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Level: BSc, MSci, MSc
Title: Record statistics for stock prices
Supervisor:

Dr Rosemary Harris

Research Area: Dynamical Systems and Statistical Physics
Description:

This project will consider the theory of record values for random walk models (see, e.g., [1]) and applications to financial data. In particular, the student will be expected to reproduce some results, numerically and/or analytically from a recent paper by Wergen et al. [2] and test the claims there on different stock data. 

  1.  S. N. Majumdar, Universal first-passage properties of discrete-time random walks and Lévy flights on a line: Statistics of the global maximum and records, Physica A 389 (2010) 4299–4316.
  2.  G. Wergen, M. Bogner, J. Krug, Record statistics for biased random walks, with an application to financial data, Phys. Rev. E 83 (2011) 051109.
Further Reading:
Key Modules:

MTH6141 Random Processes (essential)

MTH6934/MTH734U/MTHM012/MTH712P Topics in Probability and Stochastic Processes (desirable)

Other Information:
Current Availability: Yes