Search results for: Netra Kanaal

2 An Empirical Study of the Best Fitting Probability Distributions for Stock Returns Modeling

Authors: Jayanta Pokharel, Gokarna Aryal, Netra Kanaal, Chris Tsokos

Abstract:

Investment in stocks and shares aims to seek potential gains while weighing the risk of future needs, such as retirement, children's education etc. Analysis of the behavior of the stock market returns and making prediction is important for investors to mitigate risk on investment. Historically, the normal variance models have been used to describe the behavior of stock market returns. However, the returns of the financial assets are actually skewed with higher kurtosis, heavier tails, and a higher center than the normal distribution. The Laplace distribution and its family are natural candidates for modeling stock returns. The Variance-Gamma (VG) distribution is the most sought-after distributions for modeling asset returns and has been extensively discussed in financial literatures. In this paper, it explore the other Laplace family, such as Asymmetric Laplace, Skewed Laplace, Kumaraswamy Laplace (KS) together with Variance-Gamma to model the weekly returns of the S&P 500 Index and it's eleven business sector indices. The method of maximum likelihood is employed to estimate the parameters of the distributions and our empirical inquiry shows that the Kumaraswamy Laplace distribution performs much better for stock returns modeling among the choice of distributions used in this study and in practice, KS can be used as a strong alternative to VG distribution.

Keywords: stock returns, variance-gamma, kumaraswamy laplace, maximum likelihood

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1 Metabolic Pathway Analysis of Microbes using the Artificial Bee Colony Algorithm

Authors: Serena Gomez, Raeesa Tanseen, Netra Shaligram, Nithin Francis, Sandesh B. J.

Abstract:

The human gut consists of a community of microbes which has a lot of effects on human health disease. Metabolic modeling can help to predict relative populations of stable microbes and their effect on health disease. In order to study and visualize microbes in the human gut, we developed a tool that offers the following modules: Build a tool that can be used to perform Flux Balance Analysis for microbes in the human gut using the Artificial Bee Colony optimization algorithm. Run simulations for an individual microbe in different conditions, such as aerobic and anaerobic and visualize the results of these simulations.

Keywords: microbes, metabolic modeling, flux balance analysis, artificial bee colony

Procedia PDF Downloads 64