...Business Analytics- * Exploring data to find new patterns and relationships (data mining) * Explaining why a certain result occurred (statistical analysis, quantitative analysis) * Experimenting to test previous decisions (A/B testing, multivariate testing) * Forecasting future results (predictive modeling, predictive analytics) Answers the Important Questions Such As: -Why did it happen? Will it happen again? What will happen if we change x? What else does the data tell us that never thought to ask? By Using: Statistical/Quantitative Analysis Data Mining Predictive Modeling Multivariate Testing Microsoft Excell- Microsoft Excel is a spreadsheet application . It features calculation, graphing tools, pivot tables, and a macro programming language called Visual Basic for Applications. It has been a very widely applied spreadsheet for these platforms, SAS- SAS is a software suite developed by SAS Institute for advanced analytics, business intelligence, data management, and predictive analytics. It is the largest market-share holder for advanced analytics. SAS is a software suite that can mine, alter, manage and retrieve data from a variety of sources and perform statistical analysis on it. It is widely used in insurance, public health, scientific research, finance, human resources, IT, utilities, and retail, and is used for operations research, project management, quality improvement, forecasting and decision-making. JMP Pro- JMP is used...
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...NBER WORKING PAPER SERIES FINANCIAL RISK MEASUREMENT FOR FINANCIAL RISK MANAGEMENT Torben G. Andersen Tim Bollerslev Peter F. Christoffersen Francis X. Diebold Working Paper 18084 http://www.nber.org/papers/w18084 NATIONAL BUREAU OF ECONOMIC RESEARCH 1050 Massachusetts Avenue Cambridge, MA 02138 May 2012 Forthcoming in Handbook of the Economics of Finance, Volume 2, North Holland, an imprint of Elsevier. For helpful comments we thank Hal Cole and Dongho Song. For research support, Andersen, Bollerslev and Diebold thank the National Science Foundation (U.S.), and Christoffersen thanks the Social Sciences and Humanities Research Council (Canada). We appreciate support from CREATES funded by the Danish National Science Foundation. The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research. NBER working papers are circulated for discussion and comment purposes. They have not been peerreviewed or been subject to the review by the NBER Board of Directors that accompanies official NBER publications. © 2012 by Torben G. Andersen, Tim Bollerslev, Peter F. Christoffersen, and Francis X. Diebold. All rights reserved. Short sections of text, not to exceed two paragraphs, may be quoted without explicit permission provided that full credit, including © notice, is given to the source. Financial Risk Measurement for Financial Risk Management Torben G. Andersen, Tim Bollerslev, Peter F. Christoffersen, and...
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...estimation and hypothesis testing parameters Also described, including the next two sample cases, when the purpose of comparing two or more of the population For their means and variances. Secondly, non-parametric inference tests are also described in the case where the data Sample distribution is not compatible with standard parameter distribution. Thirdly, using multiple resampling methods Computer -generated random sample finally introduced the characteristics of the distribution and estimate Statistical inference. The method of multivariate data processing of the following sections involved. method Clinical trials also briefly review process. Finally, the last section of statistical computer software discussion And through the collection of citations to adapt to different levels of expertise, and to guide readers theme. In this article, there are some methods such as descriptive statistic, probablity distruction, possion ditruction and multivariate methods. For the descriptive statistic, they are tabular, graphical and Numerical Methods basic characteristics of the sample It can be described. While these methods may be the same Used to describe the entire group, they more...
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...International Journal of Energy Economics and Policy Vol. 3, No. 1, 2013, pp.51-59 ISSN: 2146-4553 www.econjournals.com An Investigation of Some Hedging Strategies for Crude Oil Market Andre Assis de Salles Industrial Engineering Department Polytechnic School, Federal University of Rio de Janeiro, Rio de Janeiro, Brazil. Email: as@ufrj.br ABSTRACT: This paper examines the performance of bivariate volatility models for the crude oil spot and future returns of the WTI type barrel prices. Besides the volatility of spot and future crude oil barrel returns time series, the hedge ratio strategy is examined through the hedge effectiveness. Thus this study shows hedge strategies built using methodologies applied in the variance modelling of returns of crude oil prices in the spot and future markets, and covariance between these two market returns, which correspond to the inputs of the hedge strategy shown in this work. From the studied models the bivariate GARCH in a Diagonal VECH and BEKK representations was chosen, using three different models for the mean: a bivariate autoregressive, a vector autoregressive and a vector error correction. The methodologies used here take into consideration the denial of assumptions of homoscedasticity and normality for the return distributions making them more realistic. Keywords: Volatility Models; Future Markets; Hedge Ratio; Hedge Effectiveness; Crude Oil Market JEL Classifications: C32; G15; Q40 1. Introduction All countries consume crude...
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...Academy of Management Journal 2009, Vol. 52, No. 3, 527–544. CHANGE IN NEWCOMERS’ SUPERVISOR SUPPORT AND SOCIALIZATION OUTCOMES AFTER ORGANIZATIONAL ENTRY MARKKU JOKISAARI Finnish Institute of Occupational Health JARI-ERIK NURMI University of Jyväskylä Using a four-wave longitudinal research design and a latent growth modeling approach, we modeled change in newcomers’ perceived supervisor support and socialization outcomes (role clarity, work mastery, job satisfaction, and salary). Further, the role of perceived supervisor support in socialization outcomes was examined. The results showed that, on average, newcomers’ perceived supervisor support declined during the period 6–21 months after organizational entry. The results showed further that the steeper the decline in perceived supervisor support, the greater the rate of decrease in role clarity and job satisfaction, and the slower the increase in salary over time. Organizational socialization is an important process for both newcomers and organizations. How newcomers “learn the ropes” and assimilate to an organization during this socialization process presumably has long-lasting effects on their job attitudes and behavior (e.g., Schein, 1978; Wanous, 1992). A pivotal assumption in the organizational socialization literature is that interaction between newcomers and organizational insiders, such as supervisors, plays an important role in newcomers’ socialization and related adjustment to work (e.g., Graen, 1976; Louis...
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...Faculty of Business and Economics A comparison of two-stage segmentation methods for choice-based conjoint data: a simulation study Marjolein Crabbe, Bradley Jones and Martina Vandebroek DEPARTMENT OF DECISION SCIENCES AND INFORMATION MANAGEMENT (KBI) KBI 1109 A Comparison of Two-Stage Segmentation Methods for Choice-Based Conjoint Data: A Simulation Study Marjolein Crabbe Bradley Jones Martina Vandebroek Abstract Due to the increasing interest in market segmentation in modern marketing research, several methods for dealing with consumer heterogeneity and for revealing market segments have been described in the literature. In this study, the authors compare eight two-stage segmentation methods that aim to uncover consumer segments by classifying subject-specific indicator values. Four different indicators are used as a segmentation basis. The forces, which are subject-aggregated gradient values of the likelihood function, and the dfbetas, an outlier detection measure, are two indicators that express a subject’s effect on the estimation of the aggregate partworths in the conditional logit model. Although the conditional logit model is generally estimated at the aggregate level, this research obtains individual-level partworth estimates for segmentation purposes. The respondents’ raw choices are the final indicator values. The authors classify the indicators by means of cluster analysis and latent class models. The goal of the study is to compare the segmentation performance...
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...presented in order to motivate the main results. A continuous time specification provides the theoretical foundation for the main results in this literature. Cases with and without microstructure noise are considered, and it is shown how microstructure noise can cause severe problems in terms of consistent estimation of the daily realized volatility. Independent and dependent noise processes are examined. The most important methods for providing consistent estimators are presented, and a critical exposition of different techniques is given. The finite sample properties are discussed in comparison with their asymptotic properties. A multivariate model is presented to discuss estimation of the realized covariances. Various issues relating to modelling and forecasting realized volatilities are considered. The main empirical findings using univariate and multivariate methods are summarized. Keywords Continuous time processes; Finance; Financial econometrics; Forecasting; High frequency data; Quadratic variation; Realized volatility; Risk; Trading rules. JEL Classification C13; C14; C22; C53. 1. INTRODUCTION Given the rapid growth in financial markets and the continual development of new and more complex financial instruments,...
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...A Comparison of Markov Based Logistic Model Determining the Risk Factors of Health Conditions for Old Aged American People By ASEK MD. SUZAUDDIN Abstract: Markov model are expedient and very serviceable method for analyzing longitudinal or categorical data. This method play an important role in various fields to explain the dependence pattern of a time series over a period of time and to predict the future course of process behavior by its investigative and prognostic power. Health and Retirement Survey (HRS) data, an ongoing longitudinal survey that interviews a national sample of persons born between the years 1931 and 1941at two year intervalsWe discussed two discrete time markov models proposed by Muenz-Rubinstein and Azzalini respectively for the HRS dataset and fit this two models considering health conditions as a dependent variable. We also estimate the efficiency for the two fitted model and compare the models on the basis of the results. This study fits the two models and compare them on the basis of their efficiencies. In here we fit those models for the Health conditions of the old peoples and obtain the efficiencies for both models and found that the estimate of Azzalini’s model is more efficient than that of Muenz-Rubinstein model. 1. Introduction Longitudinal data...
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...professional data manipulation and statistical modeling analysis to dealing with practical problems, which encourage me to pursue a higher degree in Statistics. Because some useful statistics topic in my undergraduate education were either only brought up for a definition or not covered, besides the missing value imputation method, the graphical Markov models, fixed and random effects, and variance analysis are also some of the topics I wish to learn in my graduate study. Besides advanced statistical methodology, I am particularly motivated to develop the links between statistics and computer science, although I have made every effort in studying Statistic software, like SPSS, Eviews, and Clementine, and I use my spare time learning R and C language by myself, I think there is still long way to go. I plan to further improve my programming ability, especially the options and programming techniques I didn’t know before, like the combination of C++ and R will make the loop in R run faster. With the huge amounts of data collected in the worldwide everywhere in every second, the marriage of theories, the effective methodology of numerical analysis and computer science becomes more urgent and important than ever. I believe a good statistician need also be a good programmer. So a university that emphasize statistical methodology and statistical programming is perfect fit my goal. And I found the Master of Science with a Major in Applied Statistics in MSU is the one. I have built...
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...3 The Effects of Marketing Mix Elements on Brand Equity* Edo Rajh** Abstract The structural model of the effects of marketing mix elements on brand equity is defined in line with the existing theoretical findings. Research hypotheses are defined according to the identified structural model. In order to test the defined structural model and research hypotheses empirical research was conducted on the sample of undergraduate students of the Faculty of Economics and Business in Zagreb. Research results indicate that the structural model has an acceptable level of fit to the empirical data. The estimated structural coefficients and indirect effect coefficients indicate the direction and intensity of effects of each analysed element of marketing mix on brand equity. Finally, implications of research results for the theory and practice of brand management are analysed and discussed. Keywords: brand equity, brand, strategic brand management, marketing mix JEL classification: M31 * This paper was originally published in Privredna kretanja i eknomska politika (Economic Trends and Economic Policy) No. 102, 2005, pp. 30-59. ** Edo Rajh, Research Associate, The Institute of Economics, Zagreb. Croatian Economic Survey 2005 53 1 Introduction The concept of brand equity was first introduced in marketing literature in the 1980’s. During the 90’s this topic received significant attention from both scientists and marketing practice, which resulted in a large number of articles and books...
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...Statistics, University of Sydney, 1991Visiting Associate Professor, Department of Statistics, University of Connecticut, 1969-1970. Visiting Associate Professor, Department of Statistics, University of Waterloo, Canada, 1975-1976. Visiting Lecturer, Department of Statistics, University of California, Berkeley, 1979-1980. Visiting Associate Professor, Department of Statistics, University of Rochester, NY, 1986, January-July. Administration: Head of Department of Mathematical Statistics, University of Sydney, Jan-June, 1979; Sept. 1983-Dec. 1985; January 1988-December 1989. Head of School of Mathematics and Statistics, University of Sydney, Jan, 2001-Dec, 2002 1 Research Interests Asymptotic methods in statistics, resampling methods, multivariate analysis, modelling in biology. Post-graduate supervision: Doctoral Theses: M.E. O’NEIL, (1975) ”Problems in...
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...Administration at the Harvard Business School, and Koen Pauwels is Professor at Ozyegin University, Istanbul, Turkey. 1 Do Display Ads Influence Search? Attribution and Dynamics in Online Advertising Abstract As firms increasingly rely on online media to acquire consumers, marketing managers feel comfortable justifying higher online marketing spend by referring to online metrics such as click‐through rate (CTR) and cost per acquisition (CPA). However, these standard online advertising metrics are plagued with attribution problems and do not account for dynamics. These issues can easily lead firms to overspend on some actions and thus waste money, and/or underspend in others, leaving money on the table. We develop a multivariate time series model to investigate the interaction between paid search and display ads, and calibrate the model using data from a large commercial bank that uses online ads to acquire new checking account customers. We find that display ads significantly increase search conversion. Both search and display ads also exhibit significant...
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...Volatility Forecasting Candidate number: Abstract This paper constructs a hedged portfolio with a long positon in S&P 500 index and a short position in FTSE 100 index. To calculate the time-varying hedge ratio, we use four methods, rolling window, EWMA, GARCH model and B-S model. Firstly, we explain the methods we used, including the assumptions, formulas and implications. Also, we implement the methods in the Excel to get the value of hedge ratios. Finally, we show the advantages and disadvantages of every method by comparing between every two methods. We evaluate the methods both in theory and practical application. Introduction: We want to hold a long position in S&P 500 index, at the same time we want to minimum-variance. As this reason, we introduce to hedge the long position in S&P 500 index with a short position in the FTSE 100 index. We suppose that the return on the hedged portfolio is: rp,t=rS&P-htrFTSE Then the variance of hedged profile will be: δF2=δS&P2+h2δFTSE2-2hδS&P,FTSE If we want to minimum the variance of the hedged portfolio, we must derivate of h in this function and let the equal to zero. Where ht is the time-varying hedge ratio, given by: ht=δS&P,FTSE,tδS&P2 Because we want to get the result only focus on the two-index, we ignore the currency flotation by assume that the currency rate is perfectly hedged. At very beginning, risk manager have assumed that the volatility is constant...
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...International Review of Business Research Papers Vol.3 No.2 June 2007, Pp. 362 - 375 362 Stock Return Volatility in Emerging Equity Market (Kse): The Relative Effects of Country and Global Factors Mohammad Faisal Rizwan* and Safi Ullah Khan** This paper focuses on the role of macroeconomic variables and global factors on the volatility of the stock returns in an emerging market like Pakistan. The paper uses two multivariate models, multivariate EGARCH and Vector Auto Regressive (VAR) models to investigate the effect of exchange rate, interest rate, industrial production, money supply, Morgan Stanley Capital International (MSCI) World Index and 6-months LIBOR on stock prices in Pakistan’s equity market. The estimate shows that domestic macroeconomic variables have varying degrees of importance in explaining the relationship between stock returns and volatility in Karachi Stock Exchange. The empirical results also show that the two global factors, MSCI World Index and 6-months LIBOR, variables used in this paper explain the stock returns in KSE. An important conclusion drawn from the results is that macroeconomic variables exhibit asymmetric effects on returns volatility. Overall, the results show that Pakistan’s stock market is partially integrated as shown by the significant role of both country and global factors. Field of Research: Finance 1. Introduction Studies on the link between macroeconomic variables and stock returns are broadly divided into two groups based on...
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...Linking Customer and Employee Satisfaction to the Bottom Line Also Available from ASQ Quality Press: Analysis of Customer Satisfaction Data Derek R. Allen and Tanniru R. Rao Customer Centered Six Sigma: Linking Customers, Process Improvement, and Financial Results Earl Naumann and Steven H. Hoisington Customer Satisfaction Measurement Simplified: A Step-by-Step Guide for ISO 9001:2000 Certification Terry G. Vavra Improving Your Measurement of Customer Satisfaction: A Guide to Creating, Conducting, Analyzing, and Reporting Customer Satisfaction Measurement Programs Terry G. Vavra Measuring Customer Satisfaction: Survey Design, Use, and Statistical Analysis Methods, Second Edition Bob E. Hayes The Trust Imperative: Performance Improvement through Productive Relationships Stephen Hacker and Marsha Willard Customer Satisfaction Measurement and Management Earl Naumann and Kathleen Giel Performance Measurement Explained: Designing and Implementing Your State-of-the-Art System Bjørn Andersen and Tom Fagerhaug Value Leadership: Winning Competitive Advantage in the Information Age Michael C. Harris To request a complimentary catalog of ASQ Quality Press publications, call 800-248-1946, or visit our Web site at http://qualitypress.asq.org . Linking Customer and Employee Satisfaction to the Bottom Line A Comprehensive Guide to Establishing the Impact of Customer and Employee Satisfaction on Critical Business Outcomes Derek R. Allen and Morris...
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