报告题目：Data analysis: TSA, ODE and SDE

报告人：数学系薛美玉

时间：2016.9.9(星期五) 15:00

地点：数计学院4#229

Abstract：In understanding Big Data, people are interested to obtain the trend and dynamics of a given set of temporal data which in term can be used to predict possible futures.

    This talk compare an ODE approach and the TSA methods in modeling the price movements of petroleum price and of three different bank stock prices over a time frame of three years. Computational tests consist of a range of data fitting models in order to understand the advantages and disadvantages of these two approaches. With the understanding of these properties the authors proposed a stochastic term to be added into the ODE leading to a stochastic ordinary differential equation. Numerical tests demonstrated the advantage of such stochastic term.