Stock Market Change Point Detection

Student: Tkachenko Vladislav

Supervisor: Maria Veretennikova

Educational Programme: Economics and Statistics (Bachelor)

Final Grade: 9

Year of Graduation: 2019

This thesis is a statistical research which aims at forecasting the directions of stock market indices movements. The emphasis is applying the so-called Change point Detection procedures which are made to detect moments of time when a sequence abruptly changes it`s statistical properties. In this research I also use a reccurent neural network and the geometric brownian motion model from the theory of stochastic processes. With the methods described above I solved the problems of forecasting crisis situations, one-step forward forecasting and calculating the probabilies of hitting specific values during given time range.

Full text (added May 18, 2019)

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