Searching for histogram patterns due to macroscopic fluctuations in financial time series
Date
2007-12
Authors
Van Zyl, Verena Helen
Journal Title
Journal ISSN
Volume Title
Publisher
Stellenbosch : University of Stellenbosch
Abstract
ENGLISH ABSTRACT: his study aims to investigate whether the phenomena found by Shnoll et al. when applying histogram
pattern analysis techniques to stochastic processes from chemistry and physics are also present in
financial time series, particularly exchange rate and index data. The phenomena are related to fine
structure of non-smoothed frequency distributions drawn from statistically insufficient samples of
changes and their patterns in time. Shnoll et al. use the notion of macroscopic fluctuations to explain
the behaviour of sequences of histograms. Histogram patterns in time adhere to several laws that could
not be detected when using time series analysis methods.
In this study general approaches are reviewed that may be used to model financial markets and
the volatility of price processes in particular. Special emphasis is placed on the modelling of highfrequency
data sets and exchange rate data. Following previous studies of the Shnoll phenomena from
other fields, different steps of the histogram sequence analysis are carried out to determine whether
the findings of Shnoll et al. could also be applied to financial market data.
The findings of this thesis widen the understanding of time varying volatility and can aid in financial
risk measurement and management. Outcomes of the study include an investigation of time series
characteristics in terms of the formation of discrete states, the detection of the near zone effect as
proclaimed by Shnoll et al., the periodic recurrence of histogram shapes as well as the synchronous
variation in data sets measured in the same time intervals.
Description
Thesis (MComm (Business Management))--University of Stellenbosch, 2007.
Keywords
Financial time series, Histogram pattern analysis, Macroscopic fluctuations, Dissertations -- Business management, Theses -- Business management, Time-series analysis, Stochastic processes, Finance -- Mathematical models, Foreign exchange rates -- Mathematical models