Blind Deconvolution in Extracting Systemic Features from Big Date Arrays in Financial Markets

Student: Kopylov Artem

Supervisor: Vladimir R. Evstigneev

Faculty: Faculty of World Economy and International Affairs

Educational Programme: World Economy (Master)

Final Grade: 9

Year of Graduation: 2016

This graduate qualification work deals with the issues of filtering a noisy price stochastic process. In the first chapter we consider the definition of the direct and inverse problems, convolution and deconvolution. The second chapter provides the technics of a solution of the Fredholm integral equation of the first kind using the two different approaches. The first one is based on the substitution of the integral linear operator to the matric. The second approach is based on the Tikhonov regularization. In the third chapter the gained knowledge about the probability-density function of the recovered stochastic process allows us to build the new investing strategies.

Full text (added May 16, 2016)

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