KOLLOQUIUM
aus
Statistik, Operations Research und Informatik
(ISOC-Kolloquium)
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Montag, 11. Maerz 1996, 17:00 (puenktlich)
O.Barndorff-Nielsen (Univ.Aarhus):
"Finance and Turbulence; Similar Features and Parametric Modelling"
Abstract:
Observed processes of asset returns in finance, and of velocities and
velocity differences in moderate to high Reynolds number turbulence,
have certain similar characteristic features. For instance,
'stochastic volatility' in the financial terminology is analogous to
'intermittency' in turbulence. Stochastic modelling of these features
is discussed, in relation to a number of large data sets. Infinite
divisibility, in particular selfdecomposability, normal variance-mean
mixtures, Levy and diffusion processes, and state space modelling are
among the tools employed.
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Ort:
Seminarraum des Instituts fuer Statistik, Operations Research und Computer-
verfahren (ISOC), 1010 Wien, Univ.Str.5/3. Stock (Lift!)
Fuer das ISOC: I.Bomze, W.Schachermayer
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