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Recent Submissions

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    An empirical characteristic function approach to VaR under a mixture of normal distribution with time-varying volatility
    (University of Waterloo, 2008) Xu, Dinghai; Wirjanto, Tony S.
    This paper considers Value at Risk measures constructed under a discrete mixture of normal distributions on the innovations with time-varying volatility, or MN-GARCH, model. We adopt an approach based on the continuous empirical characteristic function to estimate the parameters of the model using several daily foreign exchange rates' return data. This approach has several advantages as a method for estimating the MN-GARCH model. In particular, under certain weighting measures, a closed form objective distance function for estimation is obtained. This reduces the computational burden considerably. In addition, the characteristic function, unlike its likelihood function counterpart, is always uniformly bounded over parameter space due to the Fourier transformation. To evaluate the VaR estimates obtained from alternative specifications, we construct several measures, such as the number of violations, the average size of violations, the sum square of violations and the expected size of violations. Based on these measures, we find that the VaR measures obtained from the MN-GARCH model outperform those obtained from other competing models.
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    A Unified Perturbation Framework for Leaderboard Stability and Manipulation
    (University of Waterloo, 2026-07-22) Oyarhoseini, Hosna
    Evaluation leaderboards such as LMArena play a central role in benchmarking large language models by aggregating pairwise human preferences into model rankings, yet the robustness of these rankings remains poorly understood. We present a unified perturbation framework for analyzing Bradley–Terry leaderboards under structured data modifications using influence-based approximations. Our framework studies three match-level perturbations—Drop, Add, and Flip—together with player removal, and evaluates their effects on top-k membership, global ranking consistency via Kendall’s τ, and confidence-interval-based uncertainty. Across Chatbot Arena and six additional pairwise-comparison datasets, we show that modern leaderboards are non-robust across all three objectives: sub-1% targeted perturbations can change the top-ranked model, degrade Kendall’s τ, and alter confidence intervals. Beyond robustness auditing, we show that the same influence scores enable efficient targeted perturbations, promoting or demoting specific models and reducing target-model uncertainty with fewer actions than previous manipulation and active-sampling baselines. By summarizing these effects with normalized dataset-level robustness scores, our framework provides a practical and helpful tool for auditing leaderboard stability and motivating more robust evaluation protocols.
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    Asymmetric stochastic conditional duration model - A mixture of normals approach
    (University of Waterloo, 2008) Xu, Dinghai; Knight, John; Wirjanto, Tony S.
    This paper extends the stochastic conditional duration model by imposing mixtures of bivariate normal distributions on the innovations of the observation and latent equations of the duration process. This extension allows the model not only to capture the asymmetric behavior of the expected duration but also to easily accommodate a richer dependence structure between the two innovations. In addition, it proposes a novel estimation methodology based on the empirical characteristic function. A set of Monte Carlo experiments as well as empirical applications based on the IBM and Boeing transaction data are provided to assess and illustrate the performance of the proposed model and the estimation method. One main empirical finding in this paper is that there is a significantly positive "leverage effect" under both the contemporaneous and lagged inter-temporal dependence structures for the IBM and Boeing duration data.
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    Multi-Scale Modeling of Microplastic Fate and Transport in Urban Runoff: From Catchment-Scale Yield and Retention to a Global Predictive Framework
    (University of Waterloo, 2026-07-22) Reshadi, Mir Amir Mohammad
    Microplastic Urban Stormwater Runoff Fate and Transport Modeling Machine Learning Laser Direct Infrared (LDIR) imaging Stormwater Catchment Stormwater Pond
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    Autonomy-Supporting and Controlling Parenting Behaviours: The Role of Context and Performance-Approach Goals
    (University of Waterloo, 2026-07-22) Ghanem, Nadine
    Parenting behaviours play a central role in shaping children’s motivation, self-regulation, and responses to challenge. As young children encounter difficult tasks, parents are often in the role of providing guidance, making parental behaviours within these interactions particularly important for the development of children’s autonomy. Despite the abundance of parenting advice available through popular media, much of this guidance is conflicting, vague, or lacks strong empirical support. Drawing on self-determination theory, the present study aims to examine how individual and contextual factors interact to give rise to different parenting behaviours, which in turn influence children’s independent behaviours. Specifically, we examine how an experimental manipulation of parents’ goal orientation (i.e., outcome- vs. process-oriented) as well as individual differences in parent achievement goals (i.e., performance-approach goals) influence parents’ level of autonomy-supportive and controlling behaviours. Further, we observe whether these parenting behaviours relate to children’s persistence in a subsequent independent task. Eighty parents and their children (aged 4-5 years old) participated in a challenging puzzle task. Overall, parents in the outcome-oriented condition engaged in more autonomy-supporting and controlling behaviours during the task. As well, parents with stronger performance-approach goals were more likely to engage in controlling behaviours. Mediation analyses revealed that controlling parenting was associated with lower levels of subsequent child persistence and served as a mechanism linking parents’ performance-approach goals to children’s persistence. Broadly, the results highlighted the importance of considering both contextual and internal influences on parenting behaviour. Implications for theory and practice are also discussed.