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PDS

Seminar

Extreme times in finance

Masoliver, J (Universitat de Barcelona)
Wednesday 28 June 2006, 11:30-12:30

Seminar Room 1, Newton Institute

Abstract

We analyze the problem of extreme events for financial time series and models. The approach will be different according the nature of the data available. This means that for high-frequency data a micoscopic approach (for which the continuous tuime random walk is a good candidate) is needed; while for lower frequency data one can rely on the traditional approach based on diffusion equations.

Presentation

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Audio

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