2
$\begingroup$

Is there a relatively simple to implement method out there for detecting the early stages of divergence between two time series ? To take a simple example from the financial area, a common one is detecting the start of divergence between asset price and an associated "indicator" or "oscillator" chart in order to identify the begginings of a trend reversal.

$\endgroup$
1
$\begingroup$

If you create a percentage difference between the two vatiables then evaluate with a plot like a simple time series or cusum chart (see here: enter link description here) should give you what you are after.

$\endgroup$

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Not the answer you're looking for? Browse other questions tagged or ask your own question.