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The mathematics behind high-frequency physics and finance

14 March 2019 at 12:00 PM - 2:00 PM

Room 203, Campus on Viale Romania, 32

Speaker: Riccardo Passeggeri, Imperial College London

Abstract: In this talk I will present the mathematics and the statistics developed to study high-frequency phenomena. The talk is accessible to students. I will give a general overview of the problem and its applications, which are mainly in turbulences and finance.  Then, I will introduce the main mathematical object of the talk: the Brownian semistationary (BSS) process. The BSS process is an extension of the moving average process. The results are divided into two parts. First, I will present a central limit theorem for general stationary Gaussian processes. Then, I will present limit theorems and feasible results for BSS processes. I will conclude the talk by explaining how these results are crucial for our understanding of high-frequency phenomena and I will provide a practical example.