Newswise — The rocky fluctuation of the stock market and the intense tremors of an earthquake seem like disparate forms of disruptive movement. But for Masum Bhuiyan, a doctoral candidate in The University of Texas at El Paso's computational science program, the two events share similar behavior, and the study of those patterns can help predict future events and mitigate their adverse effects.
Bhuiyan, who earned a master’s in mathematical sciences from UTEP in 2015, studies stochastic models, which are tools used for estimating probability distributions of potential outcomes by allowing for random variation in one or more inputs throughout a given time frame. His analysis of the volatility of earthquakes in Arizona and daily stock market returns has resulted in contributions to four studies published in major science publications.
Bhuiyan's most recent credit will publish in April 2019 in Physica A. The journal publishes research in the field of statistical mechanics and its applications. Bhuiyan is currently conducting research on three projects that utilize data analysis of financial data, geophysical data, and medical data. His previous studies have been published in AIMS Geosciences; the International Journal of Mathematical, Computational, Physical, Electrical and Computer Engineering; and ProQuest.
“I am humbled that the work I have conducted has received attention from major scientific publications,” Bhuiyan said. “I am also grateful for the opportunities I have received at UTEP. I have had the privilege of working with wonderful professors who have guided me and pushed me. There are no shortcuts to meaningful and lasting success. The only way is hard work.”
Bhuiyan said he first became interested in using data culled from seismic activity after observing earthquakes in 2014 in Arizona and several stock markets since 2008 during the time of the global financial crisis.
Since then, he has honed his ability to use stochastic models such as stochastic volatility and stochastic differential equations to create forecasts. He said his analyses of stochastic behavior and long memory behavior of stock prices and earthquake magnitudes helped him develop a model to estimate the stochastic volatility of high frequency stock market prices.
“My model is able to predict the stock market data with great accuracy and construct very reliable portfolios, and consequently enables us to make higher profits in the stock market,” Bhuiyan said. “I found that the earthquake time series and high frequency returns of the stock market show similar characters such as stationary behavior, mean-reverting behavior, long memory behavior, and volatility clustering. So, the key parameters that I found in earthquake modeling helped me to detect the financial crash in the stock market.”
Along with his publication credits, Bhuiyan has also conducted presentations on his work at 12 scientific conferences throughout the country. In 2018, he received the Frank B. Cotton Trust Scholarship from UTEP. He also received grants from Louisiana State University, the University of Cincinnati, UTEP, and the Bangladesh-Sweden Trust Fund. Bhuiyan was given the Scholar Award in the category of outstanding performance for presentation in the International Conference in Business, Economics, Humanities and Statistics in Washington, D.C. He has been named Runner-Up in the basic science category for poster presentation in the 2nd Annual Dynamica Expo Conference, Texas. He has also served as a judge in several science fairs and one symposium.
Maria C. Mariani, Ph.D., chair of the Department of Mathematical Sciences, said Bhuiyan was one of her best students. Currently, she is helping steward his dissertation work. Mariani said her student’s accomplishments have been notable.
“We have already published four papers on data analysis and modeling of earthquake time series and stock market data,” Mariani said. “I want to mention his dedication and seriousness in research. His achievements in publications, conference awards, and scholarship awards are very remarkable.”
Ming-Ying Leung, Ph.D., director of UTEP’s Bioinformatics and Computational Science Program, echoed Mariani’s sentiments.
“I am proud of Masum Bhuiyan not only because of his outstanding academic and research accomplishments, but also for his strong motivation to do his best in whatever tasks are given to him,” Leung said. “He is one of the very top students I have taught in my classes for over 30 years. Masum asks thoughtful questions and communicates really well. I always find him cheerful and helpful. It is just a joy to have Masum Bhuiyan with us in the computational science program.”
Bhuiyan currently is an executive member of the Computational Science Student Association at UTEP. He hopes to continue building on the work he has already conducted en route to his expected graduation in Spring 2020. Upon graduating, he hopes either to work as a university professor or to work for an industry in a position related to his research field.
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