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Time Series Research

Time Series research at the Math Department at LUT focuses on the analysis of financial time series by mathematical models. A particular focus area has been the analysis of price behaviour in spot markets, especially spot markets for electricity, such as NordPool Spot, NEPool in the U. S., and spot markets in New Zealand, Ireland and Russia. The group works in close collaboration with the research group on Electricity Markets at LUT Energy, lead by professors Jarmo Partanen and Satu Viljainen.

The principal academic goal of the Time Series group is to incorporate psychological effects into mathematical models. Ignoring market psychology, or the so-called “Animal Spirits” - a term coined by John Maynard Keynes - has been an aspect of current econometric modelling that has received massive criticism, especially since the Great Recession of 2008. Our goal is to imbue mathematical models based on stochastic differential equations with terms that represent market psychology. The resulting time series display chaos and “leptokurtic” behavior, just like the real spot market price series do.

Financial news - Press/book releases related to financial crises, animal spirits, speculation, etc.

Time Series Seminar

The progress of Time Series research group is followed on Seminars organized on weekly or fortnight basis.

In Fall 2013 the Seminar sessions are joint with the Case Study Seminar, taking place on Tuesdays at 16-18 in room 4401.

People

Name E-mail address Office
Associate Professor Tuomo Kauranne tuomo.kauranne [at] lut.fi 2324C
Postdoc Matylda Jablonska-Sabuka matylda.jablonska-sabuka [at] lut.fi 2324B
Postgraduate Student Anna Shcherbacheva anna.shcherbacheva [at] lut.fi 2313

Theoretical materials

Stochastic Differential Equations

A good general introduction to our conceptual framework is provided by Prof. Wilson Mahera's lecture notes here:
w.mahera_stochastic_differential_equations._introduction_to_stochastic_models_for_pollutants_dispersion_epidemic_and_finance.pdf

Fluid Mechanics and Kalman Filtering for Computational Market Dynamics

Time Series Presentations Schedule

Conference and Journal Publications

  • P. Ptak et al. (2008) Reliability of ARMA and GARCH models of electricity spot market prices,
    European Symposium on Time Series Prediction, Porvoo, Finland
  • M. Jabłońska, H. Nampala, T. Kauranne (2011) The Journal of Energy Markets vol. 4(2), Summer 2011.
    The multiple-mean-reversion jump-diffusion model for Nordic electricity spot prices.
  • M. Jabłońska, S. Viljainen, J. Partanen, T. Kauranne (2012) International Journal of Energy Sector Management, Vol 6, Iss 3

regression_model-based_analysis_of_the_impact_of_emissions_trading_on_electricity_spot_market_price_behavior.pdf

  • M. Jabłońska and T. Kauranne (2011) Artificial Economics 2011 conference. Printed in Lecture Notes in Economics and Mathematical

Systems, vol. 652. Emergent results on Artificial Economics. Springer
multi-agent_stochastic_simulation_for_the_electricity_spot_market_price.pdf

  • M. Jabłońska and T. Kauranne (2012) Submitted to: CfP PPSN 2012, 12th Int. Conf. on Parallel Problem Solving from Nature

animal_spirits_in_population_spatial_dynamics.pdf

Master's Theses

Doctoral Dissertations

Doctoral Dissertations written in LUT MaFy in the time series topic so far are the following:

M. Jabłońska (Nov 2011) From fluid dynamics to human psychology. What drives financial markets towards extreme events.

 
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