"Introduction to Duration Modeling"

In this talk we will introduce the fundamentals of duration modeling common to the areas of reliability theory, survival analysis, and economics. We will discuss the standard distributions and statistical concepts associated with duration modeling. A future talk will apply these concepts in the setting of high-frequency finance.

"On Fractional Brownian Motion"

First introduced by Kolmogorov in 1940, Fractional Brownian Motion (FBM) is the only self-similar, stationary increment Gaussian process. It generalizes the classical Brownian Motion, which possesses independent increments. In this talk, we will discuss basic properties of FBM such as self-similarity, correlation structure, integral representations, and its relation to long range dependent time series.

"On Fractional Brownian Motion PART II "

We will continue our discussion of basic aspects of Fractional Brownian Motion (FBM), which is the only self-similar, stationary increment Gaussian process. This time, we will talk about integral representations of FBM, and its relation to long range dependent time series.

"An Introduction to Autoregressive Conditional Duration Models"

In this working talk we will introduce the Autoregressive Conditional Duration (ACD) model of Engle and Russell (Econometrica, 1998). We will develop the estimation of the model and discuss alternate parameterizations and generalizations. We will also review the literature, taking note in what has been done and what has not been done.