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

ABSTRACT: 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 triggere

SUBMITTER: Yeganeh A 

PROVIDER: S-EPMC10359006 | biostudies-literature | 2023

REPOSITORIES: biostudies-literature