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Articles 1 - 11 of 11
Full-Text Articles in Probability
A Traders Guide To The Predictive Universe- A Model For Predicting Oil Price Targets And Trading On Them, Jimmie Harold Lenz
A Traders Guide To The Predictive Universe- A Model For Predicting Oil Price Targets And Trading On Them, Jimmie Harold Lenz
Doctor of Business Administration Dissertations
At heart every trader loves volatility; this is where return on investment comes from, this is what drives the proverbial “positive alpha.” As a trader, understanding the probabilities related to the volatility of prices is key, however if you could also predict future prices with reliability the world would be your oyster. To this end, I have achieved three goals with this dissertation, to develop a model to predict future short term prices (direction and magnitude), to effectively test this by generating consistent profits utilizing a trading model developed for this purpose, and to write a paper that anyone with …
Stochastic Network Design: Models And Scalable Algorithms, Xiaojian Wu
Stochastic Network Design: Models And Scalable Algorithms, Xiaojian Wu
Doctoral Dissertations
Many natural and social phenomena occur in networks. Examples include the spread of information, ideas, and opinions through a social network, the propagation of an infectious disease among people, and the spread of species within an interconnected habitat network. The ability to modify a phenomenon towards some desired outcomes has widely recognized benefits to our society and the economy. The outcome of a phenomenon is largely determined by the topology or properties of its underlying network. A decision maker can take management actions to modify a network and, therefore, change the outcome of the phenomenon. A management action is an …
Newsvendor Models With Monte Carlo Sampling, Ijeoma W. Ekwegh
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 …
Advanced Sequential Monte Carlo Methods And Their Applications To Sparse Sensor Network For Detection And Estimation, Kai Kang
Doctoral Dissertations
The general state space models present a flexible framework for modeling dynamic systems and therefore have vast applications in many disciplines such as engineering, economics, biology, etc. However, optimal estimation problems of non-linear non-Gaussian state space models are analytically intractable in general. Sequential Monte Carlo (SMC) methods become a very popular class of simulation-based methods for the solution of optimal estimation problems. The advantages of SMC methods in comparison with classical filtering methods such as Kalman Filter and Extended Kalman Filter are that they are able to handle non-linear non-Gaussian scenarios without relying on any local linearization techniques. In this …
Numerical Solutions Of Stochastic Differential Equations, Liguo Wang
Numerical Solutions Of Stochastic Differential Equations, Liguo Wang
Doctoral Dissertations
In this dissertation, we consider the problem of simulation of stochastic differential equations driven by Brownian motions or the general Levy processes. There are two types of convergence for a numerical solution of a stochastic differential equation, the strong convergence and the weak convergence. We first introduce the strong convergence of the tamed Euler-Maruyama scheme under non-globally Lipschitz conditions, which allow the polynomial growth for the drift and diffusion coefficients. Then we prove a new weak convergence theorem given that the drift and diffusion coefficients of the stochastic differential equation are only twice continuously differentiable with bounded derivatives up to …
Stochastic Processes And Their Applications To Change Point Detection Problems, Heng Yang
Stochastic Processes And Their Applications To Change Point Detection Problems, Heng Yang
Dissertations, Theses, and Capstone Projects
This dissertation addresses the change point detection problem when either the post-change distribution has uncertainty or the post-change distribution is time inhomogeneous. In the case of post-change distribution uncertainty, attention is drawn to the construction of a family of composite stopping times. It is shown that the proposed composite stopping time has third order optimality in the detection problem with Wiener observations and also provides information to distinguish the different values of post-change drift. In the case of post-change distribution uncertainty, a computationally efficient decision rule with low-complexity based on Cumulative Sum (CUSUM) algorithm is also introduced. In the time …
Thinking Poker Through Game Theory, Damian Palafox
Thinking Poker Through Game Theory, Damian Palafox
Electronic Theses, Projects, and Dissertations
Poker is a complex game to analyze. In this project we will use the mathematics of game theory to solve some simplified variations of the game. Probability is the building block behind game theory. We must understand a few concepts from probability such as distributions, expected value, variance, and enumeration methods to aid us in studying game theory. We will solve and analyze games through game theory by using different decision methods, decision trees, and the process of domination and simplification. Poker models, with and without cards, will be provided to illustrate optimal strategies. Extensions to those models will be …
Elements Of The Mathematical Formulation Of Quantum Mechanics, Keunjae Go
Elements Of The Mathematical Formulation Of Quantum Mechanics, Keunjae Go
Senior Honors Papers / Undergraduate Theses
In this paper, we will explore some of the basic elements of the mathematical formulation of quantum mechanics. In the first section, I will list the motivations for introducing a probability model that is quite different from that of the classical probability theory, but still shares quite a few significant commonalities. Later in the paper, I will discuss the quantum probability theory in detail, while paying a brief attention to some of the axioms (by Birkhoff and von Neumann) that illustrate both the commonalities and differences between classical mechanics and quantum mechanics. This paper will end with a presentation of …
A New Right Tailed Test Of The Ratio Of Variances, Elizabeth Rochelle Lesser
A New Right Tailed Test Of The Ratio Of Variances, Elizabeth Rochelle Lesser
UNF Graduate Theses and Dissertations
It is important to be able to compare variances efficiently and accurately regardless of the parent populations. This study proposes a new right tailed test for the ratio of two variances using the Edgeworth’s expansion. To study the Type I error rate and Power performance, simulation was performed on the new test with various combinations of symmetric and skewed distributions. It is found to have more controlled Type I error rates than the existing tests. Additionally, it also has sufficient power. Therefore, the newly derived test provides a good robust alternative to the already existing methods.
Random Walks On Thompson's Group F, Sarah C. Ghandour
Random Walks On Thompson's Group F, Sarah C. Ghandour
Senior Projects Fall 2016
In this paper we consider the statistical properties of random walks on Thompson’s group F . We use two-way forest diagrams to represent elements of F . First we describe the random walk of F by relating the steps of the walk to the possible interactions between two-way forest diagrams and the elements of {x0,x1}, the finite generating set of F, and their inverses. We then determine the long-term probabilistic and recurrence properties of the walk.
Simulation Of Nuclear Fusion Using A One Dimensional Particle In Cell Method, Steven T. Margell
Simulation Of Nuclear Fusion Using A One Dimensional Particle In Cell Method, Steven T. Margell
Cal Poly Humboldt theses and projects
In this thesis several novel techniques are developed to simulate fusion events in an isotropic, electrostatic three-dimensional Deuterium-Tritium plasma. These techniques allow us to accurately predict three-dimensional collision events with a one-dimensional model while simultaneously reducing compute time via a nearest neighbor algorithm. Furthermore, a fusion model based on first principles is developed that yields an average fusion reactivity which correlates well with empirical results.