Banca de DEFESA: LUCIENE LOPES BORGES MIRANDA

Uma banca de DEFESA de DOUTORADO foi cadastrada pelo programa.
STUDENT : LUCIENE LOPES BORGES MIRANDA
DATE: 27/08/2021
TIME: 10:00
LOCAL: Videoconferência
TITLE:

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KEY WORDS:

Itô calculations; Financial Market, White Noise.

PAGES: 81
BIG AREA: Outra
AREA: Multidisciplinar
SUMMARY:

It is worth mentioning that the variations in the financial market have a strong impact on the economy, on trade relations, and why not on the different branches of knowledge, and these variations reflect on different sectors of society, and also in the exact sciences such as Mathematics. The complexity of behavior and studies on the financial market and the Itô-Langevin Calculations, become an attractive field of studies for researchers in several areas, such as: Economics, Systems Analysis, Mathematics and Physics. We can emphasize its importance for such studies in interdisciplinary areas, such as:  Econophysics, which relate elements of Economics and Physics in the study of markets and financial systems.
Statistical mechanics is one of the main tools for modeling these financial systems, more precisely the price dynamics. To understand such facts, the Itô stochastic differential equations were used, with additive white noise as a mathematical model for the price dynamics of the financial market. In this project, a model was presented that will allow testing within the same structure, the comparative explanatory power of rational versus irrational agents, in relation to the facts of the financial markets. As results, the average price was obtained in terms of the parameter β, which represents the strength of the
model randomness term.

BANKING MEMBERS:
Interno - ALISSON MARQUES DA SILVA
Interno - ALLBENS ATMAN PICARDI FARIA
Presidente - LEONARDO DOS SANTOS LIMA
Externo ao Programa - LUIS ALBERTO D AFONSECA
Externo ao Programa - LUIS ARGEL POVEDA CALVINO