Mining distribution change in stock order streams

Detecting changes in stock prices is a well known problem in finance with important implications for monitoring and business intelligence. Forewarning of changes in stock price, can be made by the early detection of changes in the distributions of stock order numbers. In this paper, we address the change detection problem for streams of stock order numbers and propose a novel incremental detection algorithm. Our algorithm gains high accuracy and low delay by employing a natural Poisson distribution assumption about the nature of stock order streams. We establish that our algorithm is highly scalable and has linear complexity. We also experimentally demonstrate its effectiveness for detecting change points, via experiments using both synthetic and real-world datasets.