University, Aalborg, Denmark

    Rafal Wisniewski

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Ballová, D. (2020). Trend Analysis and Detection of Change-Points of Selected Financial and Market Indices. In: Kulczycki, P., Kacprzyk, J., Kóczy, L., Mesiar, R., Wisniewski, R. (eds) Information Technology, Systems Research, and Computational Physics. ITSRCP 2018. Advances in Intelligent Systems and Computing, vol 945. Springer, Cham. https://doi.org/10.1007/978-3-030-18058-4_30

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