Data Mining in Electronic Commerce

Modern business is rushing toward e-commerce. If the transition is done properly, it enables better management, new services, lower transaction costs and better customer relations. Success depends on skilled information technologists, among whom are statisticians. This paper focuses on some of the contributions that statisticians are making to help change the business world, especially through the development and application of data mining methods. This is a very large area, and the topics we cover are chosen to avoid overlap with other papers in this special issue, as well as to respect the limitations of our expertise. Inevitably, electronic commerce has raised and is raising fresh research problems in a very wide range of statistical areas, and we try to emphasize those challenges.Comment: Published at http://dx.doi.org/10.1214/088342306000000204 in the Statistical Science (http://www.imstat.org/sts/) by the Institute of Mathematical Statistics (http://www.imstat.org

Ensembling and Dynamic Asset Selection for Risk-Controlled Statistical Arbitrage

In recent years, machine learning algorithms have been successfully employed to leverage the potential of identifying hidden patterns of financial market behavior and, consequently, have become a land of opportunities for financial applications such as algorithmic trading. In this paper, we propose a statistical arbitrage trading strategy with two key elements: an ensemble of regression algorithms for asset return prediction, followed by a dynamic asset selection. More specifically, we construct an extremely heterogeneous ensemble ensuring model diversity by using state-of-the-art machine learning algorithms, data diversity by using a feature selection process, and method diversity by using individual models for each asset, as well models that learn cross-sectional across multiple assets. Then, their predictive results are fed into a quality assurance mechanism that prunes assets with poor forecasting performance in the previous periods. We evaluate the approach on historical data of component stocks of the SP500 index. By performing an in-depth risk-return analysis, we show that this setup outperforms highly competitive trading strategies considered as baselines. Experimentally, we show that the dynamic asset selection enhances overall trading performance both in terms of return and risk. Moreover, the proposed approach proved to yield superior results during both financial turmoil and massive market growth periods, and it showed to have general application for any risk-balanced trading strategy aiming to exploit different asset classes

Gender in Agriculture Sourcebook

The purpose of the Sourcebook is to act as a guide for practitioners and technical staff in addressing gender issues and integrating gender-responsive actions in the design and implementation of agricultural projects and programs. It speaks not with gender specialists on how to improve their skills but rather reaches out to technical experts to guide them in thinking through how to integrate gender dimensions into their operations. The Sourcebook aims to deliver practical advice, guidelines, principles, and descriptions and illustrations of approaches that have worked so far to achieve the goal of effective gender mainstreaming in the agricultural operations of development agencies. It captures and expands the main messages of the World Development Report 2008: Agriculture for Development and is considered an important tool to facilitate the operationalization and implementation of the report's key principles on gender equality and women's empowerment

Giving credit to reforestation for water quality benefits.

While there is a general belief that reforesting marginal, often unprofitable, croplands can result in water quality benefits, to date there have been very few studies that have attempted to quantify the magnitude of the reductions in nutrient (N and P) and sediment export. In order to determine the magnitude of a credit for water quality trading, there is a need to develop quantitative approaches to estimate the benefits from forest planting in terms of load reductions. Here we first evaluate the availability of marginal croplands (i.e. those with low infiltration capacity and high slopes) within a large section of the Ohio River Basin (ORB) to assess the magnitude of the land that could be reforested. Next, we employ the Nutrient Tracking Tool (NTT) to study the reduction in N, P and sediment losses from converting corn or corn/soy rotations to forested lands, first in a case study and then for a large region within the ORB. We find that after reforestation, N losses can decrease by 40 to 80 kg/ha-yr (95-97% reduction), while P losses decrease by 1 to 4 kg/ha-yr (96-99% reduction). There is a significant influence of local conditions (soils, previous crop management practices, meteorology), which can be considered with NTT and must be taken into consideration for specific projects. There is also considerable interannual and monthly variability, which highlights the need to take the longer view into account in nutrient credit considerations for water quality trading, as well as in monitoring programs. Overall, there is the potential for avoiding 60 million kg N and 2 million kg P from reaching the streams and rivers of the northern ORB as a result of conversion of marginal farmland to tree planting, which is on the order of 12% decrease for TN and 5% for TP, for the entire basin. Accounting for attenuation, this represents a significant fraction of the goal of the USEPA Gulf of Mexico Hypoxia Task Force to reduce TN and TP reaching the dead zone in the Gulf of Mexico, the second largest dead zone in the world. More broadly, the potential for targeted forest planting to reduce nutrient loading demonstrated in this study suggests further consideration of this approach for managing water quality in waterways throughout the world. The study was conducted using computational models and there is a need to evaluate the results with empirical observations

Evaluating Innovation

In their pursuit of the public good, foundations face two competing forces -- the pressure to do something new and the pressure to do something proven. The epigraph to this paper, "Give me something new and prove that it works," is my own summary of what foundations often seek. These pressures come from within the foundations -- their staff or boards demand them, not the public. The aspiration to fund things that work can be traced to the desire to be careful, effective stewards of resources. Foundations' recognition of the growing complexity of our shared challenges drives the increased emphasis on innovation. Issues such as climate change, political corruption, and digital learning andwork environments have enticed new players into the social problem-solving sphere and have con-vinced more funders of the need to find new solutions. The seemingly mutually exclusive desires for doing something new and doing something proven are not new, but as foundations have grown in number and size the visibility of the paradox has risen accordingly.Even as foundations seek to fund innovation, they are also seeking measurements of those investments success. Many people's first response to the challenge of measuring innovation is to declare the intention oxymoronic. Innovation is by definition amorphous, full of unintended consequences, and a creative, unpredictable process -- much like art. Measurements, assessments, evaluation are -- also by most definitions -- about quantifying activities and products. There is always the danger of counting what you can count, even if what you can count doesn't matter.For all our awareness of the inherent irony of trying to measure something that we intend to be unpredictable, many foundations (and others) continue to try to evaluate their innovation efforts. They are, as John Westley, Brenda Zimmerman, and Michael Quinn Patton put it in "Getting to Maybe", grappling with "....intentionality and complexity -- (which) meet in tension." It is important to see the struggles to measure for what they are -- attempts to evaluate the success of the process of innovation, not necessarily the success of the individual innovations themselves. This is not a semantic difference.What foundations are trying to understand is how to go about funding innovation so that more of it can happenExamples in this report were chosen because they offer a look at innovation within the broader scope of a foundation's work. This paper is the fifth in a series focused on field building. In this context I am interested in where evaluation fits within an innovation strategy and where these strategies fit within a foundation's broader funding goals. I will present a typology of innovation drawn from the OECD that can be useful inother areas. I lay the decisions about evaluation made by Knight, MacArthur, and the Jewish NewMedia Innovation Funders against their program-matic goals. Finally, I consider how evaluating innovation may improve our overall use of evaluation methods in philanthropy