Forecasting Cryptocurrency Volatility

From the Washington University Senior Honors Thesis Abstracts (WUSHTA), 2017. Published by the Office of Undergraduate Research. Joy Zalis Kiefer, Director of Undergraduate Research and Associate Dean in the College of Arts & Sciences; Lindsey Paunovich, Editor; Helen Human, Programs Manager and Assistant Dean in the College of Arts and Sciences Mentors: Mina Lee and Li Yan

Structured, sparse regression with application to HIV drug resistance

We introduce a new version of forward stepwise regression. Our modification finds solutions to regression problems where the selected predictors appear in a structured pattern, with respect to a predefined distance measure over the candidate predictors. Our method is motivated by the problem of predicting HIV-1 drug resistance from protein sequences. We find that our method improves the interpretability of drug resistance while producing comparable predictive accuracy to standard methods. We also demonstrate our method in a simulation study and present some theoretical results and connections.Comment: Published in at http://dx.doi.org/10.1214/10-AOAS428 the Annals of Applied Statistics (http://www.imstat.org/aoas/) by the Institute of Mathematical Statistics (http://www.imstat.org

Inferring the Properties of Galaxies and Dark Matter Halos from the Dynamics of Their Stars and Star Clusters

There is a long and rewarding history in astronomy of studying the motions of stars, gas, and planets to learn about the distribution of mass in the universe. Observations of nearby galaxies rotating faster than otherwise expected are one of the pillars of evidence for the cold dark matter cosmological model. As increasingly precise predictions are made about the small scale distribution of mass in the universe, we need tools to be able to weigh our beliefs about the mass content of galaxies and how they can be updated by increasingly richer and more complete observations. In this thesis I present a series of applications of a Bayesian hierarchical model for the equilibrium dynamics of spherical galaxies. Some key features of the model are: a natural mechanism for propagating the systematic uncertainty of parameters such as orbital anisotropy, distance, and stellar mass-to-light ratio into estimates for the dark matter content of galaxies, the ability to jointly model multiple tracer populations with heterogeneous data, and a clear way to incorporate and examine prior assumptions about galaxy and dark matter scaling relations

Stark Ionization of Atoms and Molecules within Density Functional Resonance Theory

We show that the energetics and lifetimes of resonances of finite systems under an external electric field can be captured by Kohn--Sham density functional theory (DFT) within the formalism of uniform complex scaling. Properties of resonances are calculated self-consistently in terms of complex densities, potentials and wavefunctions using adapted versions of the known algorithms from DFT. We illustrate this new formalism by calculating ionization rates using the complex-scaled local density approximation and exact exchange. We consider a variety of atoms (H, He, Li and Be) as well as the hydrogen molecule. Extensions are briefly discussed.Comment: 5 pages, 5 figures. This document is the unedited Author's version of a Submitted Work that was subsequently accepted for publication in J.Phys.Chem.Lett., copyright (c) American Chemical Society after peer review. To access the final edited and published work see http://pubs.acs.org/doi/abs/10.1021/jz401110

UNCTAD and Commodities: towards a new agenda for research and action

SUMMARY Very few commodity agreements have been reached under UNCTAD's auspices and the IPC has fallen far short of expectations. Greater success in future depends on understanding the interests, groups and political factors that constrain governments' freedom in international negotiations, and on the reformulation of IPC proposals to take account of long?term structural changes in the world economy. RESUMEN UNCTAD y los productos básicos: hacia un nuevo programa de investigación y acción Hasta el momento, la UNCTAD ha conseguido muy pocos acuerdos sobre productos básicos y la actuación del PIPB ha sido decepcionante. Un mayor éxito en el futuro dependerá del conocimiento de los intereses, grupos y factores políticos que restringen la libertad de los gobiernos en las negociaciones internacionales, y en una reformulación de las propuestas del PIPB que tome en cuenta el cambio estructural que a largo plazo se efectuará en el mundo de la economía. RESUMES CNUCED et les produits de base: vers un nouveau programme de recherche et d'action Très peu d'accords sur les produits de base ont été atteint sous les auspices de CNUCED et le Programme Intégré pour les Produits de Base a été assez décevant. Un plus grand succès dans l'avenir dépend de la compréhension des intérêts, des groupes et des facteurs politiques qui limitent la liberté des gouvernements dans les négociations internationales, et de la restructuration des propositions du Programme Integré pour les Produits de Base afin de tenir compte des changements structuraux à long terme dans l'économie mondiale

Controlling the False Discovery Rate in Astrophysical Data Analysis

The False Discovery Rate (FDR) is a new statistical procedure to control the number of mistakes made when performing multiple hypothesis tests, i.e. when comparing many data against a given model hypothesis. The key advantage of FDR is that it allows one to a priori control the average fraction of false rejections made (when comparing to the null hypothesis) over the total number of rejections performed. We compare FDR to the standard procedure of rejecting all tests that do not match the null hypothesis above some arbitrarily chosen confidence limit, e.g. 2 sigma, or at the 95% confidence level. When using FDR, we find a similar rate of correct detections, but with significantly fewer false detections. Moreover, the FDR procedure is quick and easy to compute and can be trivially adapted to work with correlated data. The purpose of this paper is to introduce the FDR procedure to the astrophysics community. We illustrate the power of FDR through several astronomical examples, including the detection of features against a smooth one-dimensional function, e.g. seeing the ``baryon wiggles'' in a power spectrum of matter fluctuations, and source pixel detection in imaging data. In this era of large datasets and high precision measurements, FDR provides the means to adaptively control a scientifically meaningful quantity -- the number of false discoveries made when conducting multiple hypothesis tests.Comment: 15 pages, 9 figures. Submitted to A