This is the project that I have done in my Bayesian Statistics Course, below are snapshots of my paper.
Abstract: Breaks in stock market are usually motivated by an exogenous changein surrounding economy uctuation that precipitates a change in regres-sion regimes. However, di erent industries react di erently to economyfactors (such as unemployment,ination,prime interest and oil price)bothin response time and degree of severity. In this article, Bayesian Changing-Point analysis has been used to detect change point in stock price in fourindustries ranging from automobile, nance, hi-tech and fast moving con-sume goods. The time span is set to be Jan.1,2007 to Dec.30,2008 whichis commonly believed cover the whole process of nancial crisis. With thismodel, we can check the change point location and corresponding poste-rior probability. Inferences for the regression coeffcients before and afterchanging points indicate alternation in sensitivity to economy factors inthose industries.
Abstract: Breaks in stock market are usually motivated by an exogenous changein surrounding economy uctuation that precipitates a change in regres-sion regimes. However, di erent industries react di erently to economyfactors (such as unemployment,ination,prime interest and oil price)bothin response time and degree of severity. In this article, Bayesian Changing-Point analysis has been used to detect change point in stock price in fourindustries ranging from automobile, nance, hi-tech and fast moving con-sume goods. The time span is set to be Jan.1,2007 to Dec.30,2008 whichis commonly believed cover the whole process of nancial crisis. With thismodel, we can check the change point location and corresponding poste-rior probability. Inferences for the regression coeffcients before and afterchanging points indicate alternation in sensitivity to economy factors inthose industries. 
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