Laboratory of Statistical Analysis

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Laboratory of Statistical Analysis

Head of the laboratory: Ushakov Vladimir, Professor, Dr.Sc.

Contact information

E-mail:

nazarov@cs.msu.ru

Phone number:

+7 (495) 939-17-96

Other contact information

Address:

119991, Moscow, GSP-1, Leninskiye Gory, MSU, 2nd Educational Building, CMC Faculty, room 586

The Laboratory was established in 1988. V.F.Matveev was its head from 1988 to 1995. Since 1995, the Laboratory is headed by Professor V. Ushakov.

Staff members:

Nazarov Leonid, Senior Research Fellow, PhD
Doynikov Alexander, Research Fellow, PhD
Lavrentiev Viktor, Research Fellow, PhD
Kobyshev Andrey, Engineer

Special courses:

Introduction to mathematical analysis of financial instruments by Dr. Doynikov, 32 lecture hours, 7th semester.
Mathematical models of financial instruments by Dr. Nazarov, 32 lecture hours, 8th semester.

Main Scientific directions:

Queueing theory (Prof. V. Ushakov)

Research in queueing theory is maintained in the Laboratory since its inception. Examples of real systems, the mathematical description of which is possible in terms of queuing theory, are information and computer systems (computers and computer networks), telecommunications systems, transportation and utility systems (ambulance or fire brigades) and many other systems. The Laboratory’s team obtained a number of outstanding results in the theory of priority queueing systems and systems distributed in the space. One of the main lab software projects is the “QueST” package (Queueing systems testing). It is designed for calculating basic characteristics of queueing systems.

Time series analysis (Dr. A. Doynikov)

As an achievement of the Laboratory, one should note the creation of a specialized statistical package "GIANTS". This package includes not only most of the classical methods of time series analysis, but also many original techniques developed by the staff, students and postgraduates of the Department of Mathematical Statistics and the Statistical Analysis Laboratory. The package was exhibited in numerous national and international exhibitions and conferences. It has been repeatedly recognized as the best national statistical software system for analyzing time series. During the last decade GIANTS is the basis of statistical workshops for students at the Department of Mathematical Statistics.

Financial mathematics (Prof. V. Ushakov, Dr. L. Nazarov, and Dr. A. Doynikov)

Research in this area has been conducted since 1993.The main direction of the research is to develop analytical and computational tools that help to analyze, model and make decisions in financial markets. The research focuses on a wide range of problems that include asset pricing, exotic option pricing, credit risk and interest rate modeling. In each of these areas, we pursue theoretical results (such as generalizing the classic Black-Scholes model assumptions to cases where markets are driven by more general Levy processes) and address the related numerical implementation and calibration issues. Students of the Department of Mathematical Statistics are able to understand better some of these methods and models in a statistical workshop.

The Laboratory operates a range of special courses in mathematical finance, including “Introduction to mathematical analysis of financial instruments” and “Mathematical models of financial instruments”.

Recent publications:

• 2012

Gorshenin A., Doynikov A., Korolev V., Kuzmin V. Statistical properties of the dynamics of order books: empirical results // VI Intern. Workshop "Applied Problems in Theory of Probabilities and Math. Stat. Related to Modeling of Information Systems". М.: Изд-во ИПИ РАН, 2012. P. 31-51.