法国加香高师 Dominique Guégan 教授校级学术报告

报告题目：
"What kind of models can we use to model ruptures or explosions inside financial data sets? The question of non stationarity"

时间：2006.5.15（周一）15：30-16：30

地点：理科大楼A 510

主讲人：Dominique Guégan（法国加香高师教授）

主讲人简介：Dominique Guégan 教授现任法国加香高师经济管理系系主任，其专业为金融市场、企业财政、风险、非线性模型，主要研究方向为非线性随机过程的统计模型、企业风险的定性分析、金融风险在管理中的应用、旨在对金融，医药，气候及能量进行风险计算的信号研究、极限价值理论等。Guégan 教授在学术界具有很高的威望，并已发表和出版了很多有价值的文章及书籍。目前，Dominique Guégan 教授担任华东师范大学中法合作培养博士生项目的法方导师。

报告摘要：The growing evidence of instability in the stochastic behavior of stocks, of exchange rates, of some economic data sets like growth rates for instance, characterized by existence of volatility or existence of jumps in the variance or on the levels of the prices imposes to discuss the assumption of global stationary and its consequence in modelling, particularly in forecasting. Thus we can address several questions with respect to these remarks.
1 - What kinds of non-stationarity affect the major financial and economic data sets? How to detect them?
2 - Local and global stationarities: How are they defined?
3 - Does non stationarity provoke specific behavior inside the data?
4 - How can we analyze data sets in the non stationary global framework? Does the asymptotic theory work in non-stationary framework?
5 - What kind of models create local stationarity instead of global stationarity? How can we use them to develop a modelling and a forecasting strategy?
During this talk we will discuss some of these problems.


欢迎感兴趣的师生参加！

数学系
2006.5.8