Statistics at UC Berkeley: We are a community engaged in research and education in probability and statistics. In addition to developing fundamental theory and methodology, we are actively involved in statistical problems that arise in such diverse fields as molecular biology, geophysics, astronomy, AIDS research, neurophysiology, sociology, political science, education, demography, and the U.S. Census. We have forged strong interdisciplinary links with other departments and areas of study, particularly biostatistics, mathematics, computer science, and biology, and actively seek to recruit graduate students and faculty who can help to build and maintain such links. We also offer a statistical consulting service each semester.
Statistics at UC Berkeley
Apr 2, 2019
Sep 9, 2019
Sep 9, 2019
Speaker: Martin Lettau, UC Berkeley (Speaker - Featured)
ABSTRACT: This paper provides a comprehensive analysis of portfolios of active mutual funds, ETFs and hedge funds through the lens of risk (anomaly) factors. We show that that these funds do not systematically tilt their portfolios towards profitable factors, such as high book-to-market (BM) ratios, high momentum, small size, high profitability and low investment growth. Strikingly, there are...
Sebastian Hummel, Bielefeld University
We construct a sequence of Moran models that converges for large populations under suitable conditions to the $\Lambda$-Wright-Fisher process with a drift that is vanishing at the boundaries. The genealogical structure inherent in the graphical representation of the finite population models leads in the large population limit to a generalisation of the ancestral selection graph of Krone and...
Hongyuan Cao, Florida State University
Extended follow-up with longitudinal data is common in many medical investigations. In regression analyses, a longitudinal covariate may be omitted, often because it is not measured synchronously with the longitudinal response. Naive approach that simply ignores the omitted longitudinal covariate can lead to biased estimators. In this article, we establish conditions under which estimation is...
Speaker: Alec Kercheval, Florida State University (Speaker - Featured)
ABSTRACT: Beginners first learn to price stock options with a simple binomial tree model for random price changes. It is well known that this classical one-dimensional random walk converges weakly to Brownian motion in the proper space-time scaling limit. Actual stock prices changes occur not at regular times but at random times according to the order flow in an electronic limit order book...
Speaker: Ayako Yasuda, UC Davis (Speaker - Featured)
Mutual funds that invest in private securities value those securities at stale prices. Prices change on average every 2.5 quarters, vary across fund families, and are revised upward dramatically at follow-on funding events. The infrequent, but dramatic price changes yield predictably large fund returns. Fund investors can exploit the stale pricing by buying (selling) before (after) the follow-on...