Segmentation procedure based on Fisher's exact test and its application to foreign exchange rates

2013/09/03 by Akihiro Sato, Aki-Hiro Sato, Sato, Aki-Hiro +2
Economics, Econometrics and Finance · Engineering · Mathematics · Physics and Astronomy · #Advanced Statistical Methods and Models #Control Systems and Identification #Data Analysis #FOS: Computer and information sciences #FOS: Economics and business #FOS: Physical sciences #Fuzzy Systems and Optimization #Methodology (stat.ME) #Statistical Finance (q-fin.ST) #Statistics and Probability (physics.data-an) #physics.data-an #q-fin.ST #stat.ME

paper · pdf · doi:10.48550/arxiv.1309.0602

arxiv created 2013/09/03 · openalex publication_date 2013/09/03 · arxiv updated 2013/09/04 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

This study proposes the segmentation procedure of univariate time series based on Fisher's exact test. We show that an adequate change point can be detected as the minimum value of p-value. It is shown that the proposed procedure can detect change points for an artificial time series. We apply the proposed method to find segments of the foreign exchange rates recursively. It is also applied to randomly shuffled time series. It concludes that the randomly shuffled data can be used as a level to determine the null hypothesis.

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