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BEGIN:VEVENT
DTSTAMP:20260915T200532Z
LAST-MODIFIED:20121116T203715Z
DTSTART:20121120T170000Z
DTEND:20121120T180000Z
UID:event1031@bu.edu
URL:http://physics.bu.edu/internal/events/show/1031
SUMMARY:SCALING APPROACH TO ECONOMICS & FINANCE
DESCRIPTION:Featuring Attilio L. Stella\, Universita' di Padova\, Italy\nHo
	sted by: H. Eugene Stanley\n\nPart of the Biophysics/Condensed Matter Semin
	ar Series.\n\nAnomalous scaling is a well established stylized fact in\nfin
	ance. However\, its validity for sampled densities of aggregated asset\nret
	urns over time intervals of various durations has limited forecasting\npowe
	r. It only provides a precise link between unconditioned densities\nat any 
	two different durations. In this talk I will show that one can\nuse scaling
	 for conditioned forecasting of volatility: ideas inspired by\nthe renormal
	ization group allow to infer from the scaling properties of\nthe aggregated
	 return the joint probability density of its elementary\ncomponents. This c
	onstruction is at the basis of a novel modeling of\nasset dynamics. After r
	eviewing the main ideas at the basis of the\nmethod\, I will discuss some s
	pecific applications\, dealing with both\nhigh- and low-frequency data.
LOCATION:SCI 352\, 590 Commonwealth Avenue\, 02215
STATUS:CONFIRMED
CLASS:PUBLIC
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