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Detection of Financial Time Series Turning Points: A New CUSUM Approach Applied to IPO Cycles |
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| Authors: | Blondell David Hoang Philip Powell John G. Shi Jing |
| Affiliation: | (1) Department of Finance and Quantitative Analysis, University of Otago, P.O. Box 56, Dunedin, New Zealand;(2) Department of Commerce, University of Queensland, St. Lucia Campus, Brisbane, 4072, Australia;(3) Department of Finance and Quantitative Analysis, University of Otago, P.O. Box 56, Dunedin, New Zealand;(4) School of Finance and Applied Statistics, Australian National University, Canberra ACT, 0200, Australia |
| Abstract: | This paper presents a new Cumulative Sum approach for the detection of turning points in financial time series that are subject to cyclical mean level and volatility regime shifts. The new CUSUM approach is applied to the problem of detecting turning points in  hot issue markets for Initial Public Offerings (IPOs), thus providing a multi-dimensional characterization of states of the IPO cycle. |
| Keywords: | CUSUM approach IPO cycle turning points |
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