The 21-year-old Dalin Boriçi studies mathematics and physics at the University of Paris-Sud. As part of his Bachelor's degree in mathematics, he completed an internship at Prime Re Solutions during this summer. The Albanian national investigated how Cellular Automata can be used to model financial time series.
Dalin, why did you decide to do an internship at PRS?
As part of my bachelor’s degree in mathematics, I am required to write a bachelor thesis and complete an internship. I knew Dr. Frank Cuypers from a Prime Re Academy workshop I had completed on Actuarial Science the year before. There, Frank introduced new cutting edge techniques that aren’t yet fully embraced by professionals in the field. These included Cellular Automata and their use in modeling financial time series. It was my favorite part of Frank’s lectures, since I had already had some prior exposure to their use in other areas during my studies. Frank encouraged me to write my thesis about it. And so I decided to do an internship here and to study Cellular Automata in more detail.
What is the thesis about?
It’s about modeling financial time series using a Cellular Automaton. Cellular Automata are discrete-time dynamical systems that have proven successful in modeling many complex physical phenomena that result from local interactions, from which can emerge amazing global behaviors. In our case, interactions between agents that sell or buy in a market are modeled by very simple nearest-neighbor cell interactions. Using a rule first proposed by Stephen Wolfram in his book “A new kind of Science”, we have shown that critical phenomenological features (such as Pareto shocks, non-trivial autocorrelations and volatility clusters) of financial time series observed in real life could be reproduced by such means. We have tried to further develop this model, in order to render our results closer to real life observations. Of course, the work is not finished yet: there is always something to work on. In the end, research is a never ending journey.
What did you learn during your internship?
I benefited a lot from Frank's knowledge. He introduced me to tools that are used in financial data analysis. I also had to code a lot, in order to carry out simulations. I was used to coding separately in C++ and Python, but during my internship at PRS I had to work on both and combine them. I therefore developed some useful skills. I also read a lot about descriptive statistics, on how to interpret statistical distributions. I also profited from Simone Dalessi’s profound expertise in the subject.
What did you enjoy most during your internship?
The team. And the common lunches, where we always talked much and laughed. All employees here are very open-minded and a kind of a friendship developed in the course of the internship. The working atmosphere in the entire office is very, very good.
What are your next steps going to be?
I will finish my bachelor's degree in mathematics this summer and the one in physics next year. I plan to add a master's degree in physics afterwards. After that, my goal is to become a scientist. However, I think that many physicists would fit well in finance/insurance. Thus, I won’t be cutting my ties with the industry any time soon.
Read Dalin's thesis on how Cellular Automata can be used to model financial time series
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About Dalin Boriçi
Dalin Boriçi was born in Zurich, Switzerland in 1997. He grew up there, then in Scotland and by the time he got six, he and his family moved to Albania, where he received his pre-college education. During high school, he decided to study physics abroad and applied to renowned universities in France and the USA. He made his choice to study at the University of Paris-Sud, where he was enticed by the university’s excellence in mathematics, thus deciding to study mathematics in the meantime. Dalin speaks Albanian, French and English fluently and understands some German and Italian.
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