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Searching for histogram patterns due to macroscopic fluctuations in financial time series
Thesis (MComm (Business Management))--University of Stellenbosch, 2007.
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| Format: | Thesis |
| Language: | English |
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Stellenbosch : University of Stellenbosch
2009
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| _version_ | 1867613931046961153 |
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| access_status_str | Open Access |
| author | Van Zyl, Verena Helen |
| author2 | Van Rooyen, J. H. |
| author_browse | Van Rooyen, J. H. Van Zyl, Verena Helen |
| author_facet | Van Rooyen, J. H. Van Zyl, Verena Helen |
| author_sort | Van Zyl, Verena Helen |
| collection | Thesis |
| dc_rights_str_mv | University of Stellenbosch |
| description | Thesis (MComm (Business Management))--University of Stellenbosch, 2007. |
| format | Thesis |
| id | oai:scholar.sun.ac.za:10019.1/3078 |
| institution | Stellenbosch University (South Africa) |
| language | English |
| last_indexed | 2026-06-10T12:43:58.501Z |
| license_str | Other — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from SUNScholar — Stellenbosch University Repository |
| publishDate | 2009 |
| publishDateRange | 2009 |
| publishDateSort | 2009 |
| publisher | Stellenbosch : University of Stellenbosch |
| publisherStr | Stellenbosch : University of Stellenbosch |
| record_format | dspace |
| source_str | SUNScholar — Stellenbosch University Repository |
| spelling | oai:scholar.sun.ac.za:10019.1/3078 Searching for histogram patterns due to macroscopic fluctuations in financial time series Van Zyl, Verena Helen Van Rooyen, J. H. Otte, R. University of Stellenbosch. Faculty of Economic and Management Sciences. Dept. of Business Management. 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 Thesis (MComm (Business Management))--University of Stellenbosch, 2007. 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. Masters 2009-06-19T11:51:39Z 2010-06-01T09:05:40Z 2009-06-19T11:51:39Z 2010-06-01T09:05:40Z 2007-12 Thesis http://hdl.handle.net/10019.1/3078 en University of Stellenbosch application/pdf Stellenbosch : University of Stellenbosch |
| spellingShingle | 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 Van Zyl, Verena Helen Searching for histogram patterns due to macroscopic fluctuations in financial time series |
| title | Searching for histogram patterns due to macroscopic fluctuations in financial time series |
| title_full | Searching for histogram patterns due to macroscopic fluctuations in financial time series |
| title_fullStr | Searching for histogram patterns due to macroscopic fluctuations in financial time series |
| title_full_unstemmed | Searching for histogram patterns due to macroscopic fluctuations in financial time series |
| title_short | Searching for histogram patterns due to macroscopic fluctuations in financial time series |
| title_sort | searching for histogram patterns due to macroscopic fluctuations in financial time series |
| topic | 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 |
| url | http://hdl.handle.net/10019.1/3078 |
| work_keys_str_mv | AT vanzylverenahelen searchingforhistogrampatternsduetomacroscopicfluctuationsinfinancialtimeseries |