Rare Events Project

Objectives

The detection and analysis of rare events is one of the most important topics in understanding the evolution of dynamics systems. The fundamental problem of characterizing the phase changes in the equilibrium of complex system is the ability to detect extreme states of the systems and analyze their behavior under sustained exogenous stress. In Rare Events Project several multivariate methods for the detection of rare events have been developed and significant effort is currently undertaken to extend the analysis to various applications.

Contact (Principal Investigator)

Dr. Dragos Bozdog

Teaching Associate Professor

Financial Engineering Program

Stevens Institute of Technology

Email: dbozdog@stevens.edu

Link: http://personal.stevens.edu/~dbozdog/

Publications on Rare Events

1. A Study of Rare Events in High-Frequency Financial Data, D. Bozdog, Ph.D. Dissertation, Stevens Institute of Technology, 2014.
2. Rare Events Analysis for High-Frequency Equity Data, D. Bozdog, I. Florescu, K. Khashanah, and J. Wang, Proceedings of the 10th International Workshop on Rare Event Simulation, RESIM 2014, Amsterdam.
3. Rare Events Analysis of High-Frequency Equity Data, D. Bozdog, I. Florescu, K. Khashanah, and J. Wang, Wilmott Journal (July 2011), 2011(54), pg. 74-81.
4. A study of persistence of price movement using High Frequency Financial Data, D. Bozdog, I. Florescu, K. Khashanah, and J. Wang, Chapter in Handbook of Modeling High-Frequency Data in Finance, December 2011.
5. Detection of Rare Events in Multidimensional Financial Datasets with Zonoid Depth Functions, P. Golbayani and D. Bozdog, IEEE Symposium Series on Computational Intelligence (SSCI), pg. 1-6, 2017.

Conference Talks on Rare Events

1. Rare Events Analysis for High-Frequency Equity Data, 10th International Workshop on Rare Event Simulation (RESIM 2014), Tinbergen Institute, Amsterdam, August 27-29, 2014.
2. Methods for Detection and Analysis of Rare Events in High-Frequency Financial Data, The 4th Annual Modeling High Frequency Data in Finance Conference , July 19-22, 2012.
3. Rare Events Detection and Analysis of Equity and Commodity High-Frequency Data, SIAM Conference on Uncertainty Quantification, April 2-5, 2012.
4. Equity and commodity behavior in the proximity of rare events, Sixth Rutgers-Stevens Workshop in Optimization of Stochastic Systems, November 4-5, 2011.
5. A Study of Persistence of Price Movement Using High Frequency Financial Data, 37th Eastern Economic Association Annual Meetings in New York City, 2011.
6. Empirical Study of the Price-Volume relationship using High-Frequency data, Conference on Modeling High Frequency Data in Finance II, June 24-27, 2010.
7. Rare Events Detection and Analysis of High-Frequency Financial Data, AMS Western Sectional Meeting, Albuquerque, April 17-18, 2010.
8. Rare Events Analysis of High-Frequency Financial Data, Conference on Modeling High Frequency Data in Finance, Stevens Institute of Technology, 2009.
9. Analysis of Rare Events Using High Frequency Data, Fifth Rutgers-Stevens Workshop in Optimization of Stochastic Systems, 2009.

Presentations

1. Application of Rare Events Detection Techniques to Financial Data, Strategy Exploration Meeting: Lockheed Martin and SIT, School of Systems and Enterprises, Stevens Institute of Technology, July 2014.
2. Early Warning Methods for Rare Events Detection, Stevens Innovation Expo - Faculty Poster Session, April 24, 2013.
3. Detection and Analysis of Rare Events in High-Frequency Financial Data, Stevens Financial Systems Center (FSC) Launch Event, April 17, 2012.

Support

1. SciChart WPF software provides the environment for the development of GUI for the Rare Events Project.