Essays on Statistical Issues in Finance

Empirical finance has growingly relied on statistical methods to draw inferences. Such finance applications require tailoring the methods to particular problems, especially when the underlying assumptions are violated in the data. This dissertation studies the development and application of statistical methodologies to address empirical problems in the contexts of empirical asset pricing, household finance and investments. The dissertation consists of four chapters. The first chapter gives an overview of the empirical problems and associated statistical issues for three different finance settings: stock return predictability, house price comovement and mutual fund performance. It also briefly outlines the main contribution of this dissertation in each setting. The second chapter develops a robust methodology of unit root testing and statistical inference for autoregressive processes when the errors are heteroscedastic and heavy-tailed. Applications of the robust test demonstrate that some commonly used financial ratios for stock return predictability are highly persistent with unit roots. The third chapter introduces a new nonparametric framework for estimating and testing comovements among U.S. regional home prices. Comovements are found to be strong in housing prices of four U.S. states, but there is little empirical support for asymmetric tail dependence. The fourth chapter comprehensively studies the bootstrap inference problem in fund performance evaluation. It shows the inadequate size and power properties of two existing bootstrap tests and develops the theory for a valid bootstrap Hotelling’s T-squared test. The new bootstrap test, applied in a sequential testing procedure, identifies a small set of skilled funds. Skilled funds are more engaged in active management and hold stocks with higher expected anomalous returns

Spatial Analysis of Retinal Pigment Epithelium Morphology

In patients with age-related macular degeneration, a monolayer of cells in the eyes called retinal pigment epithelium differ from healthy ones in morphology. It is therefore important to quantify the morphological changes, which will help us better understand the physiology, disease progression and classification. Classification of the RPE morphometry has been accomplished with whole tissue data. In this work, we focused on the spatial aspect of RPE morphometric analysis. We used the second-order spatial analysis to reveal the distinct patterns of cell clustering between normal and diseased eyes for both simulated and experimental human RPE data. We classified the mouse genotype and age by the k-Nearest Neighbors algorithm. Radially aligned regions showed different classification power for several cell shape variables. Our proposed methods provide a useful addition to classification and prognosis of eye disease noninvasively

A Chinese Dependency Syntax for Treebanking

PACLIC 20 / Wuhan, China / 1-3 November, 200

Radial point interpolation method for static and dynamic analysis of three-dimensional solids

Master'sMASTER OF ENGINEERIN

Age-Energy Tradeoff in Fading Channels with Packet-Based Transmissions

The optimal transmission strategy to minimize the weighted combination of age of information (AoI) and total energy consumption is studied in this paper. It is assumed that the status update information is obtained and transmitted at fixed rate over a Rayleigh fading channel in a packet-based wireless communication system. A maximum transmission round on each packet is enforced to guarantee certain reliability of the update packets. Given fixed average transmission power, the age-energy tradeoff can be formulated as a constrained Markov decision process (CMDP) problem considering the sensing power consumption as well. Employing the Lagrangian relaxation, the CMDP problem is transformed into a Markov decision process (MDP) problem. An algorithm is proposed to obtain the optimal power allocation policy. Through simulation results, it is shown that both age and energy efficiency can be improved by the proposed optimal policy compared with two benchmark schemes. Also, age can be effectively reduced at the expense of higher energy cost, and more emphasis on energy consumption leads to higher average age at the same energy efficiency. Overall, the tradeoff between average age and energy efficiency is identified

Manganese spinels for rechargeable lithium batteries

The synthesis, characterisation and performance of lithium manganese oxide spinels have been studied in terms of their application as cathode materials in rechargeable lithium batteries. A new air stable synthesis based on a solution route has been proposed. Powder X-ray diffraction demonstrates that formation of single phase spinel is possible at temperatures as low as 200 &deg;C. Chemical analysis indicates that the compositions of the spinels prepared by the new solution route depend on the firing temperature. A temperature of 200 &deg;C gives a composition of LiMn2O4.1 and the oxygen content decreases with increasing firing temperature, reaching LiMn2O4 .02 at 600 &deg;C and LiMn2O4 at 800 &deg;C. TEM indicates that the solution based spinels possess small particle sizes, less than 1 ?m. All these characteristics differ markedly from the highly stoichiometric and crystalline spinel prepared by traditional solid state reaction over 800 &deg;C. Electrochemical cells based on the new spinel cathodes were constructed and subjected to galvanostatical cycling at a high discharge rate of C/2 for 300 cycles (charging at C/4). The material fired at 200 &deg;C exhibits excellent performance at 3 V cells. An initial capacity of around 140 mAhg-1 is obtained, very close to the theoretical capacity (148 mAhg-1 ) expected for LiMn2O4 . An enhancement of capacity retention by nearly 50 % after 300 cycles is obtained if < 1 wt % of carbon is added to the solution during synthesis. After 300 cycles, 64 % of the initial capacity remains. The spinel prepared by the solution route and fired at 600 &deg;C gives excellent performance in 4 V cells. An initial capacity of 120 mAhg-1 is obtained and around 75 % of capacity remains after 300 cycles. Ex-situ X-ray diffraction and electrochemical studies such as ac impedance and cyclic voltammetry including the use of microelectrodes were carried out to understand self-discharge and capacity loss on cycling. Spinel dissolution in the electrolyte as well as layer formed on the electrode surface may play an important part in the cycle life of the 4 V spinel cathode. The capacity loss in the 3 V cells arises from incomplete reversibility of the phase transition between cubic and tetragonal spinel which accompanies each cycle