Matching Items (64)
Description
Schennach (2007) has shown that the Empirical Likelihood (EL) estimator may not be asymptotically normal when a misspecified model is estimated. This problem occurs because the empirical probabilities of individual observations are restricted to be positive. I find that even the EL estimator computed without the restriction can fail to be asymptotically normal for misspecified models if the sample moments weighted by unrestricted empirical probabilities do not have finite population moments. As a remedy for this problem, I propose a group of alternative estimators which I refer to as modified EL (MEL) estimators. For correctly specified models, these estimators have the same higher order asymptotic properties as the EL estimator. The MEL estimators are obtained by the Generalized Method of Moments (GMM) applied to an exactly identified model. The simulation results provide promising evidence for these estimators. In the second chapter, I introduce an alternative group of estimators to the Generalized Empirical Likelihood (GEL) family. The new group is constructed by employing demeaned moment functions in the objective function while using the original moment functions in the constraints. This designation modifies the higher-order properties of estimators. I refer to these new estimators as Demeaned Generalized Empirical Likelihood (DGEL) estimators. Although Newey and Smith (2004) show that the EL estimator in the GEL family has fewer sources of bias and is higher-order efficient after bias-correction, the demeaned exponential tilting (DET) estimator in the DGEL group has those superior properties. In addition, if data are symmetrically distributed, every estimator in the DGEL family shares the same higher-order properties as the best member.
ContributorsXiang, Jin (Author) / Ahn, Seung (Thesis advisor) / Wahal, Sunil (Thesis advisor) / Bharath, Sreedhar (Committee member) / Mehra, Rajnish (Committee member) / Tserlukevich, Yuri (Committee member) / Arizona State University (Publisher)
Created2013
Description
This paper examines dealers' inventory holding periods and the associated price markups on corporate bonds from 2003 to 2010. Changes in these measures explain a large part of the time series variation in aggregate corporate bond prices. In the cross-section, holding periods and markups overshadow extant liquidity measures and have significant explanatory power for individual bond prices. Both measures shed light on the credit spread puzzle: changes in credit spread are positively correlated with changes in holding periods and markups, and a large portion of credit spread changes is explained by them. The economic effects of holding periods and markups are particularly sharp during crisis periods.
ContributorsQian, Zhiyi (Author) / Wahal, Sunil (Thesis advisor) / Bharath, Sreedhar (Committee member) / Coles, Jeffrey (Committee member) / Mehra, Rajnish (Committee member) / Arizona State University (Publisher)
Created2012
Description
This paper looks at defined contribution 401(k) plans in the United States to analyze whether or not participants have plans with better plan characteristics defined in this study by paying more for administration services, advisory services, and investments. By collecting and analyzing Form 5500 and audit data, I find that there is no relation between how much a plan and its participants are paying for recordkeeping, advisory, and investment fees and the analyzed characteristics of the plan that they receive in regards to active/passive allocation, revenue share, and the performance of the funds.
ContributorsAziz, Julian (Author) / Wahal, Sunil (Thesis director) / Bharath, Sreedhar (Committee member) / Barrett, The Honors College (Contributor) / Department of Information Systems (Contributor) / Department of Finance (Contributor)
Created2015-05
Description
This report is a summary of a long-term project completed by Ido Gilboa for his Honors Thesis. The purpose of this project is to determine if an arbitrage between different crypto-currency exchanges exists, and if it is possible to acts upon such triangular arbitrage. Bitcoin, the specific crypto-currency this report focuses on, has become a household name, yet most do not understand its origin and patterns. The report will detail the process of collecting data from different sources, manipulating it in order to run the algorithms, explain the meaning behind the algorithms, results and important statistics found, and conclusion of the project. In addition to that, the report will go into detail discussing financial terms such as triangular arbitrage as well as information system concepts such as sockets and server communication. The project was completed with the assistance of Dr. Sunil Wahal and Dr. Daniel Mazzola, professors in the W.P. Carey School of business. This project has been stretched over along period of time, spanning from early 2013 to fall of 2015.
ContributorsGilboa, Ido (Author) / Wahal, Sunil (Thesis director) / Mazzola, Daniel (Committee member) / Department of Information Systems (Contributor) / Department of Supply Chain Management (Contributor) / Barrett, The Honors College (Contributor)
Created2015-12
Description
Natural Language Processing (NLP) techniques have increasingly been used in finance, accounting, and economics research to analyze text-based information more efficiently and effectively than primarily human-centered methods. The literature is rich with computational textual analysis techniques applied to consistent annual or quarterly financial fillings, with promising results to identify similarities between documents and firms, in addition to further using this information in relation to other economic phenomena. Building upon the knowledge gained from previous research and extending the application of NLP methods to other categories of financial documents, this project explores financial credit contracts, better understanding the information provided through their textual data by assessing patterns and relationships between documents and firms. The main methods used throughout this project is Term Frequency-Inverse Document Frequency (to represent each document as a numerical vector), Cosine Similarity (to measure the similarity between contracts), and K-Means Clustering (to organically derive clusters of documents based on the text included in the contract itself). Using these methods, the dimensions analyzed are various grouping methodologies (external industry classifications and text derived classifications), various granularities (document-wise and firm-wise), various financial documents associated with a single firm (the relationship between credit contracts and 10-K product descriptions), and how various mean cosine similarity distributions change over time.
ContributorsLiu, Jeremy J (Author) / Wahal, Sunil (Thesis director) / Bharath, Sreedhar (Committee member) / School of Mathematical and Statistical Sciences (Contributor) / School for the Future of Innovation in Society (Contributor) / Barrett, The Honors College (Contributor)
Created2020-05
Description
The purpose of this thesis is to investigate the history of the Bitcoin arbitrage premium to see if the possibility of 'risk-free' gains existed previously and whether or not the opportunity is still present today. It investigates market structure and price discrepancies in $147B of trading volume across 53 different exchanges between July 2010 and February 2017. This paper aggregates exchange trading into five minute buckets of transaction volume in order to see what exchange volume could have been successfully arbitraged within the context of two cases. The first requires trades to close within the same 5-minute interval and the second requires a 10-minute delay before the position is closed. It finds that the monthly average spreads of these cases have fallen below 3% in 2017 from nearly 10% in 2010. Once exchange fees are included, these spreads fall below 2% on average.
ContributorsNowicki, Gregory Arthur (Author) / Wahal, Sunil (Thesis director) / Simonson, Mark (Committee member) / School of Mathematical and Statistical Sciences (Contributor) / Department of Finance (Contributor) / Barrett, The Honors College (Contributor)
Created2017-05
Description
This paper reviews several current designs of Cube Satellite (CubeSat) Electrical Power Systems (EPS) based on Silicon FET technologies and their current deficiencies, such as radiation-incurred defects and switching power losses. A strategy to fix these is proposed by the way of using Gallium Nitride (GaN) High Electron-Mobility Transistors (HEMTs) as switching devices within Buck/Boost Converters and other regulators. This work summarizes the EPS designs of several CubeSat missions, classifies them, and outlines their efficiency. An in-depth example of an EPS is also given, explaining the process in which these systems are designed. Areas of deficiency are explained along with reasoning as to why GaN can mitigate these losses, including its wide bandgap properties such as high RDS(on) and High Breakdown Voltage. Special design considerations must be kept in mind when using GaN HEMTs in this application and an example of a CubeSat using GaN HEMTs is mentioned. Finally, challenges ahead for GaN are explored including manufacturing considerations and long-term reliability.
ContributorsWilloughby, Alexander George (Author) / Kitchen, Jennifer (Thesis director) / Zhao, Yuji (Committee member) / Electrical Engineering Program (Contributor) / Barrett, The Honors College (Contributor)
Created2017-05
Description
The development of biosensing platforms not only has an immediate lifesaving effect but also has a significant socio-economic impact. In this dissertation, three very important biomarkers with immense importance were chosen for further investigation, reducing the technological gap and improving their sensing platform.Firstly, gold nanoparticles (AuNP) aggregation and sedimentation-based assays were developed for the sensitive, specific, and rapid detection of Ebola virus secreted glycoprotein (sGP)and severe acute respiratory syndrome coronavirus 2 (SARS-COV2) receptor-binding domain (RBD) antigens. An extensive study was done to develop a complete assay workflow from critical nanobody generation to optimization of AuNP size for rapid detection. A rapid portable electronic reader costing (<$5, <100 cm3), and digital data output was developed. Together with the developed workflow, this portable electronic reader showed a high sensitivity (limit of detection of ~10 pg/mL, or 0.13 pM for sGP and ~40 pg/mL, or ~1.3 pM for RBD in diluted human serum), a high specificity, a large dynamic range (~7 logs), and accelerated readout within minutes. Secondly, A general framework was established for small molecule detection using plasmonic metal nanoparticles through wide-ranging investigation and optimization of assay parameters with demonstrated detection of Cannabidiol (CBD). An unfiltered assay suitable for personalized dosage monitoring was developed and demonstrated. A portable electronic reader demonstrated optoelectronic detection of CBD with a limit of detection (LOD) of <100 pM in urine and saliva, a large dynamic range (5 logs), and a high specificity that differentiates closely related Tetrahydrocannabinol (THC). Finally, with careful biomolecular design and expansion of the portable reader to a dual-wavelength detector the classification of antibodies based on their affinity to SARS-COV2 RBD and their ability to neutralize the RBD from binding to the human Angiotensin-Converting Enzyme 2 (ACE2) was demonstrated with the capability to detect antibody concentration as low as 1 pM and observed neutralization starting as low as 10 pM with different viral load and variant. This portable, low-cost, and versatile readout system holds great promise for rapid, digital, and portable data collection in the field of biosensing.
ContributorsIkbal, Md Ashif (Author) / Wang, Chao (Thesis advisor) / Goryll, Michael (Committee member) / Zhao, Yuji (Committee member) / Wang, Shaopeng (Committee member) / Arizona State University (Publisher)
Created2022
Description
In this dissertation, atomic layer processing and surface characterization techniques were used to investigate surface conditions of wide band gap materials, gallium nitride (GaN) and gallium oxide (Ga2O3). These studies largely focused on mitigation and removal of defect formation induced by ions used in conventional plasma-based dry etching techniques. Band bending measured by x-ray photoelectron spectroscopy (XPS) was used to characterize charge compensation at the surface of GaN (0001) and determine densities of charged surface states produced by dry etching. Mitigation and removal of these dry-etch induced defects was investigated by varying inductively coupled plasma (ICP) etching conditions, performing thermal and plasma-based treatments, and development of a novel low-damage, self-limiting atomic layer etching (ALE) process to remove damaged material. Atomic layer deposition (ALD) and ALE techniques were developed for Ga2O3 using trimethylgallium (TMG). Ga2O3 was deposited by ALD on Si using TMG and O2 plasma with a growth rate of 1.0 ± 0.1 Å/cycle. Ga2O3 films were then etched using HF and TMG using a fully thermal ALE process with an etch rate of 0.9 ± Å/cycle. O2 plasma oxidation of GaN for surface conversion to Ga2O3 was investigated as a pathway for ALE of GaN using HF and TMG. This process was characterized using XPS, in situ multi-wavelength ellipsometry, and transmission electron microscopy. This study indicated that the etch rate was lower than anticipated, which was attributed to crystallinity of the converted surface oxide on GaN (0001).
ContributorsHatch, Kevin Andrew (Author) / Nemanich, Robert J (Thesis advisor) / Ponce, Fernando A (Committee member) / Smith, David J (Committee member) / Zhao, Yuji (Committee member) / Arizona State University (Publisher)
Created2021
Description
The advent of silicon, germanium, narrow-gap III-V materials, and later the wide bandgap (WBG) semiconductors, and their subsequent revolution and enrichment of daily life begs the question: what is the next generation of semiconductor electronics poised to look like? Ultrawide bandgap (UWBG) semiconductors are the class of semiconducting materials that possess an electronic bandgap (EG) greater than that of gallium nitride (GaN), which is 3.4 eV. They currently consist of beta-phase gallium oxide (β-Ga2O3 ; EG = 4.6–4.9 eV), diamond (EG = 5.5 eV), aluminum nitride (AlN; EG =6.2 eV), cubic boron nitride (BN; EG = 6.4 eV), and other materials hitherto undiscovered. Such a strong emphasis is placed on the semiconductor bandgap because so many relevant electronic performance properties scale positively with the bandgap. Where power electronics is concerned, the Baliga's Figure of Merit (BFOM) quantifies how much voltage a device can block in the off state and how high its conductivity is in the on state. The BFOM has a sixth-order dependence on the bandgap. The UWBG class of semiconductors also possess the potential for higher switching efficiencies and power densities and better suitability for deep-UV and RF optoelectronics. Many UWBG materials have very tight atomic lattices and high displacement energies, which makes them suitable for extreme applications such as radiation-harsh environments commonly found in military, industrial, and outer space applications. In addition, the UWBG materials also show promise for applications in quantum information sciences. For all the inherent promise and burgeoning research efforts, key breakthroughs in UWBG research have only occurred as recently as within the last two to three decades, making them extremely immature in comparison with the well-known WBG materials and others before them. In particular, AlN suffers from a lack of wide availability of low-cost, highquality substrates, a stark contrast to β-Ga2O3, which is now readily commercially available. In order to realize more efficient and varied devices on the relatively nascent UWBG materials platform, a deeper understanding of the various devices and physics is necessary. The following thesis focuses on the UWBG materials AlN and β-Ga2O3, overlooking radiation studies, a novel device heterojunction, and electronic defect study.
ContributorsMontes, Jossue (Author) / Zhao, Yuji (Thesis advisor) / Vasileska, Dragica (Committee member) / Goodnick, Stephen (Committee member) / Sanchez Esqueda, Ivan (Committee member) / Arizona State University (Publisher)
Created2021