Surveillance and predictive analytics
Tze Leung Lai, Haipeng Xing · 2024
In recent decades, as financial instruments have become more complex and market instability has increased, there has been a growing focus among researchers and practitioners in both academia and the financial industry on monitoring and predicting structural changes in financial products, portfolios, and even submarkets. To address these challenges, the utilization of sequential analysis, which offers statistical estimation or decision-making in real-time as data is gathered, is typically required. This chapter introduces several sequential analysis methods, surveillance techniques, and prediction models for detecting structural changes in financial variables.