Plenary Lecture

Relation of Temporal Probability Density Functions: An Application in Finance

Professor Edi Cahyono
Universitas Halu Oleo

Abstract: Relation of signals can be observed in several aspects, from traveling waves to the dynamics of stocks and exchange rates. The relation may be applied to predict the incoming wave provided that the information (signal(s) or the wave measurement(s)) at several points up-steam is already known. Based on such relation, dynamics of stocks or exchange rates may be predicted by another known dynamics.
Signals of waves or such dynamics of stocks or exchange rates often consist of the so called ripples or noises. These signals may be represented in a form of temporal density functions (t-pdf’s). The moving average of the t-pdf is the trend of the signal, where the noise of ripple is filtered. The temporal variance represents the characteristic of the noise. The larger and more serious the noise, the larger the variance. In this talk, a relation of temporal probability density function is considered. A method to obtain a linear relation of two signals is proposed. Applications in the dynamics of exchange rates are discussed.

Brief Biography of the Speaker: He got Doctor degree in Applied Analysis and Mathematical Physics, University of Twente, the Netherlands in 2002. He served as a Lecturer in Department of Mathematics, Universitas Halu Oleo, Kendari Indonesia. In 2010 he was promoted to Professor of Industrial and Applied Mathematics at the same university. His main research areas are focused on Partial Differential Equations and applications. For the case of diffusion equation, he has applied it for modeling of wood drying in an industry. Currently, he has been working on the relation of fundamental solution type with temporal probability density function of stock, currency and index dynamics.