Stability Analytics of Vulnerabilities in Financial Time Series

In this article we give a brief overview to the recently introduced stability analytics to analyze and quantify vulnerabilities in financial time series. We present the underlying statistical concepts for analyzing change points and structural breaks, for detecting extreme values and outliers and for exploring non-stationarities and multi-fractal behavior.

The analytics are applied to the long term U.S. Large Cap Stocks Index and the Commodity Research Bureau Index ranging back to 1925.