Elements for a Theory of Financial Risks

Estimating and controlling large risks has become one of the main concern of financial institutions. This requires the development of adequate statistical models and theoretical tools (which go beyond the traditionnal theories based on Gaussian statistics), and their practical implementation. Here we describe three interrelated aspects of this program: we first give a brief survey of the peculiar statistical properties of the empirical price fluctuations. We then review how an option pricing theory consistent with these statistical features can be constructed, and compared with real market prices for options. We finally argue that a true `microscopic' theory of price fluctuations (rather than a statistical model) would be most valuable for risk assessment. A simple Langevin-like equation is proposed, as a possible step in this direction.Comment: 22 pages, to appear in `Order, Chance and Risk', Les Houches (March 1998), to be published by Springer/EDP Science

2023 TCPEA Outstanding Dissertation of the Year Research Summary

This phenomenological study explored perceived first-generation college student retention at a Texas four-year higher education institution post-vertical transfer. The participants in this study consisted of 12 full-time and part- time students who identified as first-generation college students and had vertically transferred from a two-year higher education institution. In addition, participants transferred between 35 and 120 academic credit hours from a two-year higher education institution and had been enrolled for at least one academic semester at their four-year higher education institution. On-campus and virtual semi-structured interviews were conducted and analyzed, which resulted in major themes. This study revealed academic and social integration were crucial to retaining first-generation college students post-vertical transfer. In addition, this study identified key support services that the population perceived as the most beneficial in aiding their retention. As a result, this study’s implications can aid four-year higher education institutions in developing effective practices and programs to retain and support first-generation vertical transfer students

Symmetric Edit Lenses: A New Foundation for Bidirectional Languages

Lenses are bidirectional transformations between pairs of connected structures capable of translating an edit on one structure into an edit on the other. Most of the extensive existing work on lenses has focused on the special case of asymmetric lenses, where one structures is taken as primary and the other is thought of as a projection or view. Some symmetric variants exist, where each structure contains information not present in the other, but these all lack the basic operation of composition. Additionally, existing accounts do not represent edits carefully, making incremental operation difficult or producing unsatisfactory synchronization candidates. We present a new symmetric formulation which works with descriptions of changes to structures, rather than with the structures themselves. We construct a semantic space of edit lenses between “editable structures”—monoids of edits with a partial monoid action for applying edits—with natural laws governing their behavior. We present generalizations of a number of known constructions on asymmetric lenses and settle some longstanding questions about their properties—in particular, we prove the existence of (symmetric monoidal) tensor products and sums and the non-existence of full categorical products and sums in a category of lenses. Universal algebra shows how to build iterator lenses for structured data such as lists and trees, yielding lenses for operations like mapping, filtering, and concatenation from first principles. More generally, we provide mapping combinators based on the theory of containers. Finally, we present a prototype implementation of the core theory and take a first step in addressing the challenge of translating between user gestures and the internal representation of edits

2022 TCPEA Outstanding Dissertation of the Year Research Summary

The purpose of this study was to examine the influence of administrative support on teachers in Title I schools during the Coronavirus pandemic. This study added to the knowledge base by providing information on teachers\u27 work experiences in Title I schools during the Coronavirus pandemic. This study included a review of data collected from interviews of elementary teachers in a Title 1 district. A purposeful sample of 12 teachers who worked in Title 1 elementary schools during the Coronavirus pandemic were interviewed. The interviews provided an in-depth understanding of the teachers’ perceptions on administrative support during the pandemic in Title 1 schools. The findings of this study showed that administrative support has a significant role in influencing on teachers’ perception of teaching, self-efficacy, decreasing stress, cultivating positive school culture, and lessening teacher burnout. The recommendations include ways district and school level administrators can create a collaborative learning environment where teachers and students are successful

First-Order Model Checking on Generalisations of Pushdown Graphs

We study the first-order model checking problem on two generalisations of pushdown graphs. The first class is the class of nested pushdown trees. The other is the class of collapsible pushdown graphs. Our main results are the following. First-order logic with reachability is uniformly decidable on nested pushdown trees. Considering first-order logic without reachability, we prove decidability in doubly exponential alternating time with linearly many alternations. First-order logic with regular reachability predicates is uniformly decidable on level 2 collapsible pushdown graphs. Moreover, nested pushdown trees are first-order interpretable in collapsible pushdown graphs of level 2. This interpretation can be extended to an interpretation of the class of higher-order nested pushdown trees in the collapsible pushdown graph hierarchy. We prove that the second level of this new hierarchy of nested trees has decidable first-order model checking. Our decidability result for collapsible pushdown graph relies on the fact that level 2 collapsible pushdown graphs are uniform tree-automatic. Our last result concerns tree-automatic structures in general. We prove that first-order logic extended by Ramsey quantifiers is decidable on all tree-automatic structures.Comment: phd thesis, 255 page

The economics of debt clearing mechanisms

We examine the evolution of decentralized clearinghouse mechanisms from the 13th to the 18th century; in particular, we explore the clearing of non- or limitedtradable debts like bills of exchange. We construct a theoretical model of these clearinghouse mechanisms, similar to the models in the theoretical matching literature, and show that specific decentralized multilateral clearing algorithms known as rescontre, skontrieren or virement des parties used by merchants were efficient in specific historical contexts. We can explain both the evolutionary self-organizing emergence of late medieval and early modern fairs, and its robustness during the 17th and 18th century

GOVERNMENT EXPENDITURE SHOCKS AND MACROECONOMIC PERFORMANCE IN NIGERIA: A DSGE APPROACH

Fiscal policy, as history has shown, has become a major bail-out tool and run-to option whenever the economy is experiencing severe crises. Government expenditure is increased during times of recessions while it is lowered during an economic upturn. Due to the scarceness of economic resources, especially in a developing country as Nigeria, it is essential to empirically investigate the macroeconomic effects of government expenditure shocks to the economy, which is the objective of this study. This study builds up a dynamic macroeconomic model that includes several features that are peculiar to the Nigerian economy such as the large presence of Hand-to-Mouth (HTM) Households, sticky prices and wages, an indebted government and a disaggregated government expenditure. This model is considered under two different financing options and different results are obtained in both scenarios. The findings of this study reveal that government investment is a more effective but dwindling component of government expenditure than its consumption counterpart. This paper recommends that the Nigerian government should make great efforts to increase its investment expenditure and should also employ a mix of the different financing options in order to reap maximum returns in the economy

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