ASU Electronic Theses and Dissertations
This collection includes most of the ASU Theses and Dissertations from 2011 to present. ASU Theses and Dissertations are available in downloadable PDF format; however, a small percentage of items are under embargo. Information about the dissertations/theses includes degree information, committee members, an abstract, supporting data or media.
In addition to the electronic theses found in the ASU Digital Repository, ASU Theses and Dissertations can be found in the ASU Library Catalog.
Dissertations and Theses granted by Arizona State University are archived and made available through a joint effort of the ASU Graduate College and the ASU Libraries. For more information or questions about this collection contact or visit the Digital Repository ETD Library Guide or contact the ASU Graduate College at gradformat@asu.edu.
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- All Subjects: Semantic computing
- All Subjects: Finance
- Creators: Davulcu, Hasan
avigate and discover knowledge hidden in life sciences literature. To demonstrate the utility of this system, this thesis also details a prototype enterprise quality search and discovery service that helps researchers with a guided step-by-step query refinement, by suggesting concepts enriched in intermediate results, and thereby facilitating the "discover more as you search" paradigm.
The ubiquity of social media, especially Twitter, in financial market has been overly resonant in the past couple of years. With the growth of its (Twitter) usage by news channels, financial experts and pandits, the global economy does seem to hinge on 140 characters. By analyzing the number of tweets hash tagged to a stock, a strong relation can be established between the number of people talking about it, to the trading volume of the stock.
In my work, I overt this relation and find a state of the breakout when the volume goes beyond a characterized support or resistance level.
The purpose of this research is to efficiently analyze certain data provided and to see if a useful trend can be observed as a result. This trend can be used to analyze certain probabilities. There are three main pieces of data which are being analyzed in this research: The value for δ of the call and put option, the %B value of the stock, and the amount of time until expiration of the stock option. The %B value is the most important. The purpose of analyzing the data is to see the relationship between the variables and, given certain values, what is the probability the trade makes money. This result will be used in finding the probability certain trades make money over a period of time.
Since options are so dependent on probability, this research specifically analyzes stock options rather than stocks themselves. Stock options have value like stocks except options are leveraged. The most common model used to calculate the value of an option is the Black-Scholes Model [1]. There are five main variables the Black-Scholes Model uses to calculate the overall value of an option. These variables are θ, δ, γ, v, and ρ. The variable, θ is the rate of change in price of the option due to time decay, δ is the rate of change of the option’s price due to the stock’s changing value, γ is the rate of change of δ, v represents the rate of change of the value of the option in relation to the stock’s volatility, and ρ represents the rate of change in value of the option in relation to the interest rate [2]. In this research, the %B value of the stock is analyzed along with the time until expiration of the option. All options have the same δ. This is due to the fact that all the options analyzed in this experiment are less than two months from expiration and the value of δ reveals how far in or out of the money an option is.
The machine learning technique used to analyze the data and the probability
is support vector machines. Support vector machines analyze data that can be classified in one of two or more groups and attempts to find a pattern in the data to develop a model, which reliably classifies similar, future data into the correct group. This is used to analyze the outcome of stock options.
This thesis develops a unique type of textual features that generalize triplets extracted from text, by clustering them into high-level concepts. These concepts are utilized as features to detect frames in text. Compared to uni-gram and bi-gram based models, classification and clustering using generalized concepts yield better discriminating features and a higher classification accuracy with a 12% boost (i.e. from 74% to 83% F-measure) and 0.91 clustering purity for Frame/Non-Frame detection.
The automatic discovery of complex causal chains among interlinked events and their participating actors has not yet been thoroughly studied. Previous studies related to extracting causal relationships from text were based on laborious and incomplete hand-developed lists of explicit causal verbs, such as “causes" and “results in." Such approaches result in limited recall because standard causal verbs may not generalize well to accommodate surface variations in texts when different keywords and phrases are used to express similar causal effects. Therefore, I present a system that utilizes generalized concepts to extract causal relationships. The proposed algorithms overcome surface variations in written expressions of causal relationships and discover the domino effects between climate events and human security. This semi-supervised approach alleviates the need for labor intensive keyword list development and annotated datasets. Experimental evaluations by domain experts achieve an average precision of 82%. Qualitative assessments of causal chains show that results are consistent with the 2014 IPCC report illuminating causal mechanisms underlying the linkages between climatic stresses and social instability.