Discovery Projects - Grant ID: DP0344092

Funding Activity

Website
http://dataportal.arc.gov.au/NCGP/Web/Grant/Grant/DP0344092

Funding Status
Closed

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Funded Activity Summary

Problems of identification and inference for 'non-standard' models in complex systems with special reference to finance and teletraffic. The project is concerned with 'non-standard' models needed to deal with complex systems, such as those exhibiting scaling and fractal properties. There is a focus on methods for dealing with heavy tailed distributions and long range dependent observations, for which most standard statistical methods break down, and on applications in finance and telecommunications. An important part of the project concerns model validation for Heyde's fractal activity time geometric Brownian motion model, a candidate minimal description risky asset model to replace the geometric Brownian motion paradigm.

Funded Activity Details

Start Date: 01-01-2003

End Date: 31-12-2006

Funding Scheme: Discovery Projects

Funding Amount: $215,000.00

Funder: Australian Research Council

Research Topics

ANZSRC Field of Research (FoR)

Stochastic Analysis And Modelling | Statistics | Operations Research | Risk Theory |

ANZSRC Socio-Economic Objective (SEO)

Telecommunications | Service industries standards and calibrations | Mathematical sciences

Other Keywords

Mathematical sciences | Operations Research | Risk Theory | Service industries standards and calibrations | Statistics | Stochastic Analysis And Modelling | Telecommunications

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