Stability of deterministic signals in stochastic financial stock price data

Simple item page
dc.contributor.authorHilder, Charles
dc.date.accessioned2026-04-27T15:04:25Z
dc.date.available2026-04-27T15:04:25Z
dc.date.issued2026
dc.description.abstractThe focus of this project is to quantify the persistence of deterministic trends within stock price paths from the S&P500. We start by considering "synthetic assets" – linear combinations of held and shorted stocks, which are designed based on underlying financial theory to exhibit predictable behaviour. We then model the synthetic assets out of sample by mapping their price paths to a non euclidean space, where their evolution can be described approximately linearly using a best fit Koopman operator (K). Then using this linear approximation, we asses the persistence of the fitted operator K by the use of spectral analysis and a stochastic adaptation of Lyapunov stability theory.
dc.description.reviewstatusReviewed
dc.description.scholarlevelUndergraduate
dc.description.sponsorshipJamie Cassels Undergraduate Research Awards (JCURA)
dc.identifier.urihttps://hdl.handle.net/1828/23729
dc.language.isoen
dc.publisherUniversity of Victoria
dc.subjectmath
dc.subjectstatistics
dc.subjectfinance
dc.subjectmodelling
dc.subjectdynamic-systems
dc.subjectJamie Cassels Undergraduate Research Awards (JCURA)
dc.subject.departmentDepartment of Mathematics and Statistics
dc.titleStability of deterministic signals in stochastic financial stock price data
dc.typePoster

Files

Original bundle
Now showing 1 - 1 of 1
Thumbnail Image
Name:
hilder_charles_jcura_poster_2026.pdf
Size:
353.34 KB
Format:
Adobe Portable Document Format
Download
License bundle
Now showing 1 - 1 of 1
No Thumbnail Available
Name:
license.txt
Size:
1.62 KB
Format:
Item-specific license agreed upon to submission
Description:
Download

Collections

Jamie Cassels Undergraduate Research Awards (JCURA)
 
University of Victoria Libraries

We acknowledge and respect the Lək̓ʷəŋən (Songhees and Esquimalt) Peoples on whose territory the university stands, and the Lək̓ʷəŋən and W̱SÁNEĆ Peoples whose historical relationships with the land continue to this day.