Study of Robustness of Some Methods Applied to Financial Time Series

• Grant number: 24/08171-3
• Support Opportunities: Scholarships in Brazil - Scientific Initiation
• Start date: July 01, 2024
• End date: June 30, 2025
• Field of knowledge: Physical Sciences and Mathematics - Probability and Statistics - Applied Probability and Statistics
• Principal Investigator: Luiz Koodi Hotta
• Grantee: Cauã Pereira Masseu
• Host Institution: Instituto de Matemática, Estatística e Computação Científica (IMECC). Universidade Estadual de Campinas (UNICAMP). Campinas , SP, Brazil
• Associated research grant: 23/02538-0 - Time Series, Wavelets, High Dimensional Data and Applications, AP.TEM
• Associated scholarship(s): 24/20677-0 - Outliers in High-Dimensional Dynamic Factor Models, BE.EP.IC

Abstract

Various statistical methods are applied in finance. One of the features of financial series is the occurrence of outliers. The objective of the project is to introduce the student to the study of the effects of these outliers on the performance of these methods and alternatives to make these methods more robust.