SIMUW 2008 -- Financial Time Series, Multifractals and Hidden Markov Models
by William Stein, meeting in the computer lab Communications B026 1:30 - 4:00pm.
Sage Notebook
Schedule
Monday, July 28 -- Sage, financial time series, frequency histograms
Wednesday, July 30 -- Simulating stock price time series: first approximation
Thursday, July 31 -- Trading strategies: first approximation
Friday, August 1 -- Modeling the market: Mandelbrot's multifractal model of asset return
Thursday, August 7 -- Hidden Markov Models Applied to Stock Market Data
Papers and Books