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Full-Text Articles in Physical Sciences and Mathematics
Dynamic Overnight Effect On Next Day Stock Market Forecasting, Thomas J. Lee
Dynamic Overnight Effect On Next Day Stock Market Forecasting, Thomas J. Lee
Graduate Research Theses & Dissertations
Using a cross section of stocks that have high frequency trading data from 2007 to 2018, we document whether various intraday momentum patterns found in the financial literature over the years continue to hold over time. The first half hour return on the market is often seen as having predictive power over the last half hour of trading, or overnight returns are thought to reverse in the next day's first half hour of trading. We find that while there is some evidence for these patterns, especially in the earlier years, these patterns tend to weaken over time as investors take …
Applications For Functional Data Analysis, Kacy D. Kane
Applications For Functional Data Analysis, Kacy D. Kane
Graduate Research Theses & Dissertations
Functional Data Analysis is often used in the study of data that exists over a continuum, such as time. There are two datasets that will be considered here. For the first study we have a dataset on the efficacy of a lobectomy in reduction or elimination of epileptic seizures in patients. After an initial analysis of the dataset from a multinomial model perspective, we found that there were outliers in our dataset. From there, we considered a Multinomial Mixture Model to aid in the detection of outliers. In our second dataset we are considering a social robotics dataset where the …
Macroeconomic Factors Influencing Foreign Direct Investment In Some Selected Countries In Africa, Richard Essel Mensah
Macroeconomic Factors Influencing Foreign Direct Investment In Some Selected Countries In Africa, Richard Essel Mensah
Graduate Research Theses & Dissertations
This paper investigates the possible factors that influence foreign direct investment inflow rate to Africa after controlling for other macroeconomic factors. Using the heterogenous Toeplitz mixed method on a sample of 23 countries from 1998 – 2020, we find evidence of the statistical significance of a relationship between the amount of trade done in Africa and the FDI inflow rate in Africa. We also find a statistical relationship between the labor force participation rate and the FDI inflow rate to Africa. Although the Fixed effect and GLM method did not find the relationship between LFP rate and FDI inflow to …
The Impact Of Faculty Composition On Cost Per Student: A Mixed Model Approach, Arun Sleeba
The Impact Of Faculty Composition On Cost Per Student: A Mixed Model Approach, Arun Sleeba
Graduate Research Theses & Dissertations
This thesis aims to explore whether research universities in the United States, specifically those classified as Carnegie I or II institutions, utilize part time contingent faculty(rPTF) as a cost saving strategy. Additionally, it sought to determine if there was a differential impact on total costs when comparing public and private universities. Employing a linear mixed effects model with random intercept and slopes, this study analyzed the relationship between rPTF (ratio of part-time to total faculty) and total cost. This study did not provide substantial evidence to support the notion despite observing a negative correlation between rPTF and total cost. Regarding …
A State Space Modeling Approach To Eeg Artifact Removal, Patrick B. Rafael
A State Space Modeling Approach To Eeg Artifact Removal, Patrick B. Rafael
Graduate Research Theses & Dissertations
In this work, a state space modeling approach is applied to an Electroencephalography(EEG) recording for the purpose of artifact removal, and is compared against Independent Components Analysis (ICA), the current gold standard. Issues of model identifiability are touched on, and Hamiltonian Monte Carlo (HMC) is used to estimate a linear non-Gaussian state space model. Results show that estimating such a model is a nontrivial matter, and the full utility of the state space approach remains to be demonstrated.
Enhanced Maximum Likelihood Models For Underreported Variables: Extending To Multiple Claims Dimension, Shalaka Sudhanshu Sarpotdar
Enhanced Maximum Likelihood Models For Underreported Variables: Extending To Multiple Claims Dimension, Shalaka Sudhanshu Sarpotdar
Graduate Research Theses & Dissertations
This thesis builds upon the foundations laid out in Xia et al. [2023], which explored the utilizationof Maximum Likelihood approach to model misrepresentation data in Generalized Linear Models (GLM) ratemaking models. We introduce the concept of “underreported variables”, a form of insurance misrepresentation where insured individuals provide inaccurate information about risk factors that influence insurance eligibility, premiums, and insured amounts. Unlike fraudulent misrepresentation, underreported variables arise from a lack of awareness regarding the insured’s mental and physical health conditions, rather than fraudulent intent. The study rigorously tests the proposed model using health insurance data and extends its applicability to other …