New information following the change in COVID-19 alert levels. massey.ac.nz/coronavirus

Liyana Pathiranaralalage Premarathna

Doctor of Philosophy
Study Completed: 2017
College of Sciences

Citation

Thesis Title
Shewhart methodology for modelling financial series

Read article at Massey Research Online: MRO icon

Quality management techniques are widely used in industrial applications for monitoring observable process variation. Among them, the scientific notion of Shewhart principles is vital for understating variations in any type of process or service. Ms Premarathna extensively investigated and demonstrated Shewhart methodology for financial data. She discussed the applicability of the proposed method using several scenarios occurring in an industrial process and a financial market. A set of new propositions based on Shewhart methodology was formed for the finer description of the statistical properties in stock returns. She identified research issues related to the first four moments, co-moments and autocorrelation in stock returns. New statistical tools were proposed to investigate the new propositions and research issues. Her research showed that contradictory conclusions were made in the finance literature as a result of special cause variations. In addition, she developed a new R-package for time series data.

Supervisors
Dr Jonathan Godfrey
Dr Govindaraju Govindaraju

Contact us Mon - Fri 8:30am to 4:30pm 0800 MASSEY (+64 6 350 5701) TXT 5222 contact@massey.ac.nz Web chat Staff Alumni News Māori @ Massey