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Articles 1 - 9 of 9
Full-Text Articles in Physical Sciences and Mathematics
Survival Analysis: An Exact Method For Rare Events, Kristina Reutzel
Survival Analysis: An Exact Method For Rare Events, Kristina Reutzel
All Graduate Plan B and other Reports, Spring 1920 to Spring 2023
Conventional asymptotic methods for survival analysis work well when sample sizes are at least moderately sufficient. When dealing with small sample sizes or rare events, the results from these methods have the potential to be inaccurate or misleading. To handle such data, an exact method is proposed and compared against two other methods: 1) the Cox proportional hazards model and 2) stratified logistic regression for discrete survival analysis data.
Delta Hedging Of Financial Options Using Reinforcement Learning And An Impossibility Hypothesis, Ronak Tali
Delta Hedging Of Financial Options Using Reinforcement Learning And An Impossibility Hypothesis, Ronak Tali
All Graduate Theses and Dissertations, Spring 1920 to Summer 2023
In this thesis we take a fresh perspective on delta hedging of financial options as undertaken by market makers. The current industry standard of delta hedging relies on the famous Black Scholes formulation that prescribes continuous time hedging in a way that allows the market maker to remain risk neutral at all times. But the Black Scholes formulation is a deterministic model that comes with several strict assumptions such as zero transaction costs, log normal distribution of the underlying stock prices, etc. In this paper we employ Reinforcement Learning to redesign the delta hedging problem in way that allows us …
A Bayesian Markov Chain Monte Carlo Approach To Uncertainty Quantification, Matthew Isaac
A Bayesian Markov Chain Monte Carlo Approach To Uncertainty Quantification, Matthew Isaac
All Graduate Theses and Dissertations, Spring 1920 to Summer 2023
Uncertainty quantification (UQ) is a framework used frequently in engineering analyses to understand how uncertainty in system inputs lead to uncertainty in the system output. An instability is observed in a UQ method proposed by Roy and Oberkampf and a Bayesian Markov Chain Monte Carlo approach to UQ is offered as an alternative. The Bayesian approach allows analysts to incorporate information from various available sources including observed measurements and expert opinion and to update the analysis and results as more information becomes available. An illustrative engineering example is provided as a platform to demonstrate the Bayesian UQ approach and to …
Applications Of Machine Learning In High-Frequency Trade Direction Classification, Jared E. Hansen
Applications Of Machine Learning In High-Frequency Trade Direction Classification, Jared E. Hansen
All Graduate Theses and Dissertations, Spring 1920 to Summer 2023
The correct assignment of trades as buyer-initiated or seller-initiated is paramount in many quantitative finance studies. Simple decision rule methods have been used for signing trades since many data sets available to researchers do not include the sign of each trade executed. By utilizing these decision rule methods, as well as engineering new variables from available data, we have demonstrated that machine learning models outperform prior methods for accurately signing trades as buys and sells, achieving state-of-the-art results. The best model developed was 4.5 percentage points more accurate than older methods when predicting onto unseen data. Since finance and economics …
'Lmshapemaker': Utilizing The 'Rmapshaper' R Package To Modify Shapefiles For Use In Linked Micromap Plots, Braden D. Probst
'Lmshapemaker': Utilizing The 'Rmapshaper' R Package To Modify Shapefiles For Use In Linked Micromap Plots, Braden D. Probst
All Graduate Theses and Dissertations, Spring 1920 to Summer 2023
In order to effectively create map-based visualizations, some map modifications need to be conducted to ensure the map is readable and interpretable. There are several issues that need to be addressed to achieve this. The boundaries of a country may be overly complex which is particularly true with coastal areas of countries. Regions may be small and not seen in the final plot, as is the case with many capital cities in the world’s countries such as Washington D.C. and the Federal District of Mexico City. In other countries, regions may geographically lie far away from the rest of the …
Simplicity As A New Environmental Virtue, Justin Wheeler
Simplicity As A New Environmental Virtue, Justin Wheeler
Undergraduate Honors Capstone Projects
This paper argues for the addition of a new environmentally focused virtue, simplicity, to the virtue ethical framework developed by Aristotle. First, relevant background from Aristotle’s virtue ethics are developed including the crucial, “doctrine of the mean”, a balance between excess and deficiency of a specified character trait. The tenets of the new virtue simplicity are developed with practical examples based on Aristotle’s method of developing a virtue of character. Simplicity is proposed as a desire to take the appropriate amount from the natural world and an acceptance of one’s circumstances. Those possessing simplicity will not fall victim to the …
The Two Types Of Society: Computationally Revealing Recurrent Social Formations And Their Evolutionary Trajectories, Lux Miranda
The Two Types Of Society: Computationally Revealing Recurrent Social Formations And Their Evolutionary Trajectories, Lux Miranda
Undergraduate Honors Capstone Projects
Comparative social science has a long history of attempts to classify societies and cultures in terms of shared characteristics. However, only recently has it become feasible to conduct quantitative analysis of large historical datasets to mathematically approach the study of social complexity and classify shared societal characteristics. Such methods have the potential to identify recurrent social formations in human societies and contribute to social evolutionary theory. However, in order to achieve this potential, repeated studies are needed to assess the robustness of results to changing methods and data sets. Using an improved derivative of the Seshat: Global History Databank, we …
Demystification Of Graph And Information Entropy, Bryce Frederickson
Demystification Of Graph And Information Entropy, Bryce Frederickson
Undergraduate Honors Capstone Projects
Shannon entropy is an information-theoretic measure of unpredictability in probabilistic models. Recently, it has been used to form a tool, called the von Neumann entropy, to study quantum mechanics and network flows by appealing to algebraic properties of graph matrices. But still, little is known about what the von Neumann entropy says about the combinatorial structure of the graphs themselves. This paper gives a new formulation of the von Neumann entropy that describes it as a rate at which random movement settles down in a graph. At the same time, this new perspective gives rise to a generalization of von …
Analysis Of Sat And Isat Scores For Madison School District In Rexburg, Idaho, Holly Dawn Palmer
Analysis Of Sat And Isat Scores For Madison School District In Rexburg, Idaho, Holly Dawn Palmer
Undergraduate Honors Capstone Projects
Testing is an integral part of measuring education. If used properly SAT scores can be compared across the nation, and statewide tests can compare different school districts to each other if done properly to avoid certain pitfalls (Fetler, 1991). However, if tests do not have a significant impact on a student, their motivation to take the test will be low and test quality cannot be assumed. When the state funds two separate tests for their students but only one has a significant impact on the student, how should the scores for each test be used, and is it okay to …