STA 290 Seminar Series
Thursday, September 22nd, 4:10pm, MSB 1147 (Colloquium Room)
Refreshments at 3:30pm in MSB 4110 (Statistics Lounge)
Speaker: Victor Solo (University of New South Wales, Australia)
Title: “System Identification for Multivariate Point Processes with Applications to Neural Coding, High Frequency Finance and Genomics”
Abstract: Point processes have a long history going back to the 19th Century. The first major application was queueing theory in the early 20th Century. Another impetus was given by the development of queueing networks in communications and manufacturing in the 1980s & 1990s.
More recently three areas have given new impetus to point process system identification. Firstly neural coding, where spike trains are recorded from hundreds of electrodes implanted in the brains of animals such as rats and monkeys. Interest is in fundamental science - how does the brain work? How does it store information? How does it process sensory information? What is consciousness? Engineering interest is also in brain machine interfaces. Secondly high frequency finance where buy and sell orders are recorded down to milli-seconds and interest is e.g. in contagion between stock exchanges and especially the spread of financial crises or 'bubbles'. Thirdly genomics where point process methods are being used to model gene regulatory networks.
In this talk we give a quick review of multivariate point processes and then report their application and recent methodological developments in each of the above areas, relying on recent work of our group.