Real-time financial surveillance via quickest change-point detection methods

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Pepelyshev, Andrey; Polunchenko, Alexey;
(2017)

We consider the problem of efficient financial surveillance aimed at “on-the-go” detection of structural breaks (anomalies) in “live”-monitored financial time series. With the problem approached statistically, viz. as that of multicyclic sequential (quickest) change-poi... View more
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