Theses and Dissertations
This collection includes both ASU Theses and Dissertations, submitted by graduate students, and the Barrett, Honors College theses submitted by undergraduate students.
Displaying 1 - 10 of 386
Filtering by
- All Subjects: Finance
- All Subjects: Applied Mathematics
Description
I study the performance of hedge fund managers, using quarterly stock holdings from 1995 to 2010. I use the holdings-based measure built on Ferson and Mo (2012) to decompose a manager's overall performance into stock selection and three components of timing ability: market return, volatility, and liquidity. At the aggregate level, I find that hedge fund managers have stock picking skills but no timing skills, and overall I do not find strong evidence to support their superiority. I show that the lack of abilities is driven by the large fluctuations of timing performance with market conditions. I find that conditioning information, equity capital constraints, and priority in stocks to liquidate can partly explain the weak evidence. At the individual fund level, bootstrap analysis results suggest that even top managers' abilities cannot be separated from luck. Also, I find that hedge fund managers exhibit short-horizon persistence in selectivity skill.
ContributorsKang, MinJeong (Author) / Aragon, George O. (Thesis advisor) / Hertzel, Michael G (Committee member) / Boguth, Oliver (Committee member) / Arizona State University (Publisher)
Created2013
Description
A new method for generating artificial fingerprints is presented. Due to their uniqueness and durability, fingerprints are invaluable tools for identification for law enforcement and other purposes. Large databases of varied, realistic artificial fingerprints are needed to aid in the development and evaluation of automated systems for criminal or biometric identification. Further, an effective method for simulating fingerprints may provide insight into the biological processes underlying print formation. However, previous attempts at simulating prints have been unsatisfactory. We approach the problem of creating artificial prints through a pattern formation model. We demonstrate how it is possible to generate distinctive patterns that strongly resemble real fingerprints via a system of partial differential equations with a suitable domain and initial conditions.
ContributorsColtin, Kevin (Author) / Armbruster, Hans D (Thesis advisor) / Platte, Rodrigo B (Committee member) / Welfert, Bruno D (Committee member) / Arizona State University (Publisher)
Created2013
Description
I show that firms' ability to adjust variable capital in response to productivity shocks has important implications for the interpretation of the widely documented investment-cash flow sensitivities. The variable capital adjustment is sufficient for firms to capture small variations in profitability, but when the revision in profitability is relatively large, limited substitutability between the factors of production may call for fixed capital investment. Hence, firms with lower substitutability are more likely to invest in both factors together and have larger sensitivities of fixed capital investment to cash flow. By building a frictionless capital markets model that allows firms to optimize over fixed capital and inventories as substitutable factors, I establish the significance of the substitutability channel in explaining cross-sectional differences in cash flow sensitivities. Moreover, incorporating variable capital into firms' investment decisions helps explain the sharp decrease in cash flow sensitivities over the past decades. Empirical evidence confirms the model's predictions.
ContributorsKim, Kirak (Author) / Bates, Thomas (Thesis advisor) / Babenko, Ilona (Thesis advisor) / Hertzel, Michael (Committee member) / Tserlukevich, Yuri (Committee member) / Arizona State University (Publisher)
Created2013
Description
Olfaction is an important sensory modality for behavior since odors inform animals of the presence of food, potential mates, and predators. The fruit fly, Drosophila melanogaster, is a favorable model organism for the investigation of the biophysical mechanisms that contribute to olfaction because its olfactory system is anatomically similar to but simpler than that of vertebrates. In the Drosophila olfactory system, sensory transduction takes place in olfactory receptor neurons housed in the antennae and maxillary palps on the front of the head. The first stage of olfactory processing resides in the antennal lobe, where the structural unit is the glomerulus. There are at least three classes of neurons in the antennal lobe - excitatory projection neurons, excitatory local neurons, and inhibitory local neurons. The arborizations of the local neurons are confined to the antennal lobe, and output from the antennal lobe is carried by projection neurons to higher regions of the brain. Different views exist of how circuits of the Drosophila antennal lobe translate input from the olfactory receptor neurons into projection neuron output. We construct a conductance based neuronal network model of the Drosophila antennal lobe with the aim of understanding possible mechanisms within the antennal lobe that account for the variety of projection neuron activity observed in experimental data. We explore possible outputs obtained from olfactory receptor neuron input that mimic experimental recordings under different connectivity paradigms. First, we develop realistic minimal cell models for the excitatory local neurons, inhibitory local neurons, and projections neurons based on experimental data for Drosophila channel kinetics, and explore the firing characteristics and mathematical structure of these models. We then investigate possible interglomerular and intraglomerular connectivity patterns in the Drosophila antennal lobe, where olfactory receptor neuron input to the antennal lobe is modeled with Poisson spike trains, and synaptic connections within the antennal lobe are mediated by chemical synapses and gap junctions as described in the Drosophila antennal lobe literature. Our simulation results show that inhibitory local neurons spread inhibition among all glomeruli, where projection neuron responses are decreased relatively uniformly for connections of synaptic strengths that are homogeneous. Also, in the case of homogeneous excitatory synaptic connections, the excitatory local neuron network facilitates odor detection in the presence of weak stimuli. Excitatory local neurons can spread excitation from projection neurons that receive more input from olfactory receptor neurons to projection neurons that receive less input from olfactory receptor neurons. For the parameter values for the network models associated with these results, eLNs decrease the ability of the network to discriminate among single odors.
ContributorsLuli, Dori (Author) / Crook, Sharon (Thesis advisor) / Baer, Steven (Committee member) / Castillo-Chavez, Carlos (Committee member) / Smith, Brian (Committee member) / Arizona State University (Publisher)
Created2013
Description
Solution methods for certain linear and nonlinear evolution equations are presented in this dissertation. Emphasis is placed mainly on the analytical treatment of nonautonomous differential equations, which are challenging to solve despite the existent numerical and symbolic computational software programs available. Ideas from the transformation theory are adopted allowing one to solve the problems under consideration from a non-traditional perspective. First, the Cauchy initial value problem is considered for a class of nonautonomous and inhomogeneous linear diffusion-type equation on the entire real line. Explicit transformations are used to reduce the equations under study to their corresponding standard forms emphasizing on natural relations with certain Riccati(and/or Ermakov)-type systems. These relations give solvability results for the Cauchy problem of the parabolic equation considered. The superposition principle allows to solve formally this problem from an unconventional point of view. An eigenfunction expansion approach is also considered for this general evolution equation. Examples considered to corroborate the efficacy of the proposed solution methods include the Fokker-Planck equation, the Black-Scholes model and the one-factor Gaussian Hull-White model. The results obtained in the first part are used to solve the Cauchy initial value problem for certain inhomogeneous Burgers-type equation. The connection between linear (the Diffusion-type) and nonlinear (Burgers-type) parabolic equations is stress in order to establish a strong commutative relation. Traveling wave solutions of a nonautonomous Burgers equation are also investigated. Finally, it is constructed explicitly the minimum-uncertainty squeezed states for quantum harmonic oscillators. They are derived by the action of corresponding maximal kinematical invariance group on the standard ground state solution. It is shown that the product of the variances attains the required minimum value only at the instances that one variance is a minimum and the other is a maximum, when the squeezing of one of the variances occurs. Such explicit construction is possible due to the relation between the diffusion-type equation studied in the first part and the time-dependent Schrodinger equation. A modication of the radiation field operators for squeezed photons in a perfect cavity is also suggested with the help of a nonstandard solution of Heisenberg's equation of motion.
ContributorsVega-Guzmán, José Manuel, 1982- (Author) / Sulov, Sergei K (Thesis advisor) / Castillo-Chavez, Carlos (Thesis advisor) / Platte, Rodrigo (Committee member) / Chowell-Puente, Gerardo (Committee member) / Arizona State University (Publisher)
Created2013
Description
Rabies disease remains enzootic among raccoons, skunks, foxes and bats in the United States. It is of primary concern for public-health agencies to control spatial spread of rabies in wildlife and its potential spillover infection of domestic animals and humans. Rabies is invariably fatal in wildlife if untreated, with a non-negligible incubation period. Understanding how this latency affects spatial spread of rabies in wildlife is the concern of chapter 2 and 3. Chapter 1 deals with the background of mathematical models for rabies and lists main objectives. In chapter 2, a reaction-diffusion susceptible-exposed-infected (SEI) model and a delayed diffusive susceptible-infected (SI) model are constructed to describe the same epidemic process -- rabies spread in foxes. For the delayed diffusive model a non-local infection term with delay is resulted from modeling the dispersal during incubation stage. Comparison is made regarding minimum traveling wave speeds of the two models, which are verified using numerical experiments. In chapter 3, starting with two Kermack and McKendrick's models where infectivity, death rate and diffusion rate of infected individuals can depend on the age of infection, the asymptotic speed of spread $c^\ast$ for the cumulated force of infection can be analyzed. For the special case of fixed incubation period, the asymptotic speed of spread is governed by the same integral equation for both models. Although explicit solutions for $c^\ast$ are difficult to obtain, assuming that diffusion coefficient of incubating animals is small, $c^\ast$ can be estimated in terms of model parameter values. Chapter 4 considers the implementation of realistic landscape in simulation of rabies spread in skunks and bats in northeast Texas. The Finite Element Method (FEM) is adopted because the irregular shapes of realistic landscape naturally lead to unstructured grids in the spatial domain. This implementation leads to a more accurate description of skunk rabies cases distributions.
ContributorsLiu, Hao (Author) / Kuang, Yang (Thesis advisor) / Jackiewicz, Zdzislaw (Committee member) / Lanchier, Nicolas (Committee member) / Smith, Hal (Committee member) / Thieme, Horst (Committee member) / Arizona State University (Publisher)
Created2013
Description
The Dodd-Frank Act was created to promote financial stability in the United States. However, no one is quite sure what it is yet. While action had to be taken and Dodd-Frank has some positives, Dodd-Frank, as it is deciphered today, has severe drawbacks. Since Dodd-Frank is only in its infancy, it is difficult to form an interim conclusion about its effects on agricultural lending at this point. After passing Dodd-Frank in 2010, the government began trying to figure out what it means. Four years later, they are still trying and are about half way through making the rules. This law essentially replaces Glass-Steagall, which was repealed several years ago. Many believe repealing Glass-Steagall was a big reason for the financial collapse of 2008. While Glass-Steagall was a short, easily understood document, Dodd Frank adds many more regulations and pages. This creates a long, bulky, confusing law that seems to be extremely tough to comprehend legally or as a banker. In this study, I try to balance the positives and negatives of Dodd-Frank to understand if it is more detrimental or beneficial to agricultural lending. While we find that Dodd-Frank does help keep banks from some of the risky investments that many believe led to the financial crisis, the added paperwork, compliance costs, and strain it puts on small banks can be worrisome. I interviewed several agriculture-lending professionals who regularly deal with the rules and regulations of Dodd-Frank to discover the impact the new law has on banks, their customers, and the economy as a whole. These interviews give insight into what Dodd-Frank means to the agriculture-lending market and what changes have had to occur since the law was passed. These interviews demonstrate that Dodd-Frank is largely looked down upon by the banking industry. The professionals interviewed are very experienced. After the extensive research, interviews, and discoveries that came of this study, it was concluded that Dodd-Frank seems to hurt the lending industry much more than it helps. One major concern is the strain Dodd-Frank puts on small banks and how it makes "too big to fail" banks even bigger.
ContributorsBettencourt, Bradley D (Author) / Thor, Eric (Thesis advisor) / Manfredo, Mark (Committee member) / Englin, Jeff (Committee member) / Arizona State University (Publisher)
Created2014
Description
In the field of infectious disease epidemiology, the assessment of model robustness outcomes plays a significant role in the identification, reformulation, and evaluation of preparedness strategies aimed at limiting the impact of catastrophic events (pandemics or the deliberate release of biological agents) or used in the management of disease prevention strategies, or employed in the identification and evaluation of control or mitigation measures. The research work in this dissertation focuses on: The comparison and assessment of the role of exponentially distributed waiting times versus the use of generalized non-exponential parametric distributed waiting times of infectious periods on the quantitative and qualitative outcomes generated by Susceptible-Infectious-Removed (SIR) models. Specifically, Gamma distributed infectious periods are considered in the three research projects developed following the applications found in (Bailey 1964, Anderson 1980, Wearing 2005, Feng 2007, Feng 2007, Yan 2008, lloyd 2009, Vergu 2010). i) The first project focuses on the influence of input model parameters, such as the transmission rate, mean and variance of Gamma distributed infectious periods, on disease prevalence, the peak epidemic size and its timing, final epidemic size, epidemic duration and basic reproduction number. Global uncertainty and sensitivity analyses are carried out using a deterministic Susceptible-Infectious-Recovered (SIR) model. The quantitative effect and qualitative relation between input model parameters and outcome variables are established using Latin Hypercube Sampling (LHS) and Partial rank correlation coefficient (PRCC) and Spearman rank correlation coefficient (RCC) sensitivity indices. We learnt that: For relatively low (R0 close to one) to high (mean of R0 equals 15) transmissibility, the variance of the Gamma distribution for the infectious period, input parameter of the deterministic age-of-infection SIR model, is key (statistically significant) on the predictability of the epidemiological variables such as the epidemic duration and the peak size and timing of the prevalence of infectious individuals and therefore, for the predictability these variables, it is preferable to utilize a nonlinear system of Volterra integral equations, rather than a nonlinear system of ordinary differential equations. The predictability of epidemiological variables such as the final epidemic size and the basic reproduction number are unaffected by (or independent of) the variance of the Gamma distribution for the infectious period and therefore for the choice on which type of nonlinear system for the description of the SIR model (VIE's or ODE's) is irrelevant. Although, for practical proposes, with the aim of lowering the complexity and number operations in the numerical methods, a nonlinear system of ordinary differential equations is preferred. The main contribution lies in the development of a model based decision-tool that helps determine when SIR models given in terms of Volterra integral equations are equivalent or better suited than SIR models that only consider exponentially distributed infectious periods. ii) The second project addresses the question of whether or not there is sufficient evidence to conclude that two empirical distributions for a single epidemiological outcome, one generated using a stochastic SIR model under exponentially distributed infectious periods and the other under the non-exponentially distributed infectious period, are statistically dissimilar. The stochastic formulations are modeled via a continuous time Markov chain model. The statistical hypothesis test is conducted using the non-parametric Kolmogorov-Smirnov test. We found evidence that shows that for low to moderate transmissibility, all empirical distribution pairs (generated from exponential and non-exponential distributions) for each of the epidemiological quantities considered are statistically dissimilar. The research in this project helps determine whether the weakening exponential distribution assumption must be considered in the estimation of probability of events defined from the empirical distribution of specific random variables. iii) The third project involves the assessment of the effect of exponentially distributed infectious periods on estimates of input parameter and the associated outcome variable predictions. Quantities unaffected by the use of exponentially distributed infectious period within low transmissibility scenarios include, the prevalence peak time, final epidemic size, epidemic duration and basic reproduction number and for high transmissibility scenarios only the prevalence peak time and final epidemic size. An application designed to determine from incidence data whether there is sufficient statistical evidence to conclude that the infectious period distribution should not be modeled by an exponential distribution is developed. A method for estimating explicitly specified non-exponential parametric probability density functions for the infectious period from epidemiological data is developed. The methodologies presented in this dissertation may be applicable to models where waiting times are used to model transitions between stages, a process that is common in the study of life-history dynamics of many ecological systems.
ContributorsMorales Butler, Emmanuel J (Author) / Castillo-Chavez, Carlos (Thesis advisor) / Aparicio, Juan P (Thesis advisor) / Camacho, Erika T (Committee member) / Kang, Yun (Committee member) / Arizona State University (Publisher)
Created2014
Description
Extraordinary medical advances have led to significant reductions in the burden of infectious diseases in humans. However, infectious diseases still account for more than 13 million annual deaths. This large burden is partly due to some pathogens having found suitable conditions to emerge and spread in denser and more connected host populations, and others having evolved to escape the pressures imposed by the rampant use of antimicrobials. It is then critical to improve our understanding of how diseases spread in these modern landscapes, characterized by new host population structures and socio-economic environments, as well as containment measures such as the deployment of drugs. Thus, the motivation of this dissertation is two-fold. First, we study, using both data-driven and modeling approaches, the the spread of infectious diseases in urban areas. As a case study, we use confirmed-cases data on sexually transmitted diseases (STDs) in the United States to assess the conduciveness of population size of urban areas and their socio-economic characteristics as predictors of STD incidence. We find that the scaling of STD incidence in cities is superlinear, and that the percent of African-Americans residing in cities largely determines these statistical patterns. Since disparities in access to health care are often exacerbated in urban areas, within this project we also develop two modeling frameworks to study the effect of health care disparities on epidemic outcomes. Discrepant results between the two approaches indicate that knowledge of the shape of the recovery period distribution, not just its mean and variance, is key for assessing the epidemiological impact of inequalities. The second project proposes to study, from a modeling perspective, the spread of drug resistance in human populations featuring vital dynamics, stochasticity and contact structure. We derive effective treatment regimes that minimize both the overall disease burden and the spread of resistance. Additionally, targeted treatment in structured host populations may lead to higher levels of drug resistance, and if drug-resistant strains are compensated, they can spread widely even when the wild-type strain is below its epidemic threshold.
ContributorsPatterson-Lomba, Oscar (Author) / Castillo-Chavez, Carlos (Thesis advisor) / Towers, Sherry (Thesis advisor) / Chowell-Puente, Gerardo (Committee member) / Arizona State University (Publisher)
Created2014
Description
In a 2004 paper, John Nagy raised the possibility of the existence of a hypertumor \emph{i.e.}, a focus of aggressively reproducing parenchyma cells that invade part or all of a tumor. His model used a system of nonlinear ordinary differential equations to find a suitable set of conditions for which these hypertumors exist. Here that model is expanded by transforming it into a system of nonlinear partial differential equations with diffusion, advection, and a free boundary condition to represent a radially symmetric tumor growth. Two strains of parenchymal cells are incorporated; one forming almost the entirety of the tumor while the much more aggressive strain
appears in a smaller region inside of the tumor. Simulations show that if the aggressive strain focuses its efforts on proliferating and does not contribute to angiogenesis signaling when in a hypoxic state, a hypertumor will form. More importantly, this resultant aggressive tumor is paradoxically prone to extinction and hypothesize is the cause of necrosis in many vascularized tumors.
appears in a smaller region inside of the tumor. Simulations show that if the aggressive strain focuses its efforts on proliferating and does not contribute to angiogenesis signaling when in a hypoxic state, a hypertumor will form. More importantly, this resultant aggressive tumor is paradoxically prone to extinction and hypothesize is the cause of necrosis in many vascularized tumors.
ContributorsAlvarez, Roberto L (Author) / Milner, Fabio A (Thesis advisor) / Nagy, John D. (Committee member) / Kuang, Yang (Committee member) / Thieme, Horst (Committee member) / Mahalov, Alex (Committee member) / Smith, Hal (Committee member) / Arizona State University (Publisher)
Created2014