MathsNet: Research Student Directory

Name Slater, Daniel
Group Industrial and Applied Mathematics
Room C32, Math Sci
Telephone +44 (0) 115 95 13858 [direct dial]
Email
Thesis Title Stable processes for financial data
Thesis Abstract Financial stock indices are known to be described by non-Gaussian stable processes, which can characterise the large fluctuations and frequency of crashes that are inherent in financial markets. Non-Gaussian stable processes cannot be characterised using the familiar statistical measures of variance and correlation. However the concept of 'coherence', being related to the structure function of a financial index, is well defined in terms of a non-Gaussian stable process and provides an important measure for the longevity of a fluctuation or excursion in an index's value. In the first instance the project will explore the structure function and the corresponding coherence function for different stock and foreign exchange indices in order to ascertain the congruence between diverse financial markets. This information will then be used to investigate the probability of return of an index and the statistical properties of extremal features in financial time-series data.
School contact information School of Mathematical Sciences
University of Nottingham
University Park
Nottingham, NG7 2RD
UK
Tel: +44 (0) 115 951 4949
Fax: +44 (0) 115 951 4951