Joint QF-STAT PhD Webinars

Speaker: Gabriel Michalache

Title: Sustainable Debt with Long Run Risk

Date/Time: 12 Feb. 2021, Friday, 10:00 AM - 11:00 AM

Abstract: We propose a parsimonious framework for the quantitative evaluation of sustainable debt in emerging markets, by embedding rich fiscal rules and a pricing kernel consistent with key stylized facts, as in Bansal and Yaron (JF, 2004), in the slow-moving debt crisis model of Lorenzoni and Werning (AER, 2019). The model can replicate the importance of a common global factor in spreads and the slow response of primary deficits to debt overhang. The framework supports the design of robust fiscal rules.

Speaker Bio: Gabriel Mihalache is an Assistant Professor of Economics at Stony Brook University since 2016. He was awarded a MSc in Applied Economics in Statistics by Clemson University in 2010 and a PhD in Economics in 2016 by the University of Rochester. His work addresses the causes and consequences of sovereign default risk for the maturity structure of sovereign debt, capital accumulation, and monetary policy.

Speaker: Kevin Maritato

Title: An Introduction to Buffered Probability Distribution Functions

Date/Time: 26 Feb. 2021, Friday, 10:00AM - 11:00AM

Abstract: In this paper we introduce the concept of Buffered Probability Distribution Functions (bPDFs), as the derivative of the inverse of the Conditional Value at Risk (CVaR). We first explore the connection between this value and risk measures such as the Buffered Probability of Exceedance (bPoE). Then we describe three means of calculating the bPDF for a distribution, depending on what is known about the distribution. For functions with a closed-form formula for bPoE, we derive closed-form formulae for bPDF. We also examine using these formulae for parameter estimation using the maximum likelihood method. We then describe a method for deriving a formula for bPDF based on a numerical bPoE (calculated using Portfolio Safeguard software) when there is a closed-form formula for CVaR but no formula for bPoE. Finally, we give a method for numerically calculating bPDF for an empirical distribution, and compare the results of this method to those given by the other methods for known distributions.

Speaker: Haoran Jiang

Title: Modeling and computation of multi-step batch testing for infectious diseases

Date/Time: 26 Mar. 2021, Friday, 10:00AM - 11:00 AM

Abstract: We propose a mathematical model based on probability theory to optimize COVID-19 testing by a multi-step batch testing approach with variable batch sizes. This model and simulation tool dramatically increase the efficiency and efficacy of the tests in a large population at a low cost, particularly when the infection rate is low. The proposed method combines statistical modeling with numerical methods to solve nonlinear equations and obtain optimal batch sizes at each step of tests, with the flexibility to incorporate geographic and demographic information. In theory, this method substantially improves the false positive rate and positive predictive value as well. We also conducted a Monte Carlo simulation to verify this theory. Our simulation results show that our method significantly reduces the false negative rate. More accurate assessment can be made if the dilution effect or other practical factors are taken into consideration. The proposed method will be particularly useful for the early detection of infectious diseases and prevention of future pandemics. The proposed work will have broader impacts on medical testing for contagious diseases in general.

Speaker: Oluyemi Oyeniran

Panelists: Fanni Zhang, Jyh-Ming Shoung, Thomas Bradstreet, Wei Zhao (Detail information)

Title: The Non-Clinical Statistics

Date/Time: 9 Apr. 2021, Friday, 10:00 AM - 11:00 AM

Abstract: We will use this opportunity to introduce to the students the drug development process and how non-clinical statistics are involved in each and every step. After the presentation, we hope the students will have a better understanding of different career paths in the pharmaceutics industry.

Speaker: Mr. Mitch Gao

Title: NIG Process and Its Application in Option Pricing and Interest Rate Models

Date/Time: 26 Mar. 2021, Friday, TBD

Abstract: NIG type time-inhomogeneous Levy process, introduced by Barndorff-Nielsen as a Normal variance-mean mixture with an Inverse Gaussian mixing distribution, have greater flexibility and can model a variety of distributions, making this process one of great interest from a mathematical finance point of view. In this work, we study the NIG option pricing under Esscher transformation and explore its application in term structure of interest rate models.

Speaker: Yizhou Li

Title: Dynamic management of loan portfolios

Date/Time: 7 May 2021, Friday, 10:00 AM - 11:00 AM

Abstract: Dynamic management of loan portfolio is a very important task of bank. A bank can run its capital to investment loans dynamically by stochastic optimization model based on its constraint of asset and liability. At the first step of this task, we improved the accuracy of loan default prediction from LendingClub, a peer-to-pear lending platform, and this default prediction is considered as a binary classification problem. We propose a two-step training model. This model first utilizes feature-wise spline logistic regression with polynomial function to transform features, and then predicts default by logistic regression. We used metrics including the area under the ROC curve (AUC) and accuracy rate for evaluation of this algorithms, and this has been done both in-sample and out-of-sample. The feature-wise spline regression can also be used for feature selection and demonstrate visually the relationship between probability of default and feature. As a result, rather than using massive features with neural network, random forest or any other machine learning classifiers, a simple logistic regression model with a limited number of features will output the best metrics.

Speaker: Mr. Teng Chen (joint presentation with Prof. Pawel Polak and Prof. Stan Uryasev)

Title: Classification and Severity Progression Measure of COVID-19 Patients Using Proteomic and Metabolomic Sera

Date/Time: 11 Sep. 2020, Friday, 10:00 - 11:00 AM EST

Zoom Link: https://stonybrook.zoom.us/j/333315931?pwd=WndYa2thL2lOWjJobm9xd3djc0JXZz09

Abstract: Early detection and effective treatment of severe COVID-19 patients remain one of the major challenges during the current pandemic. Analysis of molecular changes in blood samples of severe patients is one of the promising approaches to this problem. From 75 most relevant proteomic and metabolomic factors selected by Shen et al. (2020), we identify several pairs of factors (some of them after additional nonlinear spline transformation) that are highly effective in classifying severe COVID-19 cases. The performance of these pairs is evaluated in-sample, in a cross-validation exercise, and in an out-of-sample analysis on an independent dataset. Our findings can help medical experts to identify small groups of biomarkers that can be used to construct a cost-effective, short-term test for patients screening and a measure of severity progression.

Speaker: Mr. Pengzhan Guo

Title: Customizable Career Path Recommendation with Multi-Criteria Stochastic Optimization

Date/Time: 9 October 2020, Friday, 10:00 - 11:00 AM EST

Zoom Link: https://stonybrook.zoom.us/j/98544332907?pwd=UHNocExQeXB5blpLajdmZ0h2RVpBQT09

Abstract: Career mobility forecasting and recommendation are important research topics in talent management and people analytics. While existing models mainly focus on short-term one-period recommendation and prediction for job seekers, the long-term customizable career path recommendation (CPR) is a topic that has not been sufficiently investigated. In this project, we propose a generalized model of CPR and investigate related mathematical and economic characteristics from a long-term customizable perspective. The new objective function is capable of delivering personalized long-term career plans while upholding properties corresponding to three common facts among existing literature on job mobility. We then develop an efficient and effective searching algorithm to achieve the optimal solution of CPR based on simulated annealing and Markov chain techniques. We not only show the effectiveness of our method theoretically but also compare it to three different versions of the greedy method that includes the current state-of-the-art method empirically in addressing similar problems. From simulations based on a large real-world dataset, we show consistent results reaffirming the superior performance of our method in recommending optimal career paths based on user-defined criteria.

Speaker: Mr. Yuanchen Huang

Title: Time Varying Parameter Selection with Spike and Slab Prior

Date/Time: 23 October 2020, Friday, 10:00 - 11:00 AM EST

Zoom Link: https://stonybrook.zoom.us/j/98544332907?pwd=UHNocExQeXB5blpLajdmZ0h2RVpBQT09

Speaker: Mr. Ziheng Chen

Title: On Reinforcement Learning and Compressed Sensing

Date/Time: 6 November 2020, Friday, 10:00 - 11:00 AM EST

Zoom Link: https://stonybrook.zoom.us/j/98544332907?pwd=UHNocExQeXB5blpLajdmZ0h2RVpBQT09

Speaker: Xiaoqi Dong

Title: Weighted reduced rank analysis of time varying cointegration vector

Date/Time: 20 November 2020, Friday, 10:00 - 11:00 AM EST

Zoom Link: https://stonybrook.zoom.us/j/333315931?pwd=WndYa2thL2lOWjJobm9xd3djc0JXZz09