54 2. Statistical Learning
(0)
(C)
(d)
Applied
What is our prediction with K = 1? Why?
What is our prediction with K : 3? Why?
If the Bayes decision boundary in this problem is highly non-
linear, then would we expect the best value for K to be large or
s
120
3. Linear Regression
3.7 Exercises
Conceptual
1. Describe the null hypotheses to which the pvalues given in Table 3.4
correspond. Explain what conclusions you can draw based on these
pvalues. Your explanation should be phrased in terms of sales, TV,
r
168 4. Classication
4.7 Exercises
Conceptual
1. Using a little bit of algebra, prove that (4.2) is equivalent to (4.3). In
other words, the logistic function representation and logit represen-
tation for the logistic regression model are equivalent.
2. It
Data Mining (W4240 Section 001)
Bagging and Random Forests
Giovanni Motta
Columbia University, Department of Statistics
November 23, 2015
Outline
Ensemble Classification
Ensembles of Trees
Bagging
Random Forests
Outline
Ensemble Classification
Ensembles o
W4290 STATISTICAL METHODS IN FINANCE
FALL 2015
F 10:10am12:40pm
Professor: Hammou Elbarmi
Office: 901 SSW
Telephone: 212-851-0709
Email: eh2336@columbia.edu
Office hours: Friday 1-2pm and by appointment
Teaching Assistant: Lisa Qiu
Office hours of the TAs
Homework 1
Statistics W4240: Data Mining
Columbia University, Spring 2016
Due Tuesday, February 2
For your .R submission, place each question in a separate .R file labeled hw01 q1.R, hw01 q2.R,
and so on. DO NOT submit .rar, .tar, .zip, .docx, or other fi
Stat W4240 Data Mining Homework 2
Name: Yeyun Chen
UNI: Yc3070
Problem1:
(a) The class of face_01 is the pixmapGrey Pixmap image, and the size of the original image
in pixels is 192 168.
(b) The maximum value that a pixel can take for this type of file is
W4240 Data Mining Homework 4
Name: Yeyun Chen, UNI: yc3070, Due: 02/23/2016
3.7.8
(a)
i.
ii.
iii.
iv.
There is a relationship between the predictor and the response.
The p-value for horsepower suggests that this predictor is significant.
The relationship
G6505 Stochastic Methods in Finance
Homework 5 Solutions
Question 1 (Shreve 4.7, Vol. II)
(i) Let f (t, x) = x4 . We have
f
= 0,
t
f
= 4x3 ,
x
2f
= 12x2 .
x2
Using the Ito formula to compute the differential of d(W 4 (t) yields
d(W 4 (t) = 4W 3 (t)dW (t)
G6505 Stochastic Methods in Finance
Homework 3 Solutions
Question 1 (Shreve 3.2, Vol. II) We have
E[W 2 (t) t | F(s)] = E[W (t) W (s)2 + 2W (t)W (s) W 2 (s) t | F(s)]
= E[(W (t) W (s)2 ] + 2W (s)E[W (t) | F(s)] W 2 (s) t
= Var(W (t) W (s) + 2W 2 (s) W 2 (
Stochastic Methods in Finance
September 8, 2015
Lecture 1
Introduction, binomial pricing model
Vol I. Chapter 1
Lecture 2
Lecture 3
Binomial pricing model (contd.), options
Discrete cond. expectations and martingales
Vol I. Chapter 1
Vol I. Chapters 2.1-2
G6505 Stochastic Methods in Finance
Homework 4 Solutions
Question 1 (Shreve 4.1, Vol. II) This proof is fully analogous to the one of Theorem 4.2.1. We want to show
that for 0 s t T E[I(t) | F(s)] = I(s). Assume again, that the s [tl , tl+1 ) and t [tk ,
G6505 Stochastic Methods in Finance
Homework 6 Solutions
Question 1 (Shreve 5.4, Vol. II)
(i) Let f (t, x) = ln(x). We have
f
= 0,
t
f
1
= ,
x
x
1
2f
= 2
x2
x
and
(dS(t)2 = 2 (t)S 2 (t)dt.
Applying Itos lemma, the differential of the log stock price d ln
What Explains the Stock Markets Reaction to
Federal Reserve Policy?
Ben S. Bernanke
Kenneth N. Kuttner
March 2004
Abstract
This paper analyzes the impact of changes in monetary policy on equity prices,
with the objectives both of measuring the average rea
The Society for Financial Studies
Short-Sale Strategies and Return Predictability
Author(s): Karl B. Diether, Kuan-Hui Lee and Ingrid M. Werner
Source: The Review of Financial Studies, Vol. 22, No. 2 (Feb., 2009), pp. 575-607
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THE JOURNAL OF FINANCE VOL. LV, NO. 2 APRIL 2000
Trading Is Hazardous to Your Wealth:
The Common Stock Investment Performance
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BRAD M. BARBER and TERRANCE ODEAN*
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Journal of Business Finance & Accounting, 33(5) & (6), 839867, June/July 2006, 0306-686X
doi: 10.1111/j.1468-5957.2006.00003.x
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USC FBE FINANCE SEMINAR
presented by Doron Avramov
FRIDAY, September 23, 2005
10:30 am 12:00 pm, Room: JKP-104
Momentum and Credit Rating
Doron Avramov
Department of Finance
Robert H. Smith School of Business
University of Maryland
davramov@rhsmith.umd.ed
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