VictorJuiz/thesis huggingface dataset:
Topics in Dynamic Portfolio Choice Problems

We study two important generalizations of dynamic portfolio choice problems: a portfolio choice problem with market impact costs and a portfolio choice problem under the Hidden Markov Model./nIn the first problem, we allow the presence of market impact and illiquidity. Illiquidity and market impact refer to the situation where it may be costly or difficult to trade a desired quantity of assets over a desire period of time. In this work, we formulate a simple model of dynamic portfolio choice that incorporates liquidity effects. The resulting problem is a stochastic linear quadratic control problem where liquidity costs are modeled as a quadratic penalty on the trading rate. Though easily computable via Riccati equations, we also derive a multiple time scale asymptotic expansion of the value function and optimal trading rate in the regime of vanishing market impact costs. This expansion reveals an interesting but intuitive relationship between the optimal trading rate for the illiquid problem and the classical Merton model for dynamic portfolio selection in perfectly liquid markets. It also gives rise to the notion of a liquidity time scale. Furthermore, the solution to our illiquid portfolio problem shows promising performance and robustness properties./nIn the second problem, we study dynamic portfolio choice problems under regime switching market. We assume the market follows the Hidden Markov Model with unknown transition probabilities and unknown observation statistics. The main difficulty of this dynamic programming problem is its high-dimensional state variables. The joint probability density function of the hidden regimes and the unknown quantities is part of the state variables, and this makes the problem suffer from the curse of dimensionality. Though the problem cannot be solved by any standard fashions, we propose approximate methods that tractably solve the problem. The key is to approximate the value function by that of a simpler problem where the regime is not hidden and the parameters are observable (the C-problem). This approximation allows the optimal portfolio to be computed in a semi-explicit way. The approximate solution shares the same structure with the solution of C-problem, but at the same time it provides clear insight into the unobservable extension. In addition, the performance of the proposed methods is reasonably close to the upper-bound obtained from the information relaxation problem.

Advisor: Lim, Andrew E.B.
Theorizing the ghetto: The intersection of resources, psychology, and oppression in the construction of Black identity and consciousness

Abstract/nThis dissertation examines the structural, political and ideological processes associated with the historical transformation of Compton from a White suburb to a Black ghetto. It addresses the structured racism that kept the city divided despite the class status and achievements of early Black residents. In this study, I examine the history of resource allocation and expenditures, and how resources were mismanaged and misused to the detriment of Compton and its residents./nUsing qualitative interviews of 20 African-Americans who grew up in Compton and attended neighborhood schools, and a quantitative analysis of demographic shifts alone side resource changes, this study theorizes the complex ways in which resources, psychology, and identity interplay in the creation of the ghetto and ultimately underachievement. The major findings were that White ideology of Black inferiority structured much of the history of Blacks in Compton. Resistance to the label of inferiority burdened Compton's middle-class Blacks as they tried every effort to assimilate. Whites had imagined Blacks as inferior and segregated them, discriminated against them, and committed to their failure. Many Blacks ultimately answered the call of inferiority through the process of interpellation, and began to accommodate Whites - and indeed perpetuate the ghetto./nThe last finding was that Black Comptonites operated under a complex process of structuring, restructuring, silencing their behavior through, what I term, fourth-person consciousness. Through this consciousness, Blacks demonstrated contradictory positioning, (re)humanization of the space, evasion, and a double-bind of (unequal) opportunity. This was a pointed effort to resist the stereotypes projected on to Compton.

Advisor: Parker, Lynette
High-Resolution μECoG: Design, Fabrication, and Applications

Since the early 1950s, electrocorticography (ECoG), the measurement of electrical potentials on the surface of the brain has become an invaluable tool in neurosurgery for the localization of epileptic foci before resection. The ECoG electrodes used in clinical practice are made in an archaic serial process that involves hand-soldering wires to a stiff, coarse grid of electrodes with a spatial resolution >1 cm, and a tangle of transcranial wires. In this thesis we report a modern microfabrication process based on photolithographic patterning of conductor thin films and of Parylene C, a biocompatible, transparent polymer. We used that process to make very thin and flexible ECoG arrays with electrode densities exceeding those of their clinical counterparts by more than two orders of magnitude, and addressed interconnect and noise performance issues. We constructed devices with multiple interconnected conductor layers, and used transparent conductors for integration of ECoG with optical neural stimulation techniques. Moreover, we developed a microscale ECoG with integrated loop antenna for a fully implantable, wireless system./nTo show that such high-resolution devices have practical utility, we conducted acute and chronic in vivo studies in rats. We found that sufficiently small ECoG electrodes were able to register superficial multi-unit activity. We computed high-resolution tonotopic maps of the auditory cortex in anesthetized rats, and demonstrated that functional mapping using signal power in the 70 Hz - 170 Hz band (high-&gamma) is consistent with but much quicker and often more robust than functional mapping using action potentials recorded intracortically with penetrating electrodes. Finally we demonstrated that &muECoG can serve as a less invasive alternative to penetrating electrodes in a brain-machine interface (BMI) paradigm by training awake behaving rats, chronically implanted with &muECoG, to perform a 1D center-out task with auditory feedback by differentially modulating the high-&gamma signal on electrodes separated by as little as 200 &mum.

Advisor: Maharbiz, Michel M
Carmena, Jose M
Three Fingered Jack: Productively Addressing Platform Diversity

Moore's Law has given the application designer a large palette of potential computational substrates. The application designer can potential map his or her application onto specialized task-specific accelerators for either energy or performance benefits; however, the design space for task-specific accelerators is large. At one extreme is the conventional microprocessor, easy to program but relatively low-performance and energy inefficient. At the other extreme is custom, fixed-function hardware crafted solely for a given task. Studies have reported energy-efficiency gains using fixed-function hardware from 2× to 100× over programmable solutions. If we wish to evaluate this design space we need prototypes for the elements of it; however, constructing functional prototypes for each hardware substrate is a daunting prospect. This is because each implementation target requires a radically different set of programming and design tools./nTo address the challenges of mapping applications across a broad range of targets, this thesis presents Three Fingered Jack. Three Fingered Jack is a highly productive approach/nto generating applications that run on multicore CPUs or data-parallel processors. Three Fingered Jack also integrates a high-level hardware synthesis engine that has the ability to generate custom hardware implementations. Three Fingered Jack applies dependence analysis and reordering transformations to a restricted set of Python loop nests to uncover parallelism. By exploiting data parallelism, Three Fingered Jack allows the programmer to use the same Python source to target all three supported platforms. It exploits this parallelism on CPUs and vector-thread processors by generating multithreaded code with short-vector instructions. The high-level hardware synthesis engine uses the parallelism found by the system to both exploit memory-level parallelism and automatically generate multiple parallel processing engines./nOn a 3.4 GHz Intel i7-2600 CPU, Three Fingered Jack generated software solutions that obtained performance between 0.97-113.3× of hand-written C++ across four kernels and two applications. Over four kernels, Three Fingered Jacks high-level synthesis results are between 1.5-12.1× faster than an optimized soft-core CPU on a Zynq XC7Z020 FPGA. When evaluated in a 45nm ASIC technology, the results of Three Fingered Jacks high-level/nsynthesis system is 3.6× more efficient than an optimized scalar processor on the key kernels used in automatic speech recognition. On the same speech recognition kernels, the hardware results are 2.4× more energy efficient than a highly optimized data-parallel processor.

Advisor: Keutzer, Kurt
The Dilemma of Obedience: Persecution, Dissimulation, and Memory in Early Modern England, 1553-1603

This study examines the problem of religious and political obedience in early modern England. Drawing upon extensive manuscript research, it focuses on the reign of Mary I (1553-1558), when the official return to Roman Catholicism was accompanied by the prosecution of Protestants for heresy, and the reign of Elizabeth I (1558-1603), when the state religion again shifted to Protestantism. I argue that the cognitive dissonance created by these seesaw changes of official doctrine necessitated a society in which religious mutability became standard operating procedure. For most early modern men and women it was impossible to navigate between the competing and contradictory dictates of Tudor religion and politics without conforming, dissimulating, or changing important points of conscience and belief. Although early modern theologians and polemicists widely declared religious conformists to be shameless apostates, when we examine specific cases in context it becomes apparent that most individuals found ways to positively rationalize and justify their respective actions./nThis fraught history continued to have long-term effects on England's religious, political, and intellectual culture. Therefore, this study also traces the ways in which the official commemoration of religious conflict, with its emphasis on a romanticized past of martyrdom and resistance, often contrasted sharply with the remembered history of capitulation and conformity. The decisions and rationalizations made during the Marian persecution did not simply disappear after Elizabeth's accession, but continued to fundamentally shape the collective memory of early modern English society.

Advisor: Shagan, Ethan
Low-Dimensional Models for PCA and Regression

This thesis examines two separate statistical problems for which/nlow-dimensional models are effective./nIn the first part of this thesis, we examine the Robust Principal Components Analysis/n(RPCA) problem: given a/nmatrix $\datam$ that is the sum of a low-rank matrix $\lowopt$ and a sparse noise matrix/n$\sparseopt$, recover $\lowopt$ and $\sparseopt$./nThis problem appears in various settings, including image processing,/ncomputer vision, and graphical models. Various polynomial-time heuristics/nand algorithms have been proposed to solve this problem./nWe introduce a block coordinate descent algorithm for this/nproblem and prove a convergence result. In addition, our iterative/nalgorithm has low complexity per iteration and empirically performs well/non synthetic datasets./nIn the second part of this thesis, we examine a variant of ridge regression:/nunlike in the classical setting where we know that the parameter of/ninterest lies near a single point, we instead only know that it lies near/na known low-dimensional subspace./nWe formulate this regression problem as a convex optimization problem, and/nintroduce an efficient block coordinate descent algorithm for solving it./nWe demonstrate that this ``subspace prior" version of ridge regression is/nan appropriate model for understanding player effectiveness in basketball./nIn particular, we apply our algorithm to real-world data and demonstrate/nempirically that it produces a more accurate model of player effectiveness/nby showing that (1) the algorithm outperforms existing approaches and (2)/nit leads to a profitable betting strategy.

Advisor: El Ghaoui, Laurent
The Intimacy of Distance: South Korean Cinema and the Conditions of Capitalist Individuation

In The Intimacy of Distance, I reconceive the historical experience of capitalism's globalization through the vantage point of South Korean cinema. According to world leaders' discursive construction of South Korea, South Korea is a site of "progress" that proves the superiority of the free market capitalist system for "developing" the so-called "Third World." Challenging this contention, my dissertation demonstrates how recent South Korean cinema made between 1998 and the first decade of the twenty-first century rearticulates South Korea as a site of economic disaster, ongoing historical trauma and what I call impassible "transmodernity" (compulsory capitalist restructuring alongside, and in conflict with, deep-seated tradition)./nMade during the first years after the 1997 Asian Financial Crisis and the 2008 Global Financial Crisis, the films under consideration here visualize the various dystopian social and economic changes attendant upon epidemic capitalist restructuring: social alienation, familial fragmentation, and widening economic division. The revamped film industry and liberalization of censorship laws that accompanied this historical moment also enabled South Korean filmmakers to explore unresolved and long repressed sociopolitical tensions with North Korea and the United States. Through readings of feature-length films across the genres of melodrama, romance, blockbuster, horror and youth-oriented art films, accompanied by sociological and historical research that situates South Korean films within the broader transnational history of the Cold War and the regional history of South Korean nation-building, I reveal how this film culture's portrayals of "intimacy" and "distance" provide a method for visualizing the ongoing aftereffects of geopolitical historical change that may be invisible to the naked eye. My project explains how modes of nonlinear temporality, narrative patterning, and imagery of violence, competition, individualism and diaspora in stories of everyday life covertly represent historical experiences of U.S. militarism, heartrending national division, and volatile boom-and-bust economic cycles. By connecting impossibilities in personal life to larger crisis in national and transnational life, my project reexamines taken-for-granted perspectives and helps us see anew the ongoing intersection of American imperialism, South Korea and the globalization of capitalism since the mid-century era.

Advisor: Whissel, Kristen M
When Institutionalized Discourses Become Familial: Mexican Immigrant Families Interpreting and Enacting High Stakes Educational Reform

With a blend of case study and Language Socialization research, this 2-year ethnographic study explores the ways in which four Mexican immigrant families with a child in middle school navigated the U.S. public school system during a time of increased educational reform. With a combination of participant and direct observation within homes and schools, video-recordings of dinnertime talk, audio-recordings of parent narratives, semi-structured interviews with focal families and school officials, and text-based artifact analysis, this study traces the educational discourses that enter family talk to reveal the ways in which focal parents and students use educationally-based language to demonstrate their understanding of the school system, educational practices, and their roles in the business of doing school.

Advisor: Baquedano-Lopez, Patricia
Profiling Attention's Pure Effect on the Sensory-Evoked P1 and N1 Event-Related Potentials of Human Electroencephalography

In this dissertation, I will discuss my research on the effect of spatial and feature attention effects on human electrophysiological responses to visual stimuli. This work involved minimizing previous sensory confounds in the physical structure in attention tasks, as well as separately analyzing how the brain responds to an orienting cue and a target that requires an overt behavioral response. By controlling for previous confounds, I was able to examine the effect of attention on sensory-evoked components in the absence of a sensory account for brain modulation.

Advisor: Robertson, Lynn C.
A Platform Architecture for Sensor Data Processing and Verification in Buildings

This thesis examines the state of the art of building information systems and evaluates their architecture in the context of emerging technologies and applications for deep analysis of the built environment. We observe that modern building information systems are difficult to extend, do not provide general services for application development, do not scale, and are difficult to set up and manage. We assert that a new architecture must be designed with four system properties - extensibility, generalizability, scalability, ease of management - in order to address these shortcomings. Our system, StreamFS, embodies these system properties through a filesystem abstraction and a set of data services. Data services are made available to applications through an overloaded pipe abstraction. This allows for dataflow specification of processing streams to clean and analyze the streaming sensor data./nWe deploy StreamFS in seven different buildings and compose several applications on top of it. One of the driving applications is a phone application called the Mobile Energy Lens. The Energy Lens provides occupants with mechanisms for collecting building information in a unified platform and provides a way to view aggregate energy consumption data associated with the spatial deployment configuration of plug-load devices. We present a three-layer architecture, where one of the main layers is implemented entirely with the data management and processing services offered by StreamFS./nWe introduce the notion of verification of physical relationships through empiricial data. We partition the verification problem into three sub problems: 1) functional verification, 2) spatial verification, and 3) categorical verification. We show how empirical mode decompo- sition, correlation, and standard machine learning techniques can give us information about how the sensors are related to each other, statistically and physically. We demonstate an ex- tensible, generalizable, scalable, and easy-to-manage system for supporting the "appification" of the built environment.

Advisor: Culler, David E
Nanoscale interfacial structure for Novel Opto-electronic and Ion-trapping Devices

In this dissertation, we present contributions to the nanoscale engineering of electronic and geometrical structure of dielectric-metal interfaces. Such structure is designed to support the interaction of light and matter for useful scientific and technological applications. Among our interests are electromagnetic subwavelength localization, propagation and storage; photonic manipulation, modulation, synchronization and its use in the confinement of atomic systems. The latter is directed towards a new generation of scalable devices for quantum information processing (QIP) and surface science studies.

Advisor: Zhang, Xiang
Discrete Particle Simulation Techniques for the Analysis of Colliding and Flowing Particulate Media

Flowing particulate media are ubiquitous in a wide spectrum of applications that include transport systems, fluidized beds, manufacturing and materials processing technologies, energy conversion and propulsion technologies, sprays, jets, slurry flows, and biological flows. The discrete nature of the media, along with their underlying coupled multi-physical interactions can lead to a variety of interesting phenomena, many of which are unique to such media - for example, turbulent diffusion and preferential concentration in particle laden flows, and soliton like excitation patterns in a vibrated pile of granular material. This dissertation explores the utility of numerical simulations based on the discrete element method and collision driven particle dynamics methods for analyzing flowing particulate media. Such methods are well-suited to handle phenomena involving particulate, granular, and discontinuous materials, and often provide abilities to tackle complicated physical phenomena, for which pursuing continuum based approaches might be difficult or sometimes insufficient. A detailed discussion on hierarchically representing coupled, multi-physical phenomena through simple models for underlying physical interactions is presented. Appropriate physical models for mechanical contact, conductive and convective heat exchange, fluid-particle interactions, adhesive and near-field effects, and interaction with applied electromagnetic fields are presented. Algorithmic details on assembling the interaction models into a large-scale simulation framework have been elaborated with illustrations. The assembled frameworks were used to develop a computer simulation library (named `Software Library for Discrete Element Simulations' (SLIDES) for the sake of reference and continued future development efforts) and aspects of the architecture and development of this library have also been addressed. This is an object-oriented discrete particle simulation library developed in Fortran capable of performing fully 3D simulations of particulate systems. The utility and effectiveness of the developed simulation frameworks have been demonstrated using two case studies. The first study is on the analysis of the high velocity impact of stream of particles on a porous layer of material, which is a problem of interest in the analysis of erosive wear of manufactured surface coatings. The second case-study is based on the deposition of flowing particulate spray on a target surface, which is a problem of interest in the analysis of particulate deposition-based manufacturing processes. In both cases, the aspect of extracting important information on system behavior from the collective dynamics of the particulate media has been outlined. For the first case, this involved a characterization of material damage due to impact generated stresses, and for the second case, this involved analysis of adhesion and deposited coating properties.

Advisor: Zohdi, Tarek I