Computational methods in financial statistics

Dnr:

SNIC 2016/4-72

Type:

SNAC Small

Principal Investigator:

Carl Ă…kerlindh

Affiliation:

Lunds universitet

Start Date:

2017-01-01

End Date:

2018-01-01

Primary Classification:

10106: Sannolikhetsteori och statistik

Webpage:

Allocation

Abstract

This project is mainly going to be focused on learning how to use the HPC cluster and how to incorporate it into my current research projects and as a stepping stone for upcoming projects. In my research I mainly focus on parameter estimation methods of financial models. Many of these methods can be run in a parallel fashion, and I believe that using a compute cluster could not only speed up my computations, but also let me increase the size of the problem. I would also like to get into doing research in machine learning applied on the field of financial statistics. This would also benefit greatly by using a compute cluster.