Browsing by Author "Kenney, Colleen"

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    On the separation of T Tauri star spectra using non-negative matrix factorization and Bayesian positive source separation
    (2010) Kenney, Colleen; Vannucci, Marina
    The objective of this study is to compare and evaluate Bayesian and deterministic methods of positive source separation of young star spectra. In the Bayesian approach, the proposed Bayesian Positive Source Separation (BPSS) method uses Gamma priors to enforce non-negativity in the source signals and mixing coefficients and a Markov Chain Monte Carlo (MCMC) algorithm, modified by suggesting simpler proposal distributions and randomly initializing the MCMC to correctly separate spectra. In the deterministic approach, two Non-negative Matrix Factorization (NNMF) algorithms, the multiplicative update rule algorithm and an alternating least squares algorithm, are used to separate the star spectra into sources. The BPSS and NNMF algorithms are applied to the field of Astrophysics by applying the source separation techniques to T Tauri star spectra, resulting in a successful decomposition of the spectra into their sources. These methods are for the first time being applied and evaluated in optical spectroscopy. The results show that, while both methods perform well, BPSS outperforms NNMF. The NNMF and BPSS algorithms improve upon the current methodology used in Astrophysics iu two important ways. First, they permit the identification of additional components of the spectra in addition to the photosphere and boundary layer which can be modeled with current methods. Second, by applying a statistical algorithm, the modeling of T Tauri stars becomes less subjective. These methods may be further extrapolated to model spectra from other types of stars or astrophysical phenomena.
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    The analysis of limit orders using the Cox proportional hazards model with independent competing risks
    (2008) Kenney, Colleen; Ensor, Katherine B.
    I apply the Cox proportional hazards model with independent competing risks to study the hazard rates of executed, cancelled, and partially executed limit orders submitted for Microsoft to the Island ECN for one day. The instantaneous probability of execution increases with decreases in the buy order price but increases to the sell order price, increases in volume on the sell side of the market and market activity. The probability of cancellation increases with increases in the liquidity demand and market activity for buy orders, volume on the same side of the market and absolute market activity for sell orders. Finally, the partially executed hazard rate for buy orders increases with increases in price, volume on the opposite side of the market, size, and absolute market activity; for sell orders, the hazard rate increases with increases in the volume on the same side of the market, liquidity demanded, and market activity.