The IMI Colloquium in January was held on January 19, 2022.

The IMI Colloquium in January
Title : Financial markets through statistical modeling
Speaker : Yoko Tanokura (Graduate School of Advanced Mathematical Sciences, Meiji University)
Place : Live-streaming by Zoom

In the talk, statistical models for capturing the fluctuation structure of financial markets were introduced. By using financial market data for the period including financial crises, some empirical results investigating the background of their sudden changes were provided.

The speaker firstly presented “a trend + stationary model” to infer a long-term trend from non-stationary time series data on finance and economy, secondly explained “a generalized version of Akaike’s power contribution ratio” for measuring interrelationships of fluctuation among multiple time series, and finally proposed “a distribution-free index” which was developed to address the problems of heavy-tailed distributions and insufficient information such as the immature sovereign CDS market. Incidentally, the analysis period included the global financial crisis, the Great East Japan Earthquake, and the 2020 stock market crash due to the coronavirus pandemic. These findings provided us with valuable insights in both terms of theoretical and applied viewpoints.

The time series analysis introduced in this talk, has been of interest as a theme of mathematical statistics. It may contribute to clarify various phenomena occurred amid the COVID-19 pandemic as one of powerful statistical methods.

Finally, the speaker, who has worked not only in academia but also in financial business, gave a very powerful message about “mathematics in society” to us, mainly to students.

Attendance: Staff 15, Students 5, Others(Postdoctoral Researchers and  Outside academia) 7