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Full-Text Articles in Physical Sciences and Mathematics
Mixture Of Poisson Distributions To Model Discrete Stock Price Changes., Rasitha Rangani Jayasekare Kodippuli Thanthillage Dona
Mixture Of Poisson Distributions To Model Discrete Stock Price Changes., Rasitha Rangani Jayasekare Kodippuli Thanthillage Dona
Electronic Theses and Dissertations
An application of a mixture of Poisson distributions is proposed to model the discrete changes in stock price based on the minimum price movement known as `tick-size'. The parameters are estimated using the Expectation-Maximization (EM) algorithm with a constant mixing probability as well as mixing probabilities which depend on order size. The model is evaluated using simulations and real data. Both the simulated and real data show reasonable estimates. Several adjustments are made to the model implementation to improve the efficiency with user written codes for the Newton Raphson algorithm and also implementing one of the most recent versions of …
Compound Identification Using Penalized Linear Regression., Ruiqi Liu
Compound Identification Using Penalized Linear Regression., Ruiqi Liu
Electronic Theses and Dissertations
In this study, we propose a new method for compound identification using penalized linear regression. Compound identification is often achieved by matching the experimental mass spectra to the mass spectra stored in a reference library based on mass spectral similarity. In the context of the linear regression, the response variable is an experimental mass spectrum (i.e., query) and all the compounds in the reference library are the independent variables. However, the number of compounds in the reference library is much larger than the range of m/z values so that the data become high dimensional data with suffering from singularity. For …