Exponential analysis of financial time series

In recent years, exponential analysis has advanced significantly, particularly in Prony-like and subspace-based approaches. These newly developed methods have achieved considerable success in various signal processing applications. However, their potential impact on financial data remains largely unexplored, which is exactly the focus of this project.

Many financial time series exhibit signal-like characteristics, yet they often lack the well-defined mathematical models derived from physics or engineering principles that have been crucial to the success of exponential analysis. This presents both challenges and opportunities for advancing exponential analysis techniques and their application to financial data.

This project builds upon an ongoing collaboration with KBC Bank and the University of Antwerp in Belgium. The supervisory team at the University of Stirling consists of researchers in mathematics and finance. As part of the PhD program, the student will spend some time in Belgium to work on the project.