Shot Noise Effects in Economics:
Financial and Statistical Aspects
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Prof. Dr. Dr. h. c. Winfried Stute
Professor of Statistics and Probability Theory,
Institute of Mathematics, University of Giessen
Fellow of the Institute of Mathematical Statistics (IMS)
Doctor honoris causa from the University of Santiago de Compostela
(Photo)
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| Date: |
1 March 2011 (Tuesday) |
| Time: |
11:00am
- 12:00noon (Preceded by Reception at 10:30am) |
| Venue: |
RRS905, Sir Run Run Shaw Building,
Ho Sin Hang Campus, Hong Kong Baptist University
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Abstract
Shot noise effects occur when smooth but possibly chaotic processes are subject to shocks which, though, may partially fade away on the long run. In a
financial context, shot noise effects in the underlying may cause some difficulties when it is coming to pricing associated derivatives or finding hedge strategies
against market risks. From a statistical point of view shot noise processes are able to create short- or long-memory effects, depending on how fast jumps fade away.
In the talk we present a detailed discussion of these issues with applications to real data.
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All
are welcome |
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