Analyzing and Applying Existing and New Jump Detection Methods for Intraday Stock Data
By William Warren Davis Abstract This paper attempts to explore two recent statistics used to identify jumps in stock prices, as well as to propose a modification to one of the statistics to increase its accuracy by adding a second stage with a different estimator of local volatility. After identifying potential jump days, a study […]
Socioeconomic Factors and the Outcomes of Thailand’s Prevention of Mother-To-Child Transmission program (PMTCT)
by Wichsinee Wibulpolprasert Abstract Since its implementation in 2001, the national program for Prevention of Mother-To-Child Transmission (PMTCT) in Thailand has been successful in substantially reducing mother-to-child HIV transmission. In order to assess and improve the efficacy of the PMTCT program, it is important to identify relevant socio-demographic and biomedical factors associated with antiretroviral compliance […]
Engaging with Malthus: Joseph J. Spengler and Economic Demography
by Thomas Aten Abstract This research paper analyzes the development of Joseph J. Spengler’s interpretation of Thomas Robert Malthus’s work through its three stages, first the stage of quantitative analysis, second, the analysis of early American and French thinkers using Malthus as a critical lens, and third, Spengler’s “Restatement and Reappraisal” of Malthusian theory. Professor […]
Does Risk Pay? An Analysis of Short Gamma Trading Strategies and Volatility Forecasting in the Swaptions Market
by Tasha Staer Bollerslev and Michael Scott Kuritzky Abstract We evaluate short gamma trading strategies in the interest rate swaptions market from January 4th, 1999 to January 19th, 2007, and test the effectiveness of swaption proprietary forecasted volatility at predicting future realized volatility. We find that swaptions market proprietary forecasted volatility is an effective estimator; […]
How Information from a Strategic Alliance Network Relates to Future Acquisition Performance in the Biotechnology and Pharmaceutical Industries
by Stephen Raymond Abstract Acquisitions in the pharmaceutical and biotechnology field have been fueled by a variety of factors ranging from riding strong equity markets to lucid managerial hubris. In all cases, asymmetric information, specifically the moral hazard problem between acquiring and target firms, played large roles in the final value of any acquisition; target […]
Determinants of Automobile Demand and Implications for Hybrid-Electric Market Penetration
by Sruthi M Thatchenkery Abstract This paper investigates market receptivity to hybrid-electric vehicles by using cross-sectional data on vehicle registrations to estimate demand functions for the overall market, the hybrid market, and specialized vehicle segments. Each specification features intrinsic product attributes such as fuel efficiency and horsepower, while the hybrid specification also includes external influences […]
Undue Burdens: The Effect of Abortion Restrictions on Foster Care Entry Rates
by Sara Sutherland Abstract Since the 1973 ruling of Roe v Wade, the Supreme Court has permitted a new abortion law enforced at the state level that requires parental consent or notification for unmarried minors seeking abortion. This paper uses a panel of pooled state-level foster care entry rates over the years 1990 through 2005 […]
Patterns Within the Trading Day: Volatility and Jump Discontinuities in High Frequency Equity Price Series
by Peer Van Tassel Abstract This paper identities systematic patterns within the trading day by analyzing high frequency data from a market index and nine individual stocks. Empirical results expand on the previously documented U-shape in intraday equity volatility by implementing non-parametric statistics to test for patterns in the jump and diffusive components of volatility. […]
Marketing Laboratory Experiments: The Resistible Rise of Laboratory Markets
by Paul Slattery Abstract This paper will endeavor to develop a history of market experimentation. It will begin with a discussion of its earliest manifestations in the work of Edward Chamberlin, tracing its development through the dominance of Vernon Smith, Charles Plott and their students, and ending with its prospects for the future. It will […]
The VIX as a Fix: Equity Volatility as a Lifelong Investment Enhancer
by Michael Sloyer and Ryan Tolkin Abstract The VIX, a measure of the implied volatility of S&P 500 index options, is the premier gauge of investor sentiment and market volatility. This analysis examines the effectiveness of adding the VIX to passively managed equity-bond portfolios. Furthermore, this study extends the existing literature by examining the efficacy […]
