Longitudinal Data Analysis and Time Series Commons^™

Liquidity Commonality With Factor Models, Ernesto Garcia Iii

Dissertations, Theses, and Capstone Projects

Market microstructure research has recently devoted attention to a phenomenon called commonality in liquidity. In this dissertation, I will analyze commonality in liquidity using a novel factor model approach and a generalized definition of commonality in liquidity. This analysis will show that commonality in liquidity is rarely a marketwide phenomenon and is mostly restricted to stocks with a large market capitalization. Additionally, commonality in liquidity is a very recent phenomenon whose appearance coincides with a rise in passive investing after the Dotcom Bubble burst and, more so, after the 2008 Financial Crisis. I will present evidence that suggests commonality in …

Slices Of The Big Apple: A Visual Explanation And Analysis Of The New York City Budget, Joanne Ramadani

Dissertations, Theses, and Capstone Projects

As a component of government, budgets are fundamental not only to improving the quality of a shared society, but also to understanding what our government officials consider to be their priorities. However, most budgets can be difficult to understand, using terms that are not familiar to people who have not studied finance or economics. To that end, Slices of the Big Apple is an interactive, centralized narrative website that uses visualizations at its core in order to: 1) facilitate a holistic understanding of the New York City government budget for NYC residents; and 2) conduct a five-year analysis of Community …

Realtime Event Detection In Sports Sensor Data With Machine Learning, Mallory Cashman

Honors Theses and Capstones

Machine learning models can be trained to classify time series based sports motion data, without reliance on assumptions about the capabilities of the users or sensors. This can be applied to predict the count of occurrences of an event in a time period. The experiment for this research uses lacrosse data, collected in partnership with SPAITR - a UNH undergraduate startup developing motion tracking devices for lacrosse. Decision Tree and Support Vector Machine (SVM) models are trained and perform with high success rates. These models improve upon previous work in human motion event detection and can be used a reference …

Lake Huron Shoreline Analysis, Shubham Satish Nandanwar

Theses and Dissertations (Comprehensive)

Lake Huron is a popular tourist destination and is home to several businesses and residents. Since the shoreline is dynamic and is subject to change over the years due to several factors such as a change in water level, soil type, human encroachment, etc., these locations tend to encounter floods due to increased water levels and wind speed. This causes erosion and loss to the properties along the shoreline.

This study is based on two areas of interest named Pinery Provincial Park and Sauble Beach which are located on the shoreline of Lake Huron where Pinery Provincial Park is a …

Estimating The Statistics Of Operational Loss Through The Analyzation Of A Time Series, Maurice L. Brown

Theses and Dissertations

In the world of finance, appropriately understanding risk is key to success or failure because it is a fundamental driver for institutional behavior. Here we focus on risk as it relates to the operations of financial institutions, namely operational risk. Quantifying operational risk begins with data in the form of a time series of realized losses, which can occur for a number of reasons, can vary over different time intervals, and can pose a challenge that is exacerbated by having to account for both frequency and severity of losses. We introduce a stochastic point process model for the frequency distribution …

Predicting Power Using Time Series Analysis Of Power Generation And Consumption In Texas, Joshua Eysenbach, Bodie Franklin, Andrew J. Larsen, Joel Lindsey

SMU Data Science Review

Due to the recent power events in Texas, power forecasting has been brought national attention. Accurate demand forecasting is necessary to be sure that there is adequate power supply to meet consumer's needs. While Texas has a forecasting model created by the Electricity Reliability Council of Texas (ERCOT), constant efforts are required to ensure that the model stays at the state-of-the-art and is producing the most reliable forecasts possible. This research seeks to provide improved short- and medium-term forecasting models, bringing in state-of-the-art deep learning models to compare to ERCOT’s forecasts. A model that is more accurate than ERCOT’s own …

Bayesian Variable Selection Strategies In Longitudinal Mixture Models And Categorical Regression Problems., Md Nazir Uddin

Electronic Theses and Dissertations

In this work, we seek to develop a variable screening and selection method for Bayesian mixture models with longitudinal data. To develop this method, we consider data from the Health and Retirement Survey (HRS) conducted by University of Michigan. Considering yearly out-of-pocket expenditures as the longitudinal response variable, we consider a Bayesian mixture model with $K$ components. The data consist of a large collection of demographic, financial, and health-related baseline characteristics, and we wish to find a subset of these that impact cluster membership. An initial mixture model without any cluster-level predictors is fit to the data through an MCMC …

Multiple Baseline Interrupted Time Series: Describing Changes In New Mexico Medicaid Behavioral Health Home Patients’ Care, Jessica Reno

Mathematics & Statistics ETDs

In 2016, the CareLink New Mexico behavioral health homes program began enrolling Medicaid recipients with the goal of increasing care coordination, improving access to services, and decreasing long-term costs of care for adults with serious mental illness (SMI) and children with severe emotional disturbance (SED). To evaluate these aims, a retrospective interrupted time series study using Medicaid claims data was designed. First, a comparable subset of non-enrolled individuals was selected from the pool of Medicaid recipients with SMI or SED using propensity score matching. Then, segmented regression was applied to three outcomes: total Medicaid charges, number of outpatient behavioral health …

Stock Markets Performance During A Pandemic: How Contagious Is Covid-19?, Yara Abushahba

Theses and Dissertations

Background and Motivation: The coronavirus (“COVID-19”) pandemic, the subsequent policies and lockdowns have unarguably led to an unprecedented fluid circumstance worldwide. The panic and fluctuations in the stock markets were unparalleled. It is inarguable that real-time availability of news and social media platforms like Twitter played a vital role in driving the investors’ sentiment during such global shock.

Purpose:The purpose of this thesis is to study how the investor sentiment in relation to COVID-19 pandemic influenced stock markets globally and how stock markets globally are integrated and contagious. We analyze COVID-19 sentiment through the Twitter posts and investigate its …

Characterizing The Northern Hemisphere Circumpolar Vortex Through Space And Time, Nazla Bushra

LSU Doctoral Dissertations

This hemispheric-scale, steering atmospheric circulation represented by the circumpolar vortices (CPVs) are the middle- and upper-tropospheric wind belts circumnavigating the poles. Variability in the CPV area, shape, and position are important topics in geoenvironmental sciences because of the many links to environmental features. However, a means of characterizing the CPV has remained elusive. The goal of this research is to (i) identify the Northern Hemisphere CPV (NHCPV) and its morphometric characteristics, (ii) understand the daily characteristics of NHCPV area and circularity over time, (iii) identify and analyze spatiotemporal variability in the NHCPV’s centroid, and (iv) analyze how CPV features relate …

Time Series Forecasting Of Covid-19 Deaths In Massachusetts, Andrew Disher

Honors Program Theses and Projects

The aim of this study was to use data provided by the Department of Public Health in the state of Massachusetts on its online dashboard to produce a time series model to accurately forecast the number of new confirmed deaths that have resulted from the spread of CoViD-19. Multiple different time series models were created, which can be classified as either an Auto-Regressive Integrated Moving Average (ARIMA) model or a Regression Model with ARIMA Errors. Two ARIMA models were created to provide a baseline forecasting performance for comparison with the Regression Model with ARIMA Errors, which used the number of …

Extension Of The Two-Step Approach For Informative Dropout In Survival Analysis, Cristina Murray-Krezan

Mathematics & Statistics ETDs

Chronic kidney disease (CKD) in children is known to result in poor growth and quality of life, and frequently results in kidney failure. The Chronic Kidney Disease in Children study (CKiD) is a prospective cohort study enrolling children ages 1 to 16 to assess health outcomes in children with CKD including the effects of declining glomerular filtration rate and the resulting consequences of growth failure on morbidity. Quantification of the magnitude of the risk for decreased kidney function and, ultimately, failure has been achieved through a variety of studies, often including cohort studies such as the CKiD study. Longitudinal studies …

Institutional Context Drives Mobility: A Comprehensive Analysis Of Academic And Economic Factors That Influence International Student Enrollment At United States Higher Education Institutions, Natalie Cruz

College of Education & Professional Studies (Darden) Posters

International student enrollment (ISE) has become a hallmark of world-class higher education institutions (HEIs). Although the U.S. has welcomed the largest numbers of international students since the 1950s, ISE shrunk by 10% in the previous three years from an all-time high of 903,127 students in 2016/2017 (IIE, 2019). Research studies about international student mobility and enrollment highlights the significant role that academic and economic rationales play for international students. This quantitative, ex post facto study focused on the influence of ranking, tuition, Optional Practical Training, Gross Domestic Product, and the unemployment rate on ISE at 2,884 U.S. HEIs from 2008 …

Unsupervised Multivariate Time Series Clustering, Md Monibor Rahman, Lasitha Vidyaratne, Alex Glandon, Khan Iftekharuddin

College of Engineering & Technology (Batten) Posters

Clustering is widely used in unsupervised machine learning to partition a given set of data into non-overlapping groups. Many real-world applications require processing more complex multivariate time series data characterized by more than one dependent variables. A few works in literature reported multivariate classification using Shapelet learning. However, the clustering of multivariate time series signals using Shapelet learning has not explored yet. Shapelet learning is a process of discovering those Shapelets which contain the most informative features of the time series signal. Discovering suitable Shapelets from many candidates Shapelet has been broadly studied for classification and clustering of univariate time …

Forecasting Of The Covid-19 Epidemic: A Scientometric Analysis, Pandri Ferdias, Ansari Saleh Ahmar

Library Philosophy and Practice (e-journal)

This study presented a scientometric analysis of scientific publications with discussions of forecasting and COVID-19. The data of this study were obtained from the Scopus database using the keywords: ( TITLE-ABS-KEY (forecast) AND TITLE-ABS-KEY (covid)) and the data were taken on March 26, 2021. This study was a scientometric study. The data were subsequently analyzed using the VosViewer and Bibliometrix R Package. The results showed that “COVID-19” was the keyword most frequently used by researchers, followed by “forecasting” and “human”. Authors who discussed the topic of forecasting COVID-19 come from 83 different countries/regions, with the most articles sent by authors …

Demand Forecasting For Lucky Cement, Muhammad Arsalan Rashid

CBER Conference

As we know that demand is the Quantities of a good or service that people are ready to buy at various prices within some given time, other factors besides price held constant I tried to forecast the sales for next years. I removed seasonality factors and applied other determinants to predict the demand. By using values of independent variables in my Regression, the Annual Sales of Lucky Cement for period 2020-2021 is found to be around 7.9 Million Tons.

Regression Analyses Assessing The Impact Of Environmental Factors On Covid-19 Transmission And Mortality, El Hussain Shamsa, Kezhong Zhang

Medical Student Research Symposium

No abstract provided.

Is Technological Progress A Random Walk? Examining Data From Space Travel, Michael Howell, Daniel Berleant, Hyacinthe Aboudja, Richard Segall, Peng-Hung Tsai

Journal of the Arkansas Academy of Science

Improvement in a variety of technologies can often be successful modeled using a general version of Moore’s law (i.e. exponential improvements over time). Another successful approach is Wright’s law, which models increases in technological capability as a function of an effort variable such as production. While these methods are useful, they do not provide prediction distributions, which would enable a better understanding of forecast quality

Farmer and Lafond (2016) developed a forecasting method which produces forecast distributions and is applicable to many kinds of technology. A fundamental assumption of their method is that technological progress can be modeled as a …

Design And Analyses Of School-Based Violence Prevention Cluster Randomized Trials, Md. Tofial Azam

Theses and Dissertations--Epidemiology and Biostatistics

Interpersonal violence such as teen dating violence is a severe public health problem. Teen dating violence, including sexual violence (unwanted sexual contacts or activities), physical and psychological dating violence, sexual harassment, and stalking, affects high school students' physical and mental health and academic achievement in the United States. Dating violence is linked to psychological abuse perpetration in the future, depression, anxiety, and hostility. The teen dating violence victimization experience was related to antisocial behavior, drug abuse, increased heavy drinking, depression, suicidal ideation, smoking, and adult interpersonal violence victimization during adolescence. The detrimental effects of interpersonal violence demonstrate the critical importance …

Novel Nonparametric Testing Approaches For Multivariate Growth Curve Data: Finite-Sample, Resampling And Rank-Based Methods, Ting Zeng

Theses and Dissertations--Statistics

Multivariate growth curve data naturally arise in various fields, for example, biomedical science, public health, agriculture, social science and so on. For data of this type, the classical approach is to conduct multivariate analysis of variance (MANOVA) based on Wilks' Lambda and other multivariate statistics, which require the assumptions of multivariate normality and homogeneity of within-cell covariance matrices. However, data being analyzed nowadays show marked departure from multivariate normal distribution and homoscedasticity. In this dissertation, we investigate nonparametric testing approaches for multivariate growth curve data from three aspects, i.e., finite-sample, resampling and rank-based methods.

The first project proposes an approximate …