arXiv subjects

Mackenzie Wildman

Publications and source records attributed to Mackenzie Wildman.

3 recordsLinked to original sources

arXiv2020

TILES-2018, a longitudinal physiologic and behavioral data set of hospital workers

We present a novel longitudinal multimodal corpus of physiological and behavioral data collected from direct clinical providers in a hospital workplace. We designed the study to investigate the use of off-the-shelf wearable and environmental sensors to understand individual-specific constructs such as job performance, interpersonal interaction, and well-being of hospital workers over time in their natural day-to-day job settings. We collected behavioral and physiological data from $n = 212$ participants through Internet-of-Things Bluetooth data hubs, wearable sensors (including a wristband, a biometrics-tracking garment, a smartphone, and an audio-feature recorder), together with a battery of surveys to assess personality traits, behavioral states, job performance, and well-being over time. Besides the default use of the data set, we envision several novel research opportunities and potential applications, including multi-modal and multi-task behavioral modeling, authentication through biometrics, and privacy-aware and privacy-preserving machine learning.

eess.SP↗

arXiv2018

Sensitivity of the Eisenberg-Noe clearing vector to individual interbank liabilities

We quantify the sensitivity of the Eisenberg-Noe clearing vector to estimation errors in the bilateral liabilities of a financial system in a stylized setting. The interbank liabilities matrix is a crucial input to the computation of the clearing vector. However, in practice central bankers and regulators must often estimate this matrix because complete information on bilateral liabilities is rarely available. As a result, the clearing vector may suffer from estimation errors in the liabilities matrix. We quantify the clearing vector's sensitivity to such estimation errors and show that its directional derivatives are, like the clearing vector itself, solutions of fixed point equations. We describe estimation errors utilizing a basis for the space of matrices representing permissible perturbations and derive analytical solutions to the maximal deviations of the Eisenberg-Noe clearing vector. This allows us to compute upper bounds for the worst case perturbations of the clearing vector in our simple setting. Moreover, we quantify the probability of observing clearing vector deviations of a certain magnitude, for uniformly or normally distributed errors in the relative liability matrix. Applying our methodology to a dataset of European banks, we find that perturbations to the relative liabilities can result in economically sizeable differences that could lead to an underestimation of the risk of contagion. Our results are a first step towards allowing regulators to quantify errors in their simulations.

q-fin.MF↗

arXiv2016

A Gaussian Markov alternative to fractional Brownian motion for pricing financial derivatives

Replacing Black-Scholes' driving process, Brownian motion, with fractional Brownian motion allows for incorporation of a past dependency of stock prices but faces a few major downfalls, including the occurrence of arbitrage when implemented in the financial market. We present the development, testing, and implementation of a simplified alternative to using fractional Brownian motion for pricing derivatives. By relaxing the assumption of past independence of Brownian motion but retaining the Markovian property, we are developing a competing model that retains the mathematical simplicity of the standard Black-Scholes model but also has the improved accuracy of allowing for past dependence. This is achieved by replacing Black-Scholes' underlying process, Brownian motion, with a particular Gaussian Markov process, proposed by Vladimir Dobrić and Francisco Ojeda.

q-fin.MF↗