VictorJuiz/thesis huggingface dataset:
Statistical Arbitrage Using Limit Order Book Imbalance

This dissertation demonstrates that there is high revenue potential in using limit order book imbalance as a state variable in an algorithmic trading strategy. Beginning with the hypothesis that imbalance of bid/ask order volumes is an indicator for future price changes, exploratory data analysis suggests that modelling the joint distribution of imbalance and observed price changes as a continuous-time Markov chain presents a monetizable opportunity. The arbitrage problem is then formalized mathematically as a stochastic optimal control problem using limit orders and market orders with the aim of maximizing terminal wealth. The problem is solved in both continuous and discrete time using the dynamic programming principle, which produces both conditions for market order execution, as well as limit order posting depths, as functions of time, inventory, and imbalance. The optimal controls are calibrated and backtested on historical NASDAQ ITCH data, which produces consistent and substantial revenue.

Keywords: dynamic programming
limit order book
statistical arbitrage
stochastic optimal control
Advisor: D'Eleuterio, Gabriele M.T.
Jaimungal, Sebastian
A Comparison of the Boldness and Exploratory Behaviours of the Native Virile Crayfish, Orconectes virilis

Invasive species are a major threat to biodiversity and recognizing potential invaders is important for attempting to prevent their spread. There are a number of life history traits that can increase the likelihood that a species will become an invader including rapid growth and high fecundity; however, some behaviours like tendency to explore, boldness and activity can also play a role. In this study I performed several experiments to compare these behaviours in two crayfish species; I compared Orconectes rusticus, a successful invader in Ontario, with its native congener Orconectes virilis, and predicted that O. rusticus would be more active, exploratory, and bold. The results of an emergence test and a simulated predator attack showed that O. rusticus was more exploratory and bold, respectively. Reactions to a novel object showed a similar trend, but were not significantly different. The activity and exploration in an open field test were not conclusive.

Keywords: Behaviour
Boldness
Exploration
Invasion
Invasive Species
Orconectes rusticus
Advisor: Rodd, Helen
Baker, Robert
An MDP-based Coupon Issuing System

We present a system based on the work of Shani et al. [An MDP-based recommender system," Journal of Machine Learning Research, vol. 6, pp. 1265-1295, 2005], who showed that the recommendation process could be modeled as a sequential decision process and that a Markov decision process (MDP) provided an adequate representation of the process. The major addition to our system is that of coupons. Given a set of coupons, and an integer n > 0, our system will issue users a coupon every n purchases. This system determines the optimal coupon to issue each user by analyzing their purchase history and the potential profit made from issuing the coupon. We also present an additional method for determining transition probabilities, a method for updating the system in real-time, and a method for solving our system that is potentially more computationally efficient.

Keywords: machine learning
probabilistic models
recommender systems
Advisor: Murty, Kumar
Wet Processing of Microalgae and Wastewater Biosolids and their use as Substrates for Anaerobic Methane Production

Current microalgae cultivation techniques produce dilute cultures, and high dewatering costs have prevented commercialization of algal fuels. A model was developed to quantify the economic impact of algal biofilm systems. Based on reasonable cost and operating assumptions, biofilm systems can be competitive with current algal cultivation provided the cost-per-area of biofilm growth systems does not exceed 2.7 to 14.1 times the cost of conventional systems. Extraction processes for recovery bioproducts from algae and municipal sludge inevitably produce a fraction of residual biomass after the separation processes. Use of these extraction residues for anaerobic degradation was explored using lab-scale batch fermentations. A 33% and 20% reduction in methane productivity was observed from the sludge and algae extraction residues, respectively, relative to their raw, un-extracted substrates. These results indicate that methane yields from sludge and algae alkaline extraction residues are comparable to their respective raw substrates prior to extraction.

Keywords: Anaerobic Digestion
Biofuels
Biorefinery
Economics
Microalgae
Wastewater Sludge
Advisor: Acosta, Edgar
Cardiorespiratory exercise improves white matter microstructure and processing speed in childhood brain tumour survivors

Tumours of the central nervous system are the most common form of malignant brain tumour in the paediatric population. Childhood brain tumour survivors exhibit long-term impacts of radiation treatment on both brain structure and function, negatively impacting their quality of life. We employed a clinical intervention trial to investigate the effects of exercise on improving white matter microstructure and cognitive functions within this population. Using diffusion tensor imaging and a battery of cognitive tests, we have shown that 12-weeks subsequent to a 12-week (carryover effect) exercise program, improved microstructure is displayed within the inferior longitudinal fasciculus. The carryover effect of exercise also led to improved processing speed. Furthermore, exercising within a group setting was indicative of better WM and processing speed outcomes. Exercise improves brain microstructure and processing speed, and should be employed as a post-treatment intervention for childhood brain tumour survivors to ameliorate deficits caused by past radiation therapy.

Keywords: Cancer
Diffusion Tensor Imaging
Exercise
Paediatric
Processing Speed
White matter
Advisor: Mabbott, Donald J
The Uptake of Active Surveillance for the Treatment of Prostate Cancer in Ontario: Results of a Population-based Study

Active surveillance (AS) has been proposed as a treatment alternative to decrease the overtreatment rates associated with prostate cancer (PCa). However, the proportion of men being managed by this approach in Canada is currently unknown. Therefore, we sought to estimate the proportion of men being managed by AS in Ontario and the factors associated with its uptake. In our population-based study using administrative databases, men with localized PCa were identified using the Ontario Cancer Registry. We then identified how these men were treated. Multi-level mixed models were performed to evaluate the factors associated with being managed by AS. Our analysis confirmed our hypothesis that the uptake of AS increased over time. It also confirmed that the decision to proceed to AS was influenced by several characteristics. The validity of these results might have been affected by some of the study’s limitations. Further studies will be required to validate our findings.

Keywords: Active surveillance
population-based
Prostate Cancer
Treatments
Advisor: Urbach, David
Costing a Publicly Financed Dental Care Pprogram for Uninsured Low-income Ontarians: A Pilot Study

Objectives: To provide a costing framework for and to cost a publicly financed dental program for low-income uninsured Ontarians. Methods: The costing framework includes: 1. Specifying the terms for examining costs; 2. Describing the service baskets; and 3. Identifying resources for program delivery; measuring resource utilization; and attaching a monetary value to resources and services; and 4. Including additional costs. The robustness of the estimates was assessed using sensitivity analyses. Demographic and insurance data were sourced from national surveys. Utilization and expenditure data were sourced from existing local public programs. Results: Eleven of 36 public health units provided data. The cost of providing dental care to uninsured low-income Ontarians was $262 million per year. The cost was $299 million when including additional services for adults. Conclusions: While this study provides the approximate costs of a publicly funded program for uninsured low-income Ontarians, the lack of outcome data prevents a complete cost-effectiveness analysis.

Keywords: Cost
Low-income
Public dental care
Advisor: Quiñonez, Carlos
The Colonization of Educational Lifeworlds: Habermas and the Communicative Process of Teaching and Learning

Jurgen Habermas’ twofold conception of society as both system and lifeworld is an effective conceptual tool to analyses the tension between teaching and learning in the public school classroom and the systemic organization of public education. Communicative action can be seen as an orientation point for pedagogical practice, and this necessitates conceptualizing the classroom as an educational lifeworld subject to systemic pressure. The example of standardized testing as a systems steering mechanism in U.S. public education is explored as a potential “colonization” of the educational lifeworld.

Keywords: colonization
communicative action
communicative rationality
Habermas
lifeworld
Advisor: Misgeld, Dieter
A Multi-port Power Flow Controller for HVDC Networks

This thesis proposes a multi-port converter structure for high-voltage dc (HVDC) applications to facilitate power flow routing between multiple dc networks. Power flow control is achieved via the injection of incremental dc voltages between the networks, thus the converter structure is only rated for a fraction of the rated power and voltage of the connecting dc networks. There are four variants of the structure, each offering unique advantages for deployment. These variants, and the modules that comprise them, are presented. Simulation studies demonstrate three-port bidirectional power flow control between networks of similar voltage. The proposed converter structure is shown to route power between the networks using modules with power ratings on the order of 2-3% of the transmitted power. Thus, the proposed converter structure offers a highly cost-effective means of routing and controlling dc power flows within emerging HVDC grids.

Keywords: dc grid
dc power flow controller
HVDC
Advisor: Lehn, Peter W
Individual Differences and Domain Specific Innovativeness in Online Banking Adoption

This thesis examines attitudes towards online banking in the United States through an online survey of over 300 participants recruited using the Mechanical Turk Crowdsourcing service. I begin by examining the communication preferences inventory (CPI) and validate the three factors that had been found in previous research and propose a shorter 12-item version of the CPI. I then examine predictors of domain-specific innovativeness in the adoption of online banking. The CPI and the TPI (Technology Profile Inventory) are both found to be more predictive than demographic variables, with the TPI being the more strongly predictive of the two. Implications for roll-out strategies for online banking are discussed and prospects for future research on this topic are also considered.

Keywords: Difussion of Technology
Individual Differences
Innovativeness
Online and Mobile Banking
Technology Profile Inventory
User Centered Design
Advisor: Chignell, Mark
Arabinofuranosidase Characterization and Application in Regulating Xylan-Lignin Interactions

Xylan is the second most abundant biopolymer found in plant biomass and has a demonstrated potential to replace petroleum-based products in the materials industry. However, applications of xylan are hindered by the heterogeneous nature of xylan chemistry, as well as a limited understanding of interactions between xylan and other useful biopolymers. In this study three family 62 glycoside hydrolases (GH62) were characterized and preference for different -L-arabinofuranosyl (-L-Araf) substitutions of arabinoxylan was assessed. All three displayed arabinofuranosidase (Abf) activity and released -L-Araf substituents from O-2 and O-3 positions at similar rates. The effect of -L-Araf as well as 4-O-methyl glucuronic acid (MeGlcA) substituents in xylan on xylan-lignin interactions was assessed via quartz crystal microbalance with dissipation (QCM-D). Briefly, xylan adhered to lignin coated surfaces and enzymatic removal of -L-Araf or MeGlcA reduced this interaction.

Keywords: Arabinofuranosidase
Enzyme
Glycoside Hydrolase
Lignin
Xylan
Advisor: Master, Emma R
Fault Ride-through Capability of Grid Integrated Solar Power Plants

Decreasing costs and increasing efficiency of solar panels has led to the emergence of multi-MW Solar Power Plants (SPP). Grid codes now require an SPP to remain connected and provide reactive power support to the grid during a fault. This thesis implements the control system of a 9 MW SPP that provides Fault-Ride-Through (FRT) capability. The control system met the FRT requirements, i.e., rules set by FRT characteristic curve, injects a minimum 2% reactive current for every 1% change in the voltage at the Point of Common Coupling (PCC) and limits the current overshoot of the VSC switches to less than 20%. During a fault, the active power of the SPP is decreased and allows reactive power to be injected into the grid. Simulations verify that the SPP control system met the FRT requirements when providing FRT for symmetrical and asymmetrical faults.

Keywords: Fault Ride-Through
Photovoltaic
Solar Power
Volatge Source Converter
Advisor: Iravani, Reza
Effects of Automatic Target Detection on Detection and Identification Performance

Automatic target detection (ATD) is an aid being developed to support soldiers in combat. Intended to assist detection by highlighting human targets, ATD is imperfect and may cue different target affiliations at varying reliabilities, resulting in a cueing bias that could impact identification. To evaluate the effects of cueing biases in ATD on target detection and combat identification, an experiment was conducted in a simulated combat environment. Illumination within the simulated scenarios was varied as day and night conditions to assess automation reliance as task difficulty changed. Target detection rate was found to increase when ATD was available. ATD resulted in the greatest improvement relative to the no aid condition at night. Cueing bias affected identification as well. Participants shifted their decision criterion appropriately, though not optimally, for targets cued and missed by the ATD. Participants relied on ATD differently for detection and identification, but improved performance on both tasks.

Keywords: Cognitive Engineering
Human Automation Interaction
Human Factors
Military
Signal Detection Theory
Advisor: Jamieson, Greg A
Hollands, Justin G
Ferric Sulphate Leaching of Pyrrhotite Tailings

The present study investigates the potential to recover nickel from pyrrhotite tailings produced at the smelting operations of Vale in Sudbury, Ontario. Leaching tests were performed in acidic ferric sulphate media with 0.14 wt.% solids. The temperature was varied between 30 °C and 55 °C, and the ferric concentration was in a range 0.02- 0.3 M. The shrinking core model (SCM) was applied on the nickel extraction data. The dominant reaction mechanism was found to be diffusion control. The Arrhenius plot yielded an activation energy of Ea=62.12 kJ/mol based on apparent reaction rates obtained by the SCM. The reaction order with respect to ferric ion was found to be 1.0 at the high concentration range. SEM images of partially leached tailings confirmed the presence of elemental sulphur around the pyrrhotite particles, which was responsible for the observed non-linear leaching kinetics (diffusion control).

Keywords: Hydrometallurgy
Advisor: Papangelakis, Vladimiros G.
Design, Construction, and Testing of a 1:5 Scale, Externally Post-tensioned, Segmental, Double T Bridge

A 1:5 scale model of an externally post-tensioned, segmental, double-T bridge was designed, built, and tested. The behaviour of the model was observed under sustained, eccentric, and concentric loads. The capacity of the model to distribute the longitudinal flexural moment between the webs under eccentric load was compared to predictions. The capacity for load distribution was greater than predicted and improved significantly after the eccentrically loaded web cracked. The behaviour of the model at ultimate limit state was compared to first- and second-order predictions and to simplified predictions of failure load. The observed results corresponded closely to the predicted second-order behaviour. The model exhibited extensive pseudo-ductility before failure. The forces in the post-tensioning were monitored, and one tendon was monitored further to determine the effects of friction in the deviators on the stress in the post-tensioning.

Keywords: Post-tensioned
Bridge
Scale
Segmental
Double T
Advisor: Gauvreau, D. Paul
Investigation of Neuroplasticity in Parkinson's Disease Patients with Chronic Deep-brain Stimulation

Deep-­brain stimulation (DBS) of the subthalamic nucleus (STN) is a remarkable surgical therapy for advanced Parkinson’s disease (PD), but its therapeutic mechanisms of action are poorly understood. Transcranial magnetic stimulation (TMS) can be used to non-invasively examine associative cortical plasticity, which was deficient in PD patients. TMS can also be used to study the cortical effects of DBS, and a growing body of evidence suggests primary motor cortex (M1) activation by STN-­DBS may be related to its clinical effects in PD. This thesis employed a novel approach to investigate associative plasticity between the basal ganglia and motor cortex by pairing STN-­DBS and M1-­TMS in PD patients. Our results demonstrate that coincident activation of the M1 by TMS and STN stimulation result in long-­lasting cortical excitability changes according to associative plasticity principles. This is a novel demonstration of plasticity between the STN and M1 in PD patients on dopaminergic medication.

Keywords: Parkinson's disease
plasticity
transcranial magnetic stimulation
paired associative stimulation
neurophysiology
basal ganglia
motor cortex
deep brain stimulation
Advisor: Chen, Robert
Functional Consequences of Embryonic Stem Cell-Specific Alternative Splicing

Alternative splicing (AS) is a powerful mechanism for the generation of functional and regulatory diversity. It is present in transcripts from 95% of human multi-exon genes and often co-ordinately regulated in development across large exon networks. In particular, embryonic stem cells (ESCs) exhibit a large number of cell type-specific AS events, and many of these have been shown to be necessary for normal regulation of ESC identity. Here, I present the characterization of a novel such event in the chromatin regulatory cofactor, metastasis-associated factor 1 (MTA1). This event produces an evolutionarily conserved, ESC-specific isoform of MTA1, MTA1-ES, which, unlike canonical Mta1, appears to strongly inhibit differentiation of mouse ESCs, and repress expression of genes involved in development.

Keywords: alternative splicing
differentiation
embryonic stem cells
Mta1
Advisor: Blencowe, Benjamin J
Genetic Predictors of Intellectual and White Matter Outcome in Pediatric Brain Tumor Patients

Advances in cancer treatment in the last thirty years have led to radically improved long-term survival rates for pediatric brain tumor patients. However, many of these children develop long-term neuropsychological deficits as a result of treatment. There exists a large variability in post-treatment outcome, such that certain patients develop long-term functional deficits while others do not. While current research has elucidated the negative effects of treatment on brain structure and function in these patients, little is known about genetic factors that may predict better or worse outcome following treatment. We explored the relationship between targeted genetic polymorphisms and treatment-related outcome in a sample of pediatric brain tumor patients. Using a machine learning algorithm, we identified five peroxisomal proliferator-actiavted receptor (PPAR) polymorphisms significantly associated with changes in intellectual outcome in these patients. Our findings suggest that having a variant allele of these polymorphisms predicts worse intellectual outcome following treatment.

Keywords: medulloblastoma
neurotoxicity
pediatric brain tumors
PPAR
random forest
treatment outcome
Advisor: Mabbott, Donald J
Characterization of the Cellular Stress Response in Skeletal Muscle Following Lengthening Contractions

The cellular stress response (CSR) was investigated in skeletal muscle following lengthening contractions (LCs). Rat tibialis anterior (TA) muscle was subjected to 20, 40 or 60 LCs and removed at 0, 1, 3, or 24 hours after LCs to be analyzed for muscle damage, HSP content, and HSF activation. Hsp72 content was elevated 24 hours after 20 LCs (2.34±0.37, p

Keywords: cellular stress response
heat shock factors
heat shock proteins
lengthening contractions
muscle damage
skeletal muscle
Advisor: Locke, Marius
Structure and Dynamics of Elastin Cross-linking Domains

The secondary structure of elastin cross-linking domains has been shown to be sequence and context dependent, but the role of these domains in the function of elastomeric proteins remains unclear. We use molecular dynamics simulations (MD), circular dichroism spectroscopy (CD), and nuclear magnetic resonance to probe the conformational equilibria of model elastin-like cross-linking peptides. We tested four recently developed force fields using MD to select the one that best reproduces the amount of alpha-helix seen in CD. Simulation studies of the aggregative properties of the cross-linking domains found that they occasionally interact, but not in any specific way. Additionally, multifaceted studies of biphasic systems show that these domains do not partition preferentially into or on the interface of a hydrophobic surface. Further experiments on constructs of cross-linking and hydrophobic domains will help elucidate how cross-linking modulates the self-assembly and mechanical properties of elastomeric proteins.

Keywords: cross-linking
elastin
molecular dynamics simulations
nuclear magnetic resonance
protein aggregation
structural disorder
Advisor: Sharpe, Simon J
Pomès, Régis
Improving the Performance of Monocular Visual Simultaneous Localisation and Mapping through the use of a Gimballed Camera

In this thesis modern vision based localisation methods are discussed and contrasted with existing satellite based approaches. Shortcomings are noted and potential solutions are highlighted. A novel method of using a gimballed camera to perform visual Simultaneous Localisation and Mapping (SLAM) is proposed, along with a control algorithm to point the camera toward feature dense regions. This method is then modularly coupled with existing visual SLAM techniques allowing seamless integration across different platforms. Ground tests are performed to verify operation of the gimbal controller and rotation inverser. Results from experimental flight tests are incorporated as a final means of obtaining information to verify gimbal operation.

Keywords: Computer Vision
Gimballed
GNSS
Kalman Filter
SLAM
UAV
Advisor: Liu, Hugh H.T.
Bolandhemmat, Hamidreza