Econometrics Commons^™

Algorithmic Trading In Idiosyncratic-Payoff Markets: A Multi-Agent System For On-Chain Prediction Contracts, Saif Aldeen A.K. Agha

CMC Senior Theses

This thesis documents the design, deployment, and forward-test evaluation of an evolutionary multi-agent algorithmic trading system on Polymarket, the largest decentralized prediction market. The system pairs a locally-hosted 72-billion-parameter language model with a gradient-boosted statistical filter and an evolutionary selection mechanism that maintains a population of approximately 500 autonomous trading agents. Each agent generates a probability estimate for an event, compares it to the prevailing market price, and trades the resulting disagreement.

The central empirical exercise estimates a panel regression of trade-level profit on the absolute disagreement between the agent's probability estimate and the market price, controlling for agent identity, …

Volatility Modeling With An Application To Risk Parity Portfolios, Kenneth Hou

CMC Senior Theses

This thesis studies volatility modeling in the context of risk parity portfolio construction. I compare three risk parity portfolios that differ only in their underlying volatility model: a historical covariance baseline, a Bayesian stochastic volatility model, and a GRU–GARCH hybrid neural network. Using daily returns on Kenneth French’s five industry portfolios from January 2016 through December 2025, I construct monthly rebalanced portfolios under each model, with the SV and GRU forecasts embedded in hybrid covariance matrices that combine forecasted volatilities with rolling historical correlations. The results document a divergence between forecast accuracy and portfolio performance: the SV model is the …

The Zoom Town Effect Of Remote Work On Rural Housing Markets, Luc R. Fabing

CMC Senior Theses

I study the impact of remote work on rural housing markets, highlighting the moderating role of outdoor recreation amenities. Using panel data from the American Community Survey and Zillow (2010–2024), I employ a Two-Way Fixed Effects model and a shift-share instrumental variable strategy to estimate the effect of work-from-home (WFH) rates on home prices. I find that higher WFH rates are strongly associated with higher home prices in high-recreation counties, but that the association is weak or negative in counties lacking significant recreation amenities. These findings point to amenity migration as a key mechanism through which remote work impacts rural …

From Collective Punishment To Collective Action, Samuel N. Johnson-Saeger

CMC Senior Theses

Regime change may be sought in two primary ways, absent a turn to internal or external violence: through nonviolent resistance, from within, and sanctions, from abroad. This paper is about how those two pathways are intertwined. I challenge two different strands of the existing literature. First, I show that Liou et al. (2022)'s finding that sanctions increase the predicted probability of nonviolent resistance movement progress is subject to substantial upward bias from country heterogeneity. Incorporating country fixed effects, I show that sanctions, on average, have no statistically significant effect on resistance outcomes. Second, I challenge Chenoweth and Stephan (2008)'s argument …

Trading Volume And Forecast Accuracy In Kalshi Prediction Markets, Nicholas Smole

CMC Senior Theses

This thesis examines the accuracy of Kalshi prediction markets and how different measures of trading volume shape their calibration and predictive power. Expanding upon previous models, use nonparametric calibration curves, pseudo-likelihood regressions, and Brier-score regressions on a large panel of Kalshi contracts to compare the effects of ex-post total volume and cumulative trading volume on market accuracy. Markets are typically well-calibrated near expiration; however, at longer horizons, low-volume markets exhibit substantially more miscalibration. Holding time to expiration fixed, greater cumulative volume is associated with higher accuracy. In comparison, higher ex-post total volume is associated with lower accuracy, highlighting the importance …

Macroeconomic Resilience And Sentiment Dynamics In The Global Luxury Fashion Industry, Mehr Gupta

CMC Senior Theses

The global luxury fashion industry is often viewed as a sector where broad economic conditions intersect with individual spending behavior. Yet despite this common assumption, it remains unclear whether macroeconomic fluctuations meaningfully shape luxury firms’ financial performance. This thesis examines the relationship between four key macroeconomic indicators - consumer sentiment, disposable income, unemployment, and exchange rates - and firm-level quarterly revenue for twelve publicly listed luxury companies from the early 2000s through 2024. Firm financial data from S&P Capital IQ are matched with macroeconomic measures from the Federal Reserve (FRED), and the analysis employs a two-way fixed-effects framework with firm …

Factors Correlated With State-Level Variation In Grocery Consumption Changes During The Covid-19 Pandemic, Sun Young Byun

CMC Senior Theses

In this paper, I employ a two-part empirical strategy to explore the effects of the COVID-19 pandemic on grocery consumption across U.S. states. First, I use the United States Department of Agriculture's Weekly Retail Food Sales data from 2018-2023 to estimate a time-series panel model. I use the results to test three hypotheses regarding state-level variation in consumption changes and impacts in the initial pandemic period, the remaining pandemic period, and the post-pandemic period. Second, I use the estimated state-level effects as dependent variables in cross-sectional regressions to test three hypotheses linking variation in state-level consumption patterns to economic, demographic, …

From Static Λ To Moving Penalties: Dynamic Regularization In Mean-Variance Portfolio Choice, Ariel Santiago

CMC Senior Theses

This thesis evaluates whether dynamically tuned weight penalties can improve high-dimensional mean-variance portfolio choice. Classical Markowitz portfolios perform poorly when the number of assets is large relative to the data, because small estimation errors in means and covariances can generate extreme, fragile allocations. A common remedy is to regularize the weights using L1 (lasso), L2 (ridge), or elastic-net penalties, but these are typically chosen once and held fixed. Using monthly excess returns on the 48 Fama-French industry portfolios from January 2010 to June 2025, this thesis compares penalized mean-variance and minimum-variance strategies under long-only and long-short constraints, with and without …

From Touchbacks To Touchdowns: Analyzing The Impact Of The Nfl's New Kickoff Rule Changes, Joshua A. Klatt

Williams Honors College, Honors Research Projects

My proposal analyzes the impact of the NFL's new dynamic kickoff rule changes that were implemented in the Fall of 2024. I use a two-way fixed effects differences-in-differences model using FBS collegiate Division 1 football teams as the control group, and NFL teams as the treatment group. Three of the most important outcome variables I analyze are touchdowns per kickoff return, average yards per kickoff return, and the number of kickoff returns per game.

Forecasting The Unpredictable: The Bullwhip Effect In The Toy Industry, Mannat Sethi

CMC Senior Theses

This thesis investigates the bullwhip effect, the amplification of demand variability as it moves upstream in a supply chain, with a focus on the toy industry, and comparative analysis with the technology and consumer goods sectors. Using annual data from 1993 to 2024, the study analyzes production and retail growth for Mattel, Hasbro, Intel, and Procter & Gamble to assess how variance between consumer demand and firm output has changed over time. Bullwhip ratios are calculated as the variance of production growth divided by the variance of retail growth across two periods: 1993–2008 and 2009–2024.

The findings show that toy …

Multivariate Quantile Autoregression-Mixed Data Sampling (Mvqar-Midas) Modeling Of Cost Of Living And Supply Chain Dynamics In Canada., Patrick Gbolonyo

Theses and Dissertations (Comprehensive)

In recent years, the rising cost of living as a result of persistent inflationary pressures, disruptions in the global supply chains, and changes in the macroeconomic landscape has become a critical topic of discussion. To address this, we move beyond a mean-based framework and employ a quantile regression approach. This allows the persistence of each series and the transmis- sion of shocks between the Consumer Price Index (CPI) (the total CPI which is a percentage change over the past 12 months), the Interest Rate (IR)(the target for the overnight rate), the New Housing Price Index (NHPI), and high-frequency supply chain …

Women's Work And Wealth: Measuring The Impact Of Incremental Liberations, 1850-1870, Hannah Kelly

Williams Honors College, Honors Research Projects

Using a two-way fixed effects difference-in-difference model, this project analyzes data from the IPUMS Full Count census for 1850, 1860, and 1870 at a state level for 48 states. Four models assess the impact of property laws on women's real property holdings, labor force participation, household types, and real property values.

By quantifying the impact of various legal reforms on women's economic empowerment, this project fills a gap in the understanding of the intersection between law, society, and women's economic agency during a transformative period in pre-industrial American history. These impacts can implicate the effectiveness of legislative measures in advancing …

From Rocks To Rockets: How Mineral Wealth Fuels The Arms Trade, Samuel G. Majka

Theses and Dissertations

This study addresses a critical gap in the resource curse literature by examining how strategic mineral wealth, central to the global clean energy transition, influences international arms transfers. While the relationship between oil rents, militarization, and conflict is well-established, the role of non-hydrocarbon resources and conflict-related variables remains underexplored. This paper posits that mineral rents provide governments with unearned, discretionary income, relaxing fiscal constraints and creating powerful incentives for both resource-rich states and major power suppliers to increase arms flows to secure political control, suppress internal dissent, and maintain access to valuable deposits. Using a country-year panel dataset spanning 1990-2023 …

Dampak Kebijakan Hilirisasi Nikel: Kuasi-Eksperimen Di Sulawesi, Siddiq Robbani, Uka Wikarya

Jurnal Ekonomi dan Pembangunan Indonesia

Studi ini menganalisis dampak kebijakan larangan ekspor bijih nikel (2014–2016) dan pembangunan smelter (2009–2021) terhadap PDRB per kapita dan konsumsi rumah tangga per kapita menggunakan data panel seimbang dari 81 kabupaten/kota di Sulawesi periode 2006–2021. Dampak kausal dan efek spillover dianalisis menggunakan metode Difference-in-Difference (DiD) dan Spatial Durbin Model (SDM). Hasil penelitian menunjukkan kebijakan larangan ekspor tidak berdampak pada kedua variabel. Pembangunan smelter justru berdampak negatif terhadap PDRB per kapita, tetapi menghasilkan efek spillover positif pada PDRBperkapita daerah tetangga dan efek spillover negatif terhadap konsumsi rumah tangga per kapita di daerah non-smelter.

Entropic Foundation Of Finance And Physics: Securities Price Dynamics And Quantum Theory, Mohammad Abedi

Electronic Theses & Dissertations (2024 - present)

In many scientific and financial contexts, we must reason and make predictions under conditions of incomplete information. This dissertation develops Entropic Dynamics (ED) as a unified framework for deriving dynamical laws directly from principles of inference. Within this approach, probability distributions represent states of knowledge, and their evolution is determined through entropy maximization subject to relevant constraints. This leads to a novel concept of entropic time and a formulation of dynamics as an inferential process. In this talk, I will present how ED provides a common foundation across multiple domains. In physics, quantum dynamics for particles and scalar fields in …

The Impact Of Student Achievement On Economic Growth: A Pisa-Based Analysis Of Gdp Per Capita, Emma Rose Nasr

Undergraduate Theses and Capstone Projects

This study investigates the extent to which international student achievement, measured through PISA assessments in mathematics, reading, and science, explains cross-country differences in economic development. Using an unbalanced panel data set combining PISA results from 2015, 2018, and 2022 with macroeconomic indicators from the World Development Indicators, I estimate multiple regression models, including pooled OLS, country and time fixed effects, and subsample analyses for developed and developing countries. Results from the pooled model indicate strong positive associations between PISA scores and GDP per capita, consistent with human capital theory. However, these relationships diminish under fixed effects specifications, suggesting that cross-country …

High-Resolution, Fast-Response Optical Fiber Temperature Sensor With A Large Measurement Range Based On Fiber-Tip Alumina Fabry-Pérot Interferometer, Ruimin Jie, Chen Zhu, Robert Abbott, Michael Davis, Xiong Zhang, Jie Huang

Electrical and Computer Engineering Faculty Research & Creative Works

We present an alumina-tip optical fiber Fabry-Pérot interferometric temperature sensor exhibiting high-temperature performance, rapid response, and high resolution. Fabricated by fusion splicing an alumina micro disk directly to a single-mode fiber, the sensor achieves robust, stable operation without complex fabrication processes or adhesives. Experimental evaluation confirms a measurement range extending to 1000°C, with sensitivity of 28.66 pm/°C, a resolution of 0.042°C, and a rapid response time of approximately 13 ms. Compared to state-of-the-art optical fiber FPI sensors, our alumina-tip sensor offers superior overall performance, effectively addressing critical demands for high-resolution, fast-response temperature measurement in extreme environments including aerospace, structural monitoring, …

Uncovering Mild Drift In Asset Prices With Intraday High-Frequency Data, Shuping Shi, Peter C. B. Phillips

Research Collection School Of Economics

Asset prices are commonly represented as a drift-diffusion process, wherein the drift component denotes the anticipated return of the asset within some time frame, while the diffusion component accommodates random shocks. The drift component has substantial practical significance but accurate estimation is typically challenging and has met with limited success in the existing literature except over large time spans. This paper explores a comprehensive range of drift-diffusion models that include constant, linear, trending, and bursting drift. Conditions are identified under which realized squared drift  is a reliable tool for gauging integrated squared drift when the time span Tn is large …

Three Essays On Urban Transportation, Daniel Amorim Souza Centuriao

Graduate Theses, Dissertations, and Problem Reports (ETD)

Urban environments are shaped by dynamic interactions between infrastructure development, policy interventions, and episodic demand shocks, all of which can generate unintended externalities in the form of motor vehicle collisions, injuries, and fatalities. This dissertation investigates the determinants of traffic safety in dense urban settings, with a particular focus on how different sources of urban activity affect collision risk and severity. Using New York City as a case study and leveraging high-resolution spatial and temporal data, I examine three distinct but interconnected mechanisms: construction activity, traffic safety policies, and large-scale events.

The first chapter analyzes the impact of urban development, …

Essays On Indian Inflation Targeting, Dipankar Biswas

Electronic Theses & Dissertations (2024 - present)

This dissertation explores the efficacy and impact of inflation targeting as the monetary policy framework with a specific focus on India after its formal adoption of the inflation-targeting framework in 2016.

The first chapter focuses on the history of monetary policy framework in India. It discusses, in detail, the different monetary policy frameworks, namely Credit Planning, Flexible Monetary-Targeting, and Multiple-Indicator approaches, adopted by the Reserve Bank of India (RBI) (i.e., the monetary authority of the country), before arriving at the adoption of the inflation-targeting framework. The monetary policy transmission process in India during the different global turmoil segments of the …