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Home  >  Transactions of NAMP VOL 6

32. A materclass on stochastic modelling in nance and economics with a focus on current and emerging research directions by P. O. Ezepue Transactions Vol. 6 (Jan., 2018), pp. 308{ 334
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A materclass on stochastic modelling in nance and economics

with a focus on current and emerging research directions

P. O. Ezepue

Afrihero-Oselux World Higher Education and Research Observatory, E Shefield S RZ, UK


There is a dense literature on stock market analyses, including research themes from invest-

ment analyses, time series analysis and forecasting, empirical nance issues (market eciency, bubbles,

anomalies, volatility, predictability and valuation), nancial derivatives, quantitative risk management,

and macroeconomic modelling, for example. These works cover individual rms, market sectors, national,

cross-national and international remits. This paper notes that there is a dearth of literature that pulls these

ligaments of theoretical and practical works together, in a way that provides a systematic characterisation

of a stock market akin to the mapping of DNA genome in modern biology. The paper, therefore, presents

current works along this line in the Nigerian Stock Market (NSM), based mainly on doctoral research top-

ics supervised by the author. The Systematic Stock Market Characterisation and Development (SSMCD)

research theme was enunciated as a key part of the Statistics, Information Modelling and Financial Mathe-

matics (SIMFIM) research at Sheeld Hallam University, UK, from about the onset of the global nancial

crisis in 2008. This paper aims to stimulate the mathematical and nancial sciences research communities

in Nigeria to undertake this SSMCD work through: a) the Nigerian Mathematics Finance Statistics and

Economics Research Consortium (NIMFSERC), which the author convenes as an enabling research hub; b)

spokes comprising of special Doctoral Training Centres (DTCs) in selected Nigerian universities, in which

collaborating academics will jointly supervise an army of PhD students and post-doctoral research schol-

ars; c) innovative research exchanges amongst myriad NIMFSERC groups, supported by a rich ecology

of research grants and consultancies at local, national, continental and global perspectives; and d) special

focus on research-teaching excellence and high-impact economic development.

Keywords: stochastic modelling, time series analysis, forecasting, empirical nance, quantitative nancial risk management, macroeconomic modelling, derivatives, SSMCD, 'practi cation', global economics, economic development.