Physical Sciences and Mathematics Commons^™

Newsvendor Models With Monte Carlo Sampling, Ijeoma W. Ekwegh

Electronic Theses and Dissertations

Newsvendor Models with Monte Carlo Sampling by Ijeoma Winifred Ekwegh The newsvendor model is used in solving inventory problems in which demand is random. In this thesis, we will focus on a method of using Monte Carlo sampling to estimate the order quantity that will either maximizes revenue or minimizes cost given that demand is uncertain. Given data, the Monte Carlo approach will be used in sampling data over scenarios and also estimating the probability density function. A bootstrapping process yields an empirical distribution for the order quantity that will maximize the expected profit. Finally, this method will be used …

Spot Volatility Estimation Of Ito Semimartingales Using Delta Sequences, Weixuan Gao

Arts & Sciences Electronic Theses and Dissertations

This thesis studies a unifying class of nonparametric spot volatility estimators proposed by Mancini et. al.(2013). This method is based on delta sequences and is conceived to include many of the existing estimators in the field as special cases. The thesis first surveys the asymptotic theory of the proposed estimators under an infill asymptotic scheme and fixed time horizon, when the state variable follows a Brownian semimartingale. Then, some extensions to include jumps and financial microstructure noise in the observed price process are also presented. The main goal of the thesis is to assess the suitability of the proposed methods …

Statistical Contributions To Operational Risk Modeling, Daoping Yu

Theses and Dissertations

In this dissertation, we focus on statistical aspects of operational risk modeling. Specifically, we are interested in understanding the effects of model uncertainty on capital reserves due to data truncation and in developing better model selection tools for truncated and shifted parametric distributions. We first investigate the model uncertainty question which has been unanswered for many years because researchers, practitioners, and regulators could not agree on how to treat the data collection threshold in operational risk modeling. There are several approaches under consideration—the empirical approach, the “naive” approach, the shifted approach, and the truncated approach—for fitting the loss severity distribution. …

Optimal Pairs Trading Rules, Eric Müller

Theses and Dissertations

This thesis derives an optimal trading rule for a pair of historically correlated stocks. When one stock's price increases and the other one's decreases, a trade of the pair is triggered. The idea is to short the winner and to long the loser with the hope that the prices of the two assets will converge again. In this thesis the spread of the two stocks is governed by a mean-reverting model. The objective is to trade the pair in such a way as to maximize an overall return. The same slippage cost is imposed on every trade. Furthermore, a local-time …

Financial Performance In Upstream, Downstream, And Integrated Oil Companies In Response To Oil Price Volatility, Jonathan P. Garcia

Finance Undergraduate Honors Theses

This paper investigates the relation between crude oil price volatility and stock returns among oil companies using a three-part methodology, by using the West Texas Intermediate (WTI) as oil price benchmark. I asses the various indicators that set signals for oil price volatility and the interpretation of each (PMI, S&P500, DJIA, and World Crude Oil Output). This research also focuses on the relation between different types of companies in the oil industry (integrated, upstream, and downstream) and how each type of company will be assessed in a particular way to predict abnormal returns, based on market data and statistical analyses …

Optimal Monitoring And Mitigation Of Systemic Risk In Lending Networks, Zhang Li

Open Access Dissertations

This thesis proposes optimal policies to manage systemic risk in financial networks. Given a one-period borrower-lender network in which all debts are due at the same time and have the same seniority, we address the problem of allocating a fixed amount of cash among the nodes to minimize the weighted sum of unpaid liabilities. Assuming all the loan amounts and cash flows are fixed and that there are no bankruptcy costs, we show that this problem is equivalent to a linear program. We develop a duality-based distributed algorithm to solve it which is useful for applications where it is desirable …

Determining The Optimal Work Breakdown Structure For Government Acquisition Contracts, Brian J. Fitzpatrick

Theses and Dissertations

The optimal level of Government Contract Work Breakdown Structure (G-CWBS) reporting for the purposes of Earned Value Management was inspected. The G-Score Metric was proposed, which can quantitatively grade a G-CWBS, based on a new method of calculating an Estimate At Completion (EAC) cost for each reported element. A random program generator created in R replicated the characteristics of DOD program artifacts retrieved from the Cost Analysis Data Enterprise (CADE) system. The generated artifacts were validated as a population, however validation at the demographic combination level using an artificial neural network was inconclusive. Comparative WBS forms were created for a …

Predicting Schedule Duration For Defense Acquisition Programs: Program Initiation To Initial Operational Capability, Christopher A. Jimenez

Theses and Dissertations

Accurately predicting the most realistic schedule for a defense acquisitions program is an extremely difficult task considering the inherent risk and uncertainties present in the early stages of a program. We use a multiple regression analysis to predict schedule duration in a defense acquisition program. The prediction scope of our research is limited to predicting schedule duration from program initiation to initial operation capability (IOC).We use the data from 56 programs across all services, which was acquired from a SAR database created by RAND. We were able to achieve an R2 of 0.429 and an Adjusted R2 of 0.384 in …

An Analysis Of The Relationship Between Security Information Technology Enhancements And Computer Security Breaches And Incidents, Linda Betz

CCE Theses and Dissertations

Financial services institutions maintain large amounts of data that include both intellectual property and personally identifiable information for employees and customers. Due to the potential damage to individuals, government regulators hold institutions accountable for ensuring that personal data are protected and require reporting of data security breaches. No company wants a data breach, but finding a security incident or breach early in the attack cycle may decrease the damage or data loss a company experiences. In multiple high profile data breaches reported in major news stories over the past few years, there is a pattern of the adversary being inside …

Automatically Defined Templates For Improved Prediction Of Non-Stationary, Nonlinear Time Series In Genetic Programming, David Moskowitz

CCE Theses and Dissertations

Soft methods of artificial intelligence are often used in the prediction of non-deterministic time series that cannot be modeled using standard econometric methods. These series, such as occur in finance, often undergo changes to their underlying data generation process resulting in inaccurate approximations or requiring additional human judgment and input in the process, hindering the potential for automated solutions.

Genetic programming (GP) is a class of nature-inspired algorithms that aims to evolve a population of computer programs to solve a target problem. GP has been applied to time series prediction in finance and other domains. However, most GP-based approaches to …

Establishing Mobile Financial Services In Ethiopia, James R. Kanagwa

Walden Dissertations and Doctoral Studies

Mobile phone service is increasing among low income populations; however, with over 1 billion mobile service users worldwide, many people still lack banking services. Banks do not reach out to the poor because of the high operational costs involved. Scholars and industry practitioners have indicated that mobile phones could be an alternative channel for delivering financial services to the less advantaged and unbanked, without requiring a traditional bank with a branch network. The purpose of this bounded case study was to explore the strategies bank managers used to implement the new mobile banking service to the Ethiopian community. The new …

Quantifying A Mining Investability Quotient To Mitigate Junior Mining Investment Risk, Jonathan Mickey Merguerian

Open Access Theses & Dissertations

Uncertainty and risk are inherent features of investing in mineral exploration ventures. Investors rely on qualitative and quantitative analysis to evaluate risk of capital. The distinction between risk and uncertainty pertaining to mineral exploration is that risk is an opportunity for loss and uncertainty can be described as the range of probabilities that some condition may occur (Rose, 1987). Stakeholders rely on a combination of investment conferences, risk analysis equations, press releases, financial reports, and investment research to determine if an investment potential. J. M. Cozzolini developed a formula for Risk Adjusted Value (RAV) of an exploration venture. The study …

Diversification And Market Neutral Portfolios In S&P500, Alan S. Agnew

Williams Honors College, Honors Research Projects

Our goal is to investigate strategies to deal with the risks associated with holding asset in the stock market. We first deal with risk of holding a specific stock, by the use of diversification. Later, we’ll attempt to deal with the market risk, which is the risk of entire market going up and down. Data used in this project comes from daily adjusted closing price of stocks listed in the S&P500 index ranging from January 3^rd, 2000 to December 31^st, 2015 and the data is processed using statistical software R.

Sections 2 through 4 of this …

Comparison Of Option Price From Black-Scholes Model To Actual Values, Matthew J. Krznaric

Williams Honors College, Honors Research Projects

The Black-Scholes model is a widely used method for pricing European-style options in a straightforward way, through the use of calculations and ideal market assumptions. Due to certain unrealistic ideal conditions exercised by the model, The Black-Scholes technique of pricing options may not be entirely accurate in implementation. This paper addresses these problems due to the model limitations, determining how The Black-Scholes method compares to the results when using the actual data. Using a mix of historical S&P500 data and generated normal distributions, we first calculated and graphed option prices through the Black-Scholes formulas. With the help of R, we …