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PhD Award for better use of big data in probability calculations

Mikkel Slot Nielsen from the Department of Mathematics has been awarded Aarhus University Research Foundation's PhD Award 2020. The prize will be awarded 4 June.

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[Translate to English:] Mikkel Slot Nielsen fra Institut for Matematik modtager Aarhus Universitets Forskningsfonds ph.d.-pris 2020. Foto: Anne Kring.

Mathematician Mikkel Slot Nielsen has worked on the further development of highly specialised methods within probability theory. His thesis contains as much as eight published articles about models for understanding time series data, i.e. data arranged on the basis of measurements over time. With such models you can calculate probable scenarios for the future development of the measurements – within e.g. meteorology, climate studies and economics. 

‘If you are an investor, you may look up the stock price on a daily basis and wish to be able to predict when it will stop falling. Or you may be interested in the probability that it will exceed 100 at a later point’, Mikkel Slot Nielsen explains.

Using approx. 40-year-old time series models you can simulate e.g. 1,000 scenarios and determine how many of them will meet a specific criterion. But the classic models fall short when using a time series with more detailed observations where you have e.g. measured a stock price every minute rather than every day. But Mikkel Slot Nielsen found a solution.

‘With the type of models that I have looked at, I have shown how to make a similar setup that allows for a lot of observations and including all the data available. In this way, the method utilises big data and strong computing power better than what has been possible so far’, he says.

In short, he was trying to combine results from old time series models with methods from stochastic differential equations.

‘This requires fairly detailed probability theoretical results. And at the same time, it leads to econometric problems, e.g. concerning co-integration, which is what is evident from Pepsi’s stock price compared to Coca Cola’s – their individual fluctuation may seem extreme, but they share this extremity’, says Mikkel Slot Nielsen.

Among other things, Mikkel Slot Nielsen has been able to help Vestas assess the risk of extending the service life of their wind turbines with his results.

A postdoc scholarship from the Independent Research Fund Denmark has enabled Mikkel Slot Nielsen to continue his research at Columbia University in New York.

Recognition of five PhDs

Aarhus University Research Foundation will present their PhD Awards on 4 June 2020 to to young and promising researchers, who have conducted research at an impressively high level .The five PhDs receive the DKK 50,000 prize in recognition of their research and dissemination hereof.