Using extreme value theory to value stock market returns

Extreme stock price movements are of great concern to both investors and the entire economy. For investors, a single negative return, or a combination of several smaller returns, can possible wipe out so much capital that the firm or portfolio becomes illiquid or insolvent. If enough investors experience this loss, it could shock the entire economy. An example of such a case is the stock market crash of 1987. Furthermore, there has been a lot of recent interest regarding the increasing volatility of stock prices. ^ This study presents an analysis of extreme stock price movements. The data utilized was the daily returns for the Standard and Poor's 500 index from January 3, 1978 to May 31, 2001. Research questions were analyzed using the statistical models provided by extreme value theory. One of the difficulties in examining stock price data is that there is no consensus regarding the correct shape of the distribution function generating the data. An advantage with extreme value theory is that no detailed knowledge of this distribution function is required to apply the asymptotic theory. We focus on the tail of the distribution. ^ Extreme value theory allows us to estimate a tail index, which we use to derive bounds on the returns for very low probabilities on an excess. Such information is useful in evaluating the volatility of stock prices. There are three possible limit laws for the maximum: Gumbel (thick-tailed), Fréchet (thin-tailed) or Weibull (no tail). Results indicated that extreme returns during the time period studied follow a Fréchet distribution. Thus, this study finds that extreme value analysis is a valuable tool for examining stock price movements and can be more efficient than the usual variance in measuring risk. ^

Comparison of two mentoring programs for at -risk Black adolescents: A traditional one -to -one mentoring program and a school -to -work transitional program

The purposes of this study were: (a) to compare the impact of One-to-One (OTO) mentoring interventions administered in the high school setting, and the workplace of the students who participated in the School-to-Work (STW) transitional program, and (b) to identify how the participants perceived their experience in the OTO mentoring program and the STW transitional program. A qualitative approach was used to identify how participants perceived their mentoring experiences with the STW and OTO mentoring programs by utilizing focus groups and content analysis. A quantitative approach was used to compare the statistical differences of outcomes between the STW and OTO mentoring programs, by utilizing descriptive statistics, independent samples t-tests, chi-square analyses, and logistic regression. The sample was limited to participants in the STW and OTO mentoring programs resulting in 21 participants for the qualitative approach and 114 participants for the quantitative approach. ^ Results from the qualitative approach indicated that focus group participants in the STW program were satisfied with the program and the relationship with their mentors. They also suggested that the STW program be lengthened to include the entire academic year. Participants from the OTO focus group were dissatisfied with their program due to inadequate mentor involvement. Results from the quantitative approach showed that the increase in school attendance for the STW program's at-risk Black male youth was statistically significant compared to the OTO program participants; the STW program participants displayed a better outlook for attending college that was statistically significant compared to those in the OTO program; and the OTO program participants displayed a better outlook for permanent employment compared to those in the STW program. ^ Therefore, this study finds that mentoring can contribute to reducing school absences and high school completion in order for at-risk Black adolescents to attend college. It is recommended that the OTO program be restructured to eliminate the disparity that exists regarding the administration of the STW program and the OTO program. ^

Civilizing the tropics: The highlanders' failed attempt to transform the Colombian Amazon, 1850--1930

The subject of this dissertation is the nature of the environmental transformations, both symbolic and physical, that took place in Colombia between 1850 and 1930. This period begins with the attempt by the Colombian elite to leave behind colonial ties, overcome economic disorganization, and link Colombia to the international market. These efforts were part of a general project to “civilize” this tropical country. The period closes with the transition toward an industrialization and urbanization process led by the Colombian state during the 1930s. ^ Frequently, environmental studies as an academic field are dominated by biological concerns. However, most environmental thinking accepts their interdisciplinary nature. Under this framework not only spatial but also symbolic concerns are key elements in understanding environmental transformations. ^ This study finds that despite several attempts to transform the Colombian landscape physically, most of the substantive changes were localized and circumscribed to the Andean region. Other changes were mainly symbolic. This dissertation thus uses the Amazon as one of several regions that did not experience significant changes in the forest canopy. While highlanders originally dreamed of the Amazon as an untapped El Dorado, their failed attempts to exploit the region caused them to imagine it as a nightmarish “green hell”. ^ This dissertation concentrates on three pairs of concepts: tropicality/civilization, landscape/territory, and symbolic/material changes. It presents both a general vision of Colombia and case studies of three regions: Cundinamarca, and Cauca Valley are used to compare with the Amazon region that is developed at length. Whereas mainstream Colombian histories have either fixated on the Andean highlands or, in a relegated second place, on the Caribbean region, this dissertation attempts to significantly contribute to the historiography of Colombia by focusing on the largely neglected Amazonian region. ^ To understand imageries about Colombia's landscape, the dissertation relies on travel writings, chorographic descriptions and maps. It also makes uses legal documents and other published primary sources, including literary pieces and memoirs. ^

Periphyton responses to eutrophication in the Florida Everglades: Cross-system patterns of structural and compositional change

We examined periphyton along transects in five Everglades marshes and related compositional and functional aspects to phosphorus(P ) gradients caused by enriched inflows. Results were compared to those of a P-addition experiment in a pristine Everglades marsh. While the water total P (TP) concentration was not related to P load in the marshes or experiment the concentration of TP in periphyton was strongly correlated with the distance from the P source. Increased P concentration in periphyton was associated with a loss of biomass,p articularly of the calcifying mat-forming matrix, regardless of the growth form of the periphyton (epiphytic, floating,or epilithic). Diatom species composition was also strongly related to P availability, but the TP optima of many species varied among marshes. Enriched periphyton communities were found 14 km downstream of P inputs to one marsh that has been receiving enhanced P loads for decades, where other studies using different biotic indicators show negligible change in the same marsh. Although recovery trajectories are unknown, periphyton indicators should serve as excellent metrics for the progression or amelioration of P-related effects in the Everglades.

It takes an institution's village to retain a student: A comprehensive look at two early warning system undergraduate retention programs and administrators' perceptions of students' experiences and the retention services they provide students in the early warning system retention programs

Institutions have implemented many campus interventions to address student persistence/retention, one of which is Early Warning Systems (EWS). However, few research studies show evidence of interventions that incorporate noncognitive factors/skills, and psychotherapy/psycho-educational processes in the EWS. A qualitative study (phenomenological interview and document analysis) of EWS at both a public and private 4-year Florida university was conducted to explore EWS through the eyes of the administrators of the ways administrators make sense of students' experiences and the services they provide and do not provide to assist students. Administrators' understanding of noncognitive factors and the executive skills subset and their contribution to retention and the executive skills development of at-risk students were also explored. Hossler and Bean's multiple retention lenses theory/paradigms and Perez's retention strategies were used to guide the study. Six administrators from each institution who oversee and/or assist with EWS for first time in college undergraduate students considered academically at-risk for attrition were interviewed. Among numerous findings, at Institution X: EWS was infrequently identified as a service, EWS training was not conducted, numerous cognitive and noncognitive issues/deficits were identified for students, and services/critical departments such as EWS did not work together to share students' information to benefit students. Assessment measures were used to identify students' issues/deficits; however, they were not used to assess, track, and monitor students' issues/deficits. Additionally, the institution's EWS did address students' executive skills function beyond time management and organizational skills, but did not address students' psychotherapy/psycho-educational processes. Among numerous findings, at Institution Y: EWS was frequently identified as a service, EWS training was not conducted, numerous cognitive and noncognitive issues/deficits were identified for students, and services/critical departments such as EWS worked together to share students' information to benefit students. Assessment measures were used to identify, track, and monitor students' issues/deficits; however, they were not used to assess students' issues/deficits. Additionally, the institution's EWS addressed students' executive skills function beyond time management and organizational skills, and psychotherapy/psycho-educational processes. Based on the findings, Perez's retention strategies were not utilized in EWS at Institution X, yet were collectively utilized in EWS at Institution Y, to achieve Hossler and Bean's retention paradigms. Future research could be designed to test the link between engaging in the specific promising activities identified in this research (one-to-one coaching, participation in student success workshops, academic contracts, and tutoring) and student success (e.g., higher GPA, retention). Further, because this research uncovered some concern with how to best handle students with physical and psychological disabilities, future research could link these same promising strategies for improving student performance for example among ADHD students or those with clinical depression.