Probabilistic models commonly assume that variables are independent of each other conditioned on a subset of other variables. Graphical models provide a powerful framework for encoding such conditional independence structure of a large collection of random variables. A special class of graphical...

Price is the most visible signal produced by competition and interaction among a complex ecology of entities in a system called financial markets. This thesis deals with statistical analysis and model identification based on such signals. We approach this problem at various levels of...