Visiting Professor in Centre for Analysis of Time Series at The London School of Economics and Political Science (LSE)
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My work confronts complexity science with real world problems and is centred on modelling uncertainty and risk in time series. A particular focus is models for processes that exhibit both heavy-tailed jumps and long ranged temporal memory, thus creating correlated extreme events (鈥渂unched black swans鈥�). My work, presentations and the conferences that I organise all aim to catalyse the two way dialogue between new ideas and paradigms drawn from complexity science, and the existing discipline-specific knowledge of more traditional disciplines and end users.
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heavy tailslong range dependencemandelbrotlong range memoryextremes1/f noiseblack swanslondon school of economicsmemoryergodicity breakingimaginationlevy flightsvolatility bunchingcomplexityeconophysics. black swansspace weatherkesten processanomalous diffusionlangevin equationsarfimaopen universitycognitive diversitycomplexity scienceanalyticsforagingranom walks
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