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DTSTAMP:20260824T125202Z
LAST-MODIFIED:20150327T193049Z
DTSTART:20150408T150000Z
DTEND:20150408T160000Z
UID:event1436@bu.edu
URL:http://physics.bu.edu/internal/events/show/1436
SUMMARY:Application of Statistical Physics in Time Series Analysis
DESCRIPTION:Featuring Duan Wang\n\nPart of the PhD Final Oral Exams.\n\nDis
	sertation Committee:  H.E. Stanley\, Robert Carey\, William Klein\, Boris P
	odobnik\, Plamen Ivanov\n\nABSTRACT\n\nThis dissertation covers the four ma
	jor parts of my PhD research: i) Modeling instanta-\nneous correlation ii) 
	Quantifying time-lag correlation iii) Modeling time-lag correlation iv)\nMo
	deling and application of heteroskedasticity. For modeling instantaneous co
	rrelation\, we study the limitations of random matrix theory (RMT) and anal
	ytically show autocorrelations would impact the result of RMT. We propose a
	utoregressive random matrix theory (ARRMT) which takes into account the imp
	act of autocorrelations on the study of crosscorrelations in multiple time 
	series. We\nillustrate the method using air pressure data for 95 US cities.
	 For quantifying time-lag correlation\, we propose time-lag random matrix t
	heory (TL-RMT) and nd long-range magnitude crosscorrelations in nancial\, p
	hysiology and genomic data. For modeling time-lag correlation\, we propose 
	global factor model (GFM) and build the relationship between the autocorrel
	ation of the global factor and the time-lag cross-correlation among individ
	ual time series. We applied the method to equity indices data for 48 countr
	ies and nd out that a single global factor can explain most of the time lag
	 crosscorrelations among these indices. For modeling and application of het
	eroskedasticity\, we propose a high frequency trading model using two fract
	ionally intergrated autoregressive conditional heteroskedasticity (FI-ARCH)
	 processes\, and explained the fat-tailed distribution of returns and the l
	ong memory in volatilities of financial data.\n\n![Duan](/resources/event-i
	mage/1436/52fd4d5_original)
LOCATION:SCI 352\, 590 Commonwealth Avenue\, 02215
STATUS:CONFIRMED
CLASS:PUBLIC
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