It is well known that for highly skewed distributions the standard method of using the t statistic for the confidence interval of the mean does not give robust results. This is an important problem for importance sampling (IS) as its final distribution is often skewed due to a heavy tailed weight distribution. In this paper, we first explain Hall's transformation and its variants to correct the confidence interval of the mean and then evaluate the performance of these methods for two numerical examples from finance which have closed-form solutions. Finally, we assess the performance of these methods for credit risk examples. Our numerical results suggest that Hall's transformation or one of its variants can be safely used in correcting the two-sided confidence intervals of financial simulations.(author's abstract) / Series: Research Report Series / Department of Statistics and Mathematics

This thesis develops a methodology for the construction of generalized families of probability distributions in the quantile statistical universe, that is, distributions specified in terms of their quantile functions. The main benefit of the proposed methodology is that it generates quantile-based distributions with skewness-invariant measures of kurtosis. The skewness and kurtosis can therefore be identified and analyzed separately. The key contribution of this thesis is the development of a new type of the generalized lambda distribution (GLD), using the quantile function of the generalized Pareto distribution as the basic building block (in the literature each different type of the GLD is incorrectly referred to as a parameterization of the GLD – in this thesis the term type is used). The parameters of this new type can, contrary to existing types, easily be estimated with method of L-moments estimation, since closed-form expressions are available for the estimators as well as for their asymptotic standard errors. The parameter space and the shape properties of the new type are discussed in detail, including its characterization through L-moments. A simple estimation algorithm is presented and utilization of the new type in terms of data fitting and approximation of probability distributions is illustrated. / Thesis (PhD)--University of Pretoria, 2013. / gm2014 / Statistics / unrestricted

In this article, we consider the portfolio selection problem as a Bayesian decision problem. We compare the traditional mean–variance and mean–variance–skewness efficient portfolios. We develop bi-level programming problem to investigate the market’s preference for risk by using observed (market) weights. Numerical experiments are conducted on a portfolio formed by the 30 stocks in the Dow Jones Industrial Average. Numerical results show that the market’s preferences are better explained when skewness is included.

No description available.

The two sample t-test is the test usually taught in introductory statistics courses to test for the equality of means of two populations. However, the t-test is not the only test available to compare the means of two populations. The randomization test is being incorporated into some introductory courses. There is also the bootstrap test. It is also not uncommon to decide the equality of the means based on confidence intervals for the means of these two populations. Are all those methods equally powerful? Can the idea of non-overlapping t confidence intervals be extended to bootstrap confidence intervals? The powers of seven alternative ways of comparing two population means are analyzed using small samples with data coming from distributions with different degrees of skewness and kurtosis. The analysis is done using simulation; programs in GAUSS were especially written for this purpose.

No description available.

This Dissertation consists of two essays. The first essay examines how corporate financial policies depend on the properties of future cash flows. In contrast to prior literature, we investigate the role of asymmetries in the distributionof cash flows. We document the relevance of such asymmetries for firms' payout, liquidity, and capital structure policies. Policies are more sensitive to downside volatility and the directional effect of upside variation is often opposite that of downside. Controlling for cash flow volatility,policies significantly relate to measures of skewness. Firms adopt more conservative policies (lower propensity to pay, more cash, less leverage) when cash flow news is more negatively skewed. The second essay addresses a mythical relationship between corporate payout and short-termism. Over the past 30 years, aggregate investment by US public corporations has declined, and corporate payout has increased. These facts are interpreted as evidence that public firms are plagued by short-termism and are foregoing valuable investment opportunities to support the large payouts. We find that large increases in corporate payout do not impact firm investment or innovative activities in the short run. In the long run, firms which increase their payout invest more in physical capital than control firms and that their RandD spending is comparable. Firms which increase their payout do not experience a decline in operating profitability or valuation in the long run. These conclusions hold when we restrict our attention to firms who persist in making large payouts and for those high payout firms that rely on internal funds. Our results are inconsistent with the view that unusually high payout harms the long-term viability of US firms. The evidence in the paper suggests that the high payers are from industries with declining growth opportunities but the firms themselves are expecting their high profitability and cash flow to persist. / Doctor of Philosophy / Large increases or decreases in a company’s earnings or stock returns are breathcatching. Do such large changes contain information about the company’s future performance? If so, what information do they carry? My first essay answers these questions by looking into the data. We find that extreme stock returns do carry information about firms’ long-run performance, and this information effectively predicts firms’ financial decisions including payout, cash balance, and leverage. U.S. public firms have been decreasing their capital investment and increasing their cash payout to shareholders in the past 30 years. This create a concern because these firms are supposed to support economy growth and create jobs. Some commenters would conclude that if public firms payout so much money to shareholders, they would not have enough resource to support economy growth and create jobs. We try to find evidence from the data to support or refute this argument. The data shows that firms that payout a large amount of cash to shareholders do not reduce investment relative to their otherwise similar peers, neither in the short run nor in the long run. We also find that the firms that payout high amount are from industries with declining growth opportunities but the firms themselves are expecting their high profitability and cash flow to persist.

Submitted by Renata Lopes (renatasil82@gmail.com) on 2017-04-20T18:23:07Z No. of bitstreams: 1 laryssaramosamado.pdf: 2344885 bytes, checksum: 4328135ddbd0305fc11aa0bf0f8f8b61 (MD5) / Approved for entry into archive by Adriana Oliveira (adriana.oliveira@ufjf.edu.br) on 2017-04-24T16:50:29Z (GMT) No. of bitstreams: 1 laryssaramosamado.pdf: 2344885 bytes, checksum: 4328135ddbd0305fc11aa0bf0f8f8b61 (MD5) / Made available in DSpace on 2017-04-24T16:50:29Z (GMT). No. of bitstreams: 1 laryssaramosamado.pdf: 2344885 bytes, checksum: 4328135ddbd0305fc11aa0bf0f8f8b61 (MD5) Previous issue date: 2011-08-29 / CNPq - Conselho Nacional de Desenvolvimento Científico e Tecnológico / A presente dissertação tem como objetivos principais a discussão e a análise do uso de técnicas de monitoramento de espectro aplicadas a sistemas PLC, para que a ocupação deste espectro seja explicitada. Neste contexto, diversas técnicas de processamento de sinais e inteligência computacional são utilizadas para extrair e selecionar o menor número de características que sejam mais representativas para detecção, a fim de projetar o melhor e menos complexo detector de sinais a ser utilizado inicialmente na faixa de frequência entre 1,705 e 100 MHz, mas que permita futuras modificações para aplicações na faixa entre 1,705 e 250 MHz. Além disso, o problema de monitoramento de espectro para sistemas PLC é formalizado, e questões de investigação são analisadas tanto para dados simulados em MATLAB quanto para dados medidos em campo. O processo de medição destes dados é descrito e suas características são explicitadas. Finalmente, a análise dos resultados obtidos indica a adequabilidade das técnicas aplicadas ao problema em questão, porém indicam necessidade do aprofundamento desta investigação. Desta maneira, este trabalho consiste em um estudo inicial sobre importantes questões pertinentes ao monitoramento de espectro de sistemas PLC. / This master thesis aims to discuss and analyze the use of spectrum sensing techniques applied to PLC systems, in order to explicit the spectrum occupation. These techniques extract and select the least quantity of the most representative signal features in order to project the best detector that presents the lowest computational complexity. In addition to that, the spectrum sensing problem is formalized, and a few investigation questions are analyzed for both synthetic and measured data. The measurement of PLC signals and their characterization is also exposed. Although the analysis of the attained results indicate that the techniques used are suitable for the examined problems, their further investigation is necessary, in order to better understand the PLC environment and the spectrum sensing issues related to it. This work is, therefore, an initial study about the mentioned matters.

La rationalité parfaite des investisseurs, base de l'hypothèse d'efficience desmarchés, est de plus en plus discutée. Ceci a conduit au développement de la financecomportementale. Le sentiment de marché, qui en est issu, est l'objet de cette étude.Après l'avoir mis en relation avec la rationalité et défini, ses modes de mesure courantset une évaluation de leur capacité à anticiper les rentabilités sont présentés. Ensuite, autravers de deux recherches largement indépendantes, nous (1) montrons de manièreempirique, essentiellement à partir de modèles multi-Agents et d'une modélisation del'impact des chocs d'information sur la distribution des rentabilités, que les skewness etkurtosis de la distribution des rentabilités peuvent être utilisés comme indicateurs dusentiment de marché ; (2) mettons en évidence la présence de mémoire sur de nombreuxindicateurs de sentiment, ce qui invalide les modalités habituelles de leur utilisation,dans le cadre de stratégies contrarian. / The perfect rationality of investors, one of the foundations of theefficient market hypothesis, is increasingly being questioned. This has led to thedevelopment of behavioral finance. Market sentiment, which stems from it, is the focusof this study. Having first linked this concept to rationality and defined it, this studygoes on to present the most common ways of measuring market sentiment and assesstheir ability to anticipate market returns. Then, using two different studies, we do twothings (1) using mainly multi-Agent models and by modeling the impact of informationshocks on the distribution of returns, we empirically show how skewness and kurtosis inthe distribution of returns can be used as market sentiment indicators; (2) wedemonstrate that many standard sentiment indicators are processes affected by long- orshort-Term memory, making them invalid as contrarian indicators even though this ishow they are typically used.

該篇文章中提出一個新的交易方式：條件機率交易模型conditional probability trading model。 這個模型應用了三個主要的基本假設： （1）總體經濟因子和股價指數間有相關性。因此可以透過總經指標來衡量股市應有的合理價位。 （2）股價具有回歸均數的特質。亦即股價一旦過度偏離基本價值，理論上會傾向回復到基本價值之上。 （3）股價指數相對於基本價值線的距離，將會影響偏態係數的大小。 根據以上三個性質，試圖建構出一個能夠捕捉股價指數變動的模型，並用以進行交易模擬，觀察其是否能獲取正報酬。 / The trading strategy, conditional probability trading model(CPTM), is presented in this article. We’ve tried to develop a new trading strategy which is built up by the combination of the properties which includes 1)the relationship between macroeconomic factors and stock market. 2) mean reversion and 3) conditional skewness. The conclusion implies that we may successfully find out a method to combine fundamental and technical analysis, if this method is proved effective. The former hypothesis is assumed that the different level of stock market index may stand for a specific condition of macroeconomic environment. Meanwhile, a better fundamental economic condition could reasonably create a higher stock market index, vice versa. By observing the fundamental value, we can figure out the market ,currently, is over-priced or under-priced. Next, we construct a trading model which is graphed like Bollinger bands. According to specific rules, it provides buying or selling signals. In some special situations, it can also forecast the turning points of the stock market precisely. 3) Skewness also plays a very important role in CPTM, because one of the hypothesis assumes that overpriced /underpriced stock market probably accompanies with left-skewed / right-skewed distribution of daily stock return. The hypothesis of dynamically adjusted skewness implies the concept that over-priced/under-priced stock market has higher propensity to decline/rise. To judge the trading timing is the core value in this model.