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Physical Sciences and Mathematics Commons™
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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 …
Homological Algebra : Tor Functors, Betti Numbers, And Free Resolutions., Ian Philipp
Homological Algebra : Tor Functors, Betti Numbers, And Free Resolutions., Ian Philipp
College of Arts & Sciences Senior Honors Theses
The topic of study for this project is homological algebra, a branch of mathematics with applications to a plethora of other branches of mathematics as well as sensor networks, signal processing, uid dynamics, particle physics, etc. The amount of literature written on this topic is vast and there are numerous open problems in homological algebra, but this project has a more modest focus. First, we will explain the fundamental terminology with several examples and later we will proceed to some results concerning certain rings and ideals, and then results about modules generated by zero divisors.