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  • 天元讲堂(9.13)A novel Hawkes process model for financial data
  • 浏览量:217 发布人:佚名 发布时间:2017-09-11 09:32:09
  • 题目:  A novel Hawkes process model for financial data
    报告人: Dr. Yuzhi Cai, Swansea University
    时间: Sep. 13, 2017 16:00-17:00
    地点: 维格堂 319
     
    Abstract: Hawkes processes have now been used widely to analyse financial data. For example, they have been used to study high-frequency data and make inferences on instantaneous conditional Value-at-Risk; to model the actions of liquidity providers in the construction process of the order book; to investigate the timing of trades and mid-quote changes; and to study the dynamics of market prices through the impact of market order arrivals at the microstructural level, etc. In this talk, we present a novel quantile function Hawkes process model and use the model to study tick data. Tick data show each individual trade as it occurs, and are usually displayed as a scrolling list. They can be used as part of a larger trading system (such as a confirmation for an indicator trade) and by professional day traders to watch the current price movements at its most detailed level. The results we obtained show that the proposed Hawkes process model can take into account some unobservable information of the data, which a conventional Hawkes process model fails to capture. Our model also estimates the entire distribution of the intensity function. Hence, any statistical inferences on the underlying process made based on the intensity function can also be assessed properly.
     
    Brief introduction to the speaker:
    Dr. Yuzhi Cai is an associate professor in quantitative methods, and the deputy head of Department of Accounting and Finance, School of Management, Swansea University. Her primary research interest is the development of advanced statistical methodologies and models. She is also interested in computational statistics, quantile regression and quantile function modelling for different types of statistical data, Hawkes processes and extreme value theory. Dr. Cai has collaborated with colleagues from many different disciplines in the development of statistical methodology motivated by problems arising from fields such as finance, economics, biology, social sciences and engineering. Some of the research projects were supported by external research funding bodies, including EPSRC, EU and ESRC Wales DTC. She has also collaborated with a world-leading research company for a number of years. Dr. Cai is also supervising PhD students. The topics of the PhD research projects are mainly on the development of novel methods for problems arising from various research areas. She is interested in supervising quantitative research projects. Her research has led to many high quality publications in peer reviewed international journals including: Biometrika, Econometric Reviews, Journal of Time Series Analysis, Statistica Sinica, Computational Statistics and Data Analysis, Extremes, Coastal Engineering, Frontiers in Ecology and the Environment, SIAM Journal on Numerical Analysis, Journal of Forecasting and Economic Modelling etc. More detailed information can be referred to http://www.swansea.ac.uk/staff/som/academic-staff/y.cai/
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