Title
Examining the Evolutionary Principal Components of a Multivariate Time Series with Application to Stock Sector Data
Speaker
Ginger Davis, Rice University
Abstract
Financial data are heavily analyzed due to the potential payoff of useful models. Many models exist for the joint analysis of several financial instruments such as securities due to the fact that they are not independent. These models often assume some type of constant behavior between the instruments over the time period of analysis. Instead of imposing that assumption for our system of securities, we are interested in modeling the dynamics of the overall system. Specifically, we model individual stock data that belong to one of three market sectors and examine the behavior of the market as a whole and the behavior of the sectors. Our aim is detecting and forecasting unusual changes in the system, such as market crashes and changes within or between the sectors.
Meet the speaker in Room 212 Cockins Hall at 4:30 p.m. Refreshments will be served.
