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Journal of Competitiveness

The Usage of Time Series Control Charts for Financial Process Analysis

Kovářík Martin, Klímek Petr

Keywords:
Statistical Process Control, Shewhart’s control charts, autocorrelation, EWMA control chart, CUSUM control chart, ARIMA control chart.

Abstract:
We will deal with financial proceedings of the company using methods of SPC (Statistical Process Control), specifically through time series control charts. The paper will outline the intersection of two disciplines which are econometrics and statistical process control. The theoretical part will discuss the methodology of time series control charts and in the research part there will be this methodology demonstrated in three case studies. The first study will focus on the regulation of simulated financial flows for a company by CUSUM control chart. The second study will involve the regulation of financial flows for a heteroskedastic financial process by EWMA control chart. The last case study of our paper will be devoted to applications of ARIMA, EWMA and CUSUM control charts in the financial data that are sensitive to the mean shifting while calculating the autocorrelation in the data. In this paper, we highlight the versatility of control charts not only in manufacturing but also in managing the financial stability of cash flows.

Fulltext download:

The Usage of Time Series Control Charts for Financial Process Analysis [PDF file] [Filesize: 893.34 KB]

10.7441/joc.2012.03.03


Kovářík M., Klímek P.(2012). The Usage of Time Series Control Charts for Financial Process Analysis. Journal of Competitiveness, 4 (3), 29-45 https://doi.org/10.7441/joc.2012.03.03

Journal of Competitiveness

  

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ISSN 1804-171X (Print); eISSN 1804-1728 (On-line)


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