A2: Financial models of interaction based on marked point processes and Gaussian fields

PhD student: Alexander Malinowski
Supervisor: Prof. Dr. Martin Schlather
Graduation: December 2012

Thesis: online publication

The overall goal of the PhD project is the investigation of interaction phenomena in financial data. In particular, a class of new characteristics for "financial point processes" is defined to measure interaction effects between temporal locations of transactions and the behavior of the price process,
considered on an intra-daily scale.

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