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Analyzing the effects of Bollinger bands on the probability of stock options using support vector machines

Description

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…

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.

ContributorsReeves, Michael (Author) / Richa, Andrea (Thesis advisor) / McCarville, Daniel R. (Committee member) / Davulcu, Hasan (Committee member) / Arizona State University (Publisher)

Created2015

Construction of GCCFG for inter-procedural optimizations in Software Managed Manycore (SMM)

Description

Software Managed Manycore (SMM) architectures - in which each core has only a scratch pad memory (instead of caches), - are a promising solution for scaling memory hierarchy to hundreds of cores. However, in these architectures, the code and data of the tasks mapped to the cores must be explicitly…

Software Managed Manycore (SMM) architectures - in which each core has only a scratch pad memory (instead of caches), - are a promising solution for scaling memory hierarchy to hundreds of cores. However, in these architectures, the code and data of the tasks mapped to the cores must be explicitly managed in the software by the compiler. State-of-the-art compiler techniques for SMM architectures require inter-procedural information and analysis. A call graph of the program does not have enough information, and Global CFG, i.e., combining all the control flow graphs of the program has too much information, and becomes too big. As a result, most new techniques have informally defined and used GCCFG (Global Call Control Flow Graph) - a whole program representation which captures the control-flow as well as function call information in a succinct way - to perform inter-procedural analysis. However, how to construct it has not been shown yet. We find that for several simple call and control flow graphs, constructing GCCFG is relatively straightforward, but there are several cases in common applications where unique graph transformation is needed in order to formally and correctly construct the GCCFG. This paper fills this gap, and develops graph transformations to allow the construction of GCCFG in (almost) all cases. Our experiments show that by using succinct representation (GCCFG) rather than elaborate representation (GlobalCFG), the compilation time of state-of-the-art code management technique [4] can be improved by an average of 5X, and that of stack management [20] can be improved by an average of 4X.

ContributorsHolton, Bryce (Author) / Shrivastava, Aviral (Thesis advisor) / Collofello, James (Committee member) / Richa, Andrea (Committee member) / Arizona State University (Publisher)

Created2014

Enumeration Methods and Series Analysis of Self-Avoiding Polygons on the Hexagonal Lattice, with Applications to Self-organizing Particle Systems

Description

We consider programmable matter as a collection of simple computational elements (or particles) that self-organize to solve system-wide problems of movement, configuration, and coordination. Here, we focus on the compression problem, in which the particle system gathers as tightly together as possible, as in a sphere or its equivalent in…

We consider programmable matter as a collection of simple computational elements (or particles) that self-organize to solve system-wide problems of movement, configuration, and coordination. Here, we focus on the compression problem, in which the particle system gathers as tightly together as possible, as in a sphere or its equivalent in the presence of some underlying geometry. Within this model a configuration of particles can be represented as a unique closed self-avoiding walk on the triangular lattice. In this paper we will examine the bias parameter of a Markov chain based algorithm that solves the compression problem under the geometric amoebot model, for particle systems that begin in a connected configuration with no holes. This bias parameter, $\lambda$, determines the behavior of the algorithm. It has been shown that for $\lambda > 2+\sqrt{2}$, with all but exponentially small probability, the algorithm achieves compression. Additionally the same algorithm can be used for expansion for small values of $\lambda$; in particular, for all $0 < \lambda < \sqrt{\tau}$, where $\lim_{n\to\infty} {(p_n)^{1
}}=\tau$. This research will focus on improving approximations on the lower bound of $\tau$. Toward this end we will examine algorithmic enumeration, and series analysis for self-avoiding polygons.

ContributorsLough, Kevin James (Author) / Richa, Andrea (Thesis director) / Fishel, Susanna (Committee member) / School of Mathematical and Statistical Sciences (Contributor, Contributor) / Computer Science and Engineering Program (Contributor) / Barrett, The Honors College (Contributor)

Created2019-05

Development of a Python-Based Software for Calculating the Jones Polynomial: Insights into the Behavior of Polymers and Biopolymers

Description

This thesis details a Python-based software designed to calculate the Jones polynomial, a vital mathematical tool from Knot Theory used for characterizing the topological and geometrical complexity of curves in 3-space, which is essential in understanding physical systems of filaments, including the behavior of polymers and biopolymers. The Jones polynomial serves as a topological…

This thesis details a Python-based software designed to calculate the Jones polynomial, a vital mathematical tool from Knot Theory used for characterizing the topological and geometrical complexity of curves in 3-space, which is essential in understanding physical systems of filaments, including the behavior of polymers and biopolymers. The Jones polynomial serves as a topological invariant capable of distinguishing between different knot structures. This capability is fundamental to characterizing the architecture of molecular chains, such as proteins and DNA. Traditional computational methods for deriving the Jones polynomial have been limited by closure-schemes and high execu- tion costs, which can be impractical for complex structures like those that appear in real life. This software implements methods that significantly reduce calculation times, allowing for more efficient and practical applications in the study of biological poly- mers. It utilizes a divide-and-conquer approach combined with parallel computing and applies recursive Reidemeister moves to optimize the computation, transitioning from an exponential to a near-linear runtime for specific configurations. This thesis provides an overview of the software’s functions, detailed performance evaluations using protein structures as test cases, and a discussion of the implications for future research and potential algorithmic improvements.

ContributorsMusfeldt, Caleb (Author) / Panagiotou, Eleni (Thesis director) / Richa, Andrea (Committee member) / Barrett, The Honors College (Contributor) / School of Mathematical and Statistical Sciences (Contributor) / Historical, Philosophical & Religious Studies, Sch (Contributor)

Created2024-05