Energy statistics or how the inspiration of (statistical) physics applies to financial markets

Resumo/Abstrat: We will look into dependence and correlation between two random variables or two data sets, using a new perspective, the energy statistics. According to its creator Gábor J. Székely the energy statistics inspiration came from Newton's (gravitational) potential. One particular advantage of some of the measures from energy statistics like the distance correlation over (traditional) Pearson's correlation is that it allow us to compare/correlate objects with different dimensionality. In this talk we will examine what are the relevant concepts of energy statistics, how do they relate with other well known techniques like entropy and how they can be applied to the analysis of market indices in order to underlay the co-movement dynamics between different markets.

Outros seminários / Other seminars: Programa completo / Full programme.