Change point detection in financial time series in connection to purchase behaviours
Typ
Examensarbete för masterexamen
Master's Thesis
Master's Thesis
Program
Engineering mathematics and computational science (MPENM), MSc
Publicerad
2022
Författare
Skytt, Hanna
Modellbyggare
Tidskriftstitel
ISSN
Volymtitel
Utgivare
Sammanfattning
Understanding purchase behaviours of individuals is of interest when the goal is to
inspire people to make more environmentally friendly choices. A company with these
aspirations is Svalna AB. They have created an app that uses a carbon calculator to
give an insight into greenhouse gas emissions based on financial transactions. The
aim of this thesis has been to investigate purchase behaviours by comparing the
underlying distributions before and after a change point has occurred. This thesis
has focused on change point detection in time series using the Metropolis-Hastings
algorithm. The model, which has been implemented from scratch, has been tested
on well-behaved simulated time series and can accurately find a change point. It has
then been used to investigate some specific cases in financial time series provided
by Svalna. The results from testing on the simulated time series show a promising
start and it is concluded that the overall method is a possibility to investigate the
underlying distributions of financial time series.
Beskrivning
Ämne/nyckelord
time series, change point detection, bayes, metropolis-hastings, purchase behaviours