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Graduate Theses & Dissertations
Pages
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- Application of One-factor Models for Prices of Crops and Option Pricing Process
- This thesis is intended to support dependent-on-crops farmers to hedge the price risks of their crops. Firstly, we applied one-factor model, which incorporated a deterministic function and a stochastic process, to predict the future prices of crops (soybean). A discrete form was employed for one-month-ahead prediction. For general prediction, de-trending and de-cyclicality were used to remove the deterministic function. Three candidate stochastic differential equations (SDEs) were chosen to simulate the stochastic process; they are mean-reverting Ornstein-Uhlenbeck (OU) process, OU process with zero mean, and Brownian motion with a drift. Least squares methods and maximum likelihood were used to estimate the parameters. Results indicated that one-factor model worked well for soybean prices. Meanwhile, we provided a two-factor model as an alternative model and it also performed well in this case. In the second main part, a zero-cost option package was introduced and we theoretically analyzed the process of hedging. In the last part, option premiums obtained based on one-factor model could be compared to those obtained from Black-Scholes model, thus we could see the differences and similarities which suggested that the deterministic function especially the cyclicality played an essential role for the soybean price, thus the one-factor model in this case was more suitable than Black-Scholes model for the underlying asset. Author Keywords: Brownian motion, Least Squares Method, Maximum Likelihood Method, One-factor Model, Option Pricing, Ornstein-Uhlenbeck Process
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- Utilizing Class-Specific Thresholds Discovered by Outlier Detection
- We investigated if the performance of selected supervised machine-learning techniques could be improved by combining univariate outlier-detection techniques and machine-learning methods. We developed a framework to discover class-specific thresholds in class probability estimates using univariate outlier detection and proposed two novel techniques to utilize these class-specific thresholds. These proposed techniques were applied to various data sets and the results were evaluated. Our experimental results suggest that some of our techniques may improve recall in the base learner. Additional results suggest that one technique may produce higher accuracy and precision than AdaBoost.M1, while another may produce higher recall. Finally, our results suggest that we can achieve higher accuracy, precision, or recall when AdaBoost.M1 fails to produce higher metric values than the base learner. Author Keywords: AdaBoost, Boosting, Classification, Class-Specific Thresholds, Machine Learning, Outliers
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- Modeling drought derivatives in arid regions
- We propose a stochastic weather model based on temperature, precipitation, humidity and wind speed for Qatar, as a representative arid region, in order to obtain simulated values for a drought index. As a drought index, the Reconnaissance Drought Index (RDI) is commonly accepted in agriculture and is used to measure drought severity. It can be used to price weather derivatives to help farmers reduce nancial losses from drought. RDI, which is the ratio of precipitation to evapotranspiration, is calculated by considering crop growth stages. The use of dierent crop coecient value depending on the growth stage to calculate evapotranspiration can provide improved values for RDI. Additionally, six calculation methods for evapotranspiration using weather data are investigated to obtain accurate values for RDI. Author Keywords: Evapotranspiration, Markov chains, Mean reversion processes, Reconnaissance Drought Index, Stochastic dierential equations, Stochastic weather models
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- Self-Organizing Maps and Galaxy Evolution
- Artificial Neural Networks (ANN) have been applied to many areas of research. These techniques use a series of object attributes and can be trained to recognize different classes of objects. The Self-Organizing Map (SOM) is an unsupervised machine learning technique which has been shown to be successful in the mapping of high-dimensional data into a 2D representation referred to as a map. These maps are easier to interpret and aid in the classification of data. In this work, the existing algorithms for the SOM have been extended to generate 3D maps. The higher dimensionality of the map provides for more information to be made available to the interpretation of classifications. The effectiveness of the implementation was verified using three separate standard datasets. Results from these investigations supported the expectation that a 3D SOM would result in a more effective classifier. The 3D SOM algorithm was then applied to an analysis of galaxy morphology classifications. It is postulated that the morphology of a galaxy relates directly to how it will evolve over time. In this work, the Spectral Energy Distribution (SED) will be used as a source for galaxy attributes. The SED data was extracted from the NASA Extragalactic Database (NED). The data was grouped into sample sets of matching frequencies and the 3D SOM application was applied as a morphological classifier. It was shown that the SOMs created were effective as an unsupervised machine learning technique to classify galaxies based solely on their SED. Morphological predictions for a number of galaxies were shown to be in agreement with classifications obtained from new observations in NED. Author Keywords: Galaxy Morphology, Multi-wavelength, parallel, Self-Organizing Maps
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- Stability Properties of Disease Models under Economic Expectations
- Comprehending the dynamics of infectious diseases is very important in formulating public health policies to tackling their prevalence. Mathematical epidemiology (ME) has played a very vital role in achieving the above. Nevertheless, classical mathematical epidemiological models do not explicitly model the behavioural responses of individuals in the presence of prevalence of these diseases. Economic epidemiology (EE) as a field has stepped in to fill this gap by integrating economic and mathematical concepts within one framework. This thesis investigated two issues in this area. The methods employed are the standard linear analysis of stability of dynamical systems and numerical simulation. Below are the investigations and the findings of this thesis: Firstly, an investigation into the stability properties of the equilibria of EE models is carried out. We investigated the stability properties of modified EE systems studied by Aadland et al. [6] by introducing a parametric quadratic utility function into the model, thus making it possible to model the maximum number of contacts made by rational individuals to be determined by a parameter. This parameter in particular influences the level of utility of rational individuals. We have shown that if rational individuals have a range of possible contacts to choose from, with the maximum of the number of contacts allowable for these individuals being dependent on a parameter, the variation in this parameter tends to affect the stability properties of the system. We also showed that under the assumption of permanent recovery for disease coupled with individuals observing or not observing their immunity, death and birth rates can affect the stability of the system. These parameters also have effect on the dynamics of the EE SIS system. Secondly, an EE model of syphilis infectivity among &ldquo men who have sex with men &rdquo (MSM) in detention centres is developed in an attempt at looking at the effect of behavioural responses on the disease dynamics among MSM. This was done by explicitly incorporating the interplay of the biology of the disease and the behaviour of the inmates. We investigated the stability properties of the system under rational expectations where we showed that: (1) Behavioural responses to the prevalence of the disease affect the stability of the system. Therefore, public health policies have the tendency of putting the system on indeterminate paths if rational MSM have complete knowledge of the laws governing the motion of the disease states as well as a complete understanding on how others behave in the system when faced with risk-benefit trade-offs. (2) The prevalence of the disease in the long run is influenced by incentives that drive the utility of the MSM inmates. (3) The interplay between the dynamics of the biology of the disease and the behavioural responses of rational MSM tends to put the system at equilibrium quickly as compared to its counterpart (that is when the system is solely dependent on the biology of the disease) when subjected to small perturbation. Author Keywords: economic and mathematical epidemiology models, explosive path, indeterminate-path stability, numerical solution, health gap, saddle-path stability, syphilis,
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- An Investigation of the Impact of Big Data on Bioinformatics Software
- As the generation of genetic data accelerates, Big Data has an increasing impact on the way bioinformatics software is used. The experiments become larger and more complex than originally envisioned by software designers. One way to deal with this problem is to use parallel computing. Using the program Structure as a case study, we investigate ways in which to counteract the challenges created by the growing datasets. We propose an OpenMP and an OpenMP-MPI hybrid parallelization of the MCMC steps, and analyse the performance in various scenarios. The results indicate that the parallelizations produce significant speedups over the serial version in all scenarios tested. This allows for using the available hardware more efficiently, by adapting the program to the parallel architecture. This is important because not only does it reduce the time required to perform existing analyses, but it also opens the door to new analyses, which were previously impractical. Author Keywords: Big Data, HPC, MCMC, parallelization, speedup, Structure
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- Particulate Matter Component Analyses in Relation to Public Health in Canada
- This thesis explores the shot-term relationship between exposure to ambient air pollution and human health through metrics such as mortality and hospitalization in Canada. We begin by detailing the organization and interpolation of air pollution data from its partially quality-controlled source form. Analyses of seasonal, regional and temporal trends of all major components of PM2.5, was performed, showing a seasonal variation across most regions and validating the dataset. A one-pollutant statistical Generalized Additive Model was applied to the data, estimating the health risk associated with exposure to thirteen different components of PM2.5. The selected components were based on those that compromised the majority of the mass and included: sulphate, nitrate, zinc, silicon, iron, nickel, vanadium, potassium, organic carbon, organic matter, elemental carbon, total carbon. Trends based on annual estimates of the association for PM2.5, and its constituents,were compared, showing that carbonaceous compounds, sulphate and nitrate had similar estimates of association. Many estimates, as is common in population ecologic epidemiology, had association estimates statistically indistinguishable from zero, but with clear features of interest, including evident differences between cold and warm season associations in Canada's temperate climate. A method to model two correlated pollutants (in this case, PM2.5 and O3) was developed using thin plate splines. In this approach, the location of the response surface (after accounting for the temperature, a smooth function of time and day of week) that corresponds to the average pollutant concentration and the average plus one unit was used as the estimate of the joint contribution of pollutants due to a unit increase. The estimates from the thin plate spline (TPS) approach were compared to the single pollutant models, with large increases and decreases in PM2.5 and O3 being captured in the TPS estimates. However, this approach indicated significantly larger error in the estimates than would be expected, indicating a possible future area for refinement. Author Keywords: Air pollution, Environmental Epidemiology, Generalized Additive Models, Human Health, Multivariate Models, Thin Plate Splines
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- SPAF-network with Saturating Pretraining Neurons
- In this work, various aspects of neural networks, pre-trained with denoising autoencoders (DAE) are explored. To saturate neurons more quickly for feature learning in DAE, an activation function that offers higher gradients is introduced. Moreover, the introduction of sparsity functions applied to the hidden layer representations is studied. More importantly, a technique that swaps the activation functions of fully trained DAE to logistic functions is studied, networks trained using this technique are reffered to as SPAF-networks. For evaluation, the popular MNIST dataset as well as all \(3\) sub-datasets of the Chars74k dataset are used for classification purposes. The SPAF-network is also analyzed for the features it learns with a logistic, ReLU and a custom activation function. Lastly future roadmap is proposed for enhancements to the SPAF-network. Author Keywords: Artificial Neural Network, AutoEncoder, Machine Learning, Neural Networks, SPAF network, Unsupervised Learning
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- Modelling Submerged Coastal Environments
- Built upon remote sensing and GIS littoral zone characterization methodologies of the past decade, a series of loosely coupled models aimed to test, compare and synthesize multi-beam SONAR (MBES), Airborne LiDAR Bathymetry (ALB), and satellite based optical data sets in the Gulf of St. Lawrence, Canada, eco-region. Bathymetry and relative intensity metrics for the MBES and ALB data sets were run through a quantitative and qualitative comparison, which included outputs from the Benthic Terrain Modeller (BTM) tool. Substrate classification based on relative intensities of respective data sets and textural indices generated using grey level co-occurrence matrices (GLCM) were investigated. A spatial modelling framework built in ArcGISTM for the derivation of bathymetric data sets from optical satellite imagery was also tested for proof of concept and validation. Where possible, efficiencies and semi-automation for repeatable testing was achieved using ArcGISTM ModelBuilder. The findings from this study could assist future decision makers in the field of coastal management and hydrographic studies. Keywords: Seafloor terrain characterization, Benthic Terrain Modeller (BTM), Multi-beam SONAR, Airborne LiDAR Bathymetry, Satellite Derived Bathymetry, ArcGISTM ModelBuilder, Textural analysis, Substrate classification Author Keywords:
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- An Investigation of Load Balancing in a Distributed Web Caching System
- With the exponential growth of the Internet, performance is an issue as bandwidth is often limited. A scalable solution to reduce the amount of bandwidth required is Web caching. Web caching (especially at the proxy-level) has been shown to be quite successful at addressing this issue. However as the number and needs of the clients grow, it becomes infeasible and inefficient to have just a single Web cache. To address this concern, the Web caching system can be set up in a distributed manner, allowing multiple machines to work together to meet the needs of the clients. Furthermore, it is also possible that further efficiency could be achieved by balancing the workload across all the Web caches in the system. This thesis investigates the benefits of load balancing in a distributed Web caching environment in order to improve the response times and help reduce bandwidth. Author Keywords: adaptive load sharing, Distributed systems, Load Balancing, Simulation, Web Caching
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- ADAPT
- This thesis focuses on the design of a modelling framework consisting of loose-coupling of a sequence of spatial and process models and procedures necessary to predict future flood events for the years 2030 and 2050 in Tabasco Mexico. Temperature and precipitation data from the Hadley Centers Coupled Model (HadCM3), for those future years were downscaled using the Statistical Downscaling Model (SDSM4.2.9). These data were then used along with a variety of digital spatial data and models (current land use, soil characteristics, surface elevation and rivers) to parameterize the Soil Water Assessment Tool (SWAT) model and predict flows. Flow data were then input into the Hydrological Engineering Centers-River Analysis System (HEC-RAS) model. This model mapped the areas that are expected to be flooded based on the predicted flow values. Results from this modelling sequence generate images of flood extents, which are then ported to an online tool (ADAPT) for display. The results of this thesis indicate that with current prediction of climate change the city of Villahermosa, Tabasco, Mexico, and the surrounding area will experience a substantial amount of flooding. Therefore there is a need for adaptation planning to begin immediately. Author Keywords: Adaptation Planning, Climate Change, Extreme Weather Events, Flood Planning, Simulation Modelling
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- THE PROPENSITY TOWARD EXTREMIST MIND-SET AS PREDICTED BY PERSONALITY, MOTIVATION, AND SELF-CONSTRUAL
- ABSTRACT The Propensity Toward Extremist Mind-Set as Predicted by Personality, Motivation, and Self-Construal Nick Fauset Multivariate regression analyses were used to determine the effects of Personality (Neuroticism, Extraversion, Openness, Agreeableness, and Conscientiousness), Motivation (External, Amotivation, Intrinsic, and Identified), and Self-Construal (Independent and Interdependent) on three domains of Extremist Mind-Set (Proviolence, Vile World, and Divine Power). Participants consisted of first year undergraduate students (209 females, 76 males) enrolled in Introductory Psychology (N=279) and/or Introductory Economics (N=7), whom participated for course credit. The Motivation measure was problematic for students to complete and this variable was dropped from the model due to missing data. Decreases in Neuroticism, Openness, Agreeableeness, and Interdependent were significantly correlated with increases in Proviolence. Decreases in Agreeableness were correlated with increases in Vile World. Decreases in Openness, and increases in Agreeableness and Interdependent were significantly correlated with increases in Divine Power. These observations provide an interesting perspective on the types of Canadian undergraduate students who are more likely to score highly on measures of Extremism. Keywords: Militant Extremist Mental Mind-Set, Extremism, Personality, Five Factor Model, Motivation, Intrinsic, Extrinsic, Self-Construal, Independent, Interdependent Author Keywords: Extremism, Militant Extremist Mental Mind-Set, Motivation, Personality, Self-Construal