Usage of control charts for time series analysis in financial management Cover Image

Usage of control charts for time series analysis in financial management
Usage of control charts for time series analysis in financial management

Author(s): Martin Kovářík, Libor Sarga, Petr Klímek
Subject(s): Business Economy / Management, Accounting - Business Administration
Published by: Vilnius Gediminas Technical University
Keywords: statistical process control; Shewhart's control charts; autocorrelation; control chart EWMA; control chart CUSUM; control chart ARIMA; C39; C49; C59;

Summary/Abstract: We will deal with corporate financial proceeding using statistical process control, specifically time series control charts. The article outlines intersection of two disciplines, namely econometrics and statistical process control. Theoretical part discusses methodology of time series control charts, and in research part, the methodology is demonstrated on two case studies. The first focuses on analysis of Slovak currency from the perspective of its usefulness for generating profits through time series control charts. The second involves regulation of financial flows for a heteroskedastic financial process by EWMA and ARIMA control charts. We use Box-Jenkins methodology to find models of time series of annual Argentinian Gross Domestic Product available as a basic index from 1951–1998. We demonstrate the versatility of control charts not only in manufacturing but also in managing financial stability of cash flows. Specifically, we show their sensitivity in detecting even small shifts in mean which may indicate financial instability. This analytical approach is widely applicable and therefore of theoretical and practical interest.

  • Issue Year: 16/2015
  • Issue No: 1
  • Page Range: 138-158
  • Page Count: 21
  • Language: English