published_or_final_version / Statistics / Master / Master of Philosophy

Multiple linear regression was used to develop equations for 12-, 24-, and 36-hour surface wind forecasts for the wind energy site at Goodnoe Hills. Equations were derived separately for warm and cool seasons. The potential predictors included LFM II model output, MOS surface wind forecasts extrapolated from surrounding stations, pressure observations corrected to mean sea level, and two types of climatological variables. Forecasts of wind speed and direction were formulated for an independent sample of predictands and predictors. The forecasts were evaluated using standard methods of forecast verification and the results are summarized in terms of several verification scores. Comparisons of scores were made by season, projection time, and cycle (or preparation) time, and some patterns were evident in the scores with respect to these stratifications. The minimum value of the mean absolute error attained by the forecast system presented here was 5.64 mph for a 12-hour, cool season forecast equation. The minimum value of the root mean square error was 7.57 mph for a 12-hour, warm season forecast equation. Comparison of these results with the results of other statistical wind forecasting studies indicates that the forecast equations for Goodnoe Hills are of comparable accuracy to the equations developed for other wind energy sites. Suggestions for future investigations of statistical wind forecasting are offered as well as recommendations concerning ways of improving the forecasting system described in this study. / Graduation date: 1983

published_or_final_version / Applied Statistics / Master / Master of Social Sciences

published_or_final_version / Statistics / Master / Master of Social Sciences

published_or_final_version / abstract / Statistics and Actuarial Science / Master / Master of Philosophy

This thesis presents three models of asset pricing involving non-competitive behavior and asymmetric information. In the first model, a risk averse investor with private information about dividends trades shares over an infinite time horizon with risk neutral uninformed agents. The informed investor trades strategically in equilibrium. The second model also involves an infinite time horizon, but all agents are risk averse and equally informed about dividends. Non-competitive behavior is exogenously specified; price takers trade shares with a strategic investor who accounts for the effects of her trades on the stock price. In this case, an endogenous information asymmetry arises in equilibrium. Closed form equilibria are derived for both models and implications for price dynamics are explored. While the first model constitutes a new extension of the multiperiod Kyle model of insider trading, the second model generates more interesting price dynamics. If the strategic investor manages a large mutual fund, significant risk premia and price volatility may arise in equilibrium. In fact, if mutual fund participation is sufficiently widespread, multiple equilibria may exist. The third model extends the multiperiod Kyle model to a case where the insider observes a noisy signal of the stock's terminal liquidation value. An equilibrium much like Kyle's is derived. Price tends toward value over time, and stock price volatility depends on both the drift and volatility of the insider's private signal. Like the Kyle model, the insider's trading activity leaves no detectable trace in trading volume, expected returns, or price volatility.

No description available.

This thesis presents three models of asset pricing involving non-competitive behavior and asymmetric information. In the first model, a risk averse investor with private information about dividends trades shares over an infinite time horizon with risk neutral uninformed agents. The informed investor trades strategically in equilibrium. The second model also involves an infinite time horizon, but all agents are risk averse and equally informed about dividends. Non-competitive behavior is exogenously specified; price takers trade shares with a strategic investor who accounts for the effects of her trades on the stock price. In this case, an endogenous information asymmetry arises in equilibrium. Closed form equilibria are derived for both models and implications for price dynamics are explored. While the first model constitutes a new extension of the multiperiod Kyle model of insider trading, the second model generates more interesting price dynamics. If the strategic investor manages a large mutual fund, significant risk premia and price volatility may arise in equilibrium. In fact, if mutual fund participation is sufficiently widespread, multiple equilibria may exist. The third model extends the multiperiod Kyle model to a case where the insider observes a noisy signal of the stock's terminal liquidation value. An equilibrium much like Kyle's is derived. Price tends toward value over time, and stock price volatility depends on both the drift and volatility of the insider's private signal. Like the Kyle model, the insider's trading activity leaves no detectable trace in trading volume, expected returns, or price volatility. / Business, Sauder School of / Finance, Division of / Graduate

No description available.

Thesis (MBA)--Stellenbosch University, 2001 / ENGLISH ABSTRACT: The subject of prediction of business failure from an academic point of view dates back to the turn of the century with the development of a single ratio, the current ratio, as an evaluation of credit-worthiness. Subsequently studies conducted have become complex using different statistical techniques and more than one variable to predict failure. The challenge in these studies has been to establish a reliable model to predict failure. The aim of this report was to find out which financial factors best predicted failure in the South African environment using a matched study by refining some elements of the study conducted by Court (1993). The data used was similar to that of Court (1993), which was independently obtained from the Bureau of Financial Analysis of the University of Pretoria. The variables used in the study were then computed from this raw data. The variables were then imputed into the stataΤΜ statical software package to run a conditional logistic regression model. As a result of a small sample size and a substantial number of missing variables in the sample size, the study did not reveal an accurate indication of the important variable. It was also found that with the instability and general complexity of conditional logistic regression the study need not have been a matched study. The recommendation is that future research be done with a larger sample size using the same methodology. It is also recommended that the data include non-financial variables. / AFRIKAANSE OPSOMMING: Die voorspelling van besigheidsmislukkings as 'n akademiese onderwerp, dateer vanaf die begin van die vorige eeu met die ontwikkeling van 'n enkele verhouding, die bedryfsverhouding, as maatstaf van kredietwaardigheid. Die toepassing van statistiese tegnieke en inkorporasie van meerdere veranderlikes het aan verdere studies 'n hoë mate van kompleksiteit verleen. Die gevolglike uitdaging was om 'n betroubare model te ontwikkel om besighiedsmislukkings akkuraat te kan voorspel. Die doel van hierdie verslag is om aan te dui welke finansiele faktore mees gepas sal wees om besigheidsmislukkings in die Suid Afrikaanse omgewing te voorspel. Die verslag gee weer die bevindinge van 'n gepaarde studie wat gegrond is op 'n verfyning van sekere elemente soos geneem uit die Court studie van 1993. Die data gebruik, is baie soos die wat die Court studie onderlê en is onafhanklik verkry vanaf die Bureau vir Finansiele Analise (Universiteit van Pretoria). Die veranderlikes wat in die studie gebruik is gebaseer op hierdie rou data en is ingesleutel en verwerk deur die stataΤΜ statistiese sagteware program na 'n kondisionele, logiese regressie model. As gevolg van 'n klein steekproef en 'n beduidenswaardige aantal ontbrekende veranderlikes in hierdie steekproef, kon die studie nie 'n belangrike veranderlike met akkuraatheid aandui nie. Dit is ook bevind dat die onstabiliteit en algemene kompleksiteit van die kondisionele, logiese regressie model die gebruik van 'n gepaarde studie onnodig gelaat het. Die aanbeveling is dat verdere navorsing dieselfde metodologie sal toepas op 'n groter steekproef. Dit word ook aanbeveel dat nie-finansiele veranderlikes by die data ingesluit word.