Developing a crisis model based on higher-order moments

Vera Ivanyuk

doi:10.1016/j.heliyon.2022.e08896

Developing a crisis model based on higher-order moments

Heliyon. 2022 Feb 3;8(2):e08896. doi: 10.1016/j.heliyon.2022.e08896. eCollection 2022 Feb.

Author

Vera Ivanyuk^{1

2}

Affiliations

¹ Department of Data Analysis and Machine Learning, Financial University under the Government of the Russian Federation, 125993, Moscow, Russia.
² Department of Higher Mathematics, Bauman Moscow State Technical University, 105005, Moscow, Russia.

Abstract

In this paper, the goal is to create a model for detecting a crisis situation using the example of financial time series. An analysis of fixed and cumulative central and raw moments has been carried out. When conducting the analysis by higher-order moments, it has been shown that the moments record the presence of deviations and extreme values in the distribution of the series. Based on the higher-order moments, a crisis indicator has been proposed.

Keywords: Higher-order moments; Point estimation; Statistical moment; Time series.