Research Experiences For Undergraduates (REU)

REU 2009 Projects

Stock Selection Using Data Envelopment Analysis

Sponsor: State Street Global Advisors (SSgA)
Advisor: Prof. Marcel Blais


Michael Abrahams		John Whittingham

Data Envelopment Analysis is a nonparametric algorithm for ranking the ability of decision making units (DMUs) to produce output given a set of inputs, i.e. the DMUs relative efficiencies. Data Envelopment Analysis uses the methods of linear programming to assign each DMU an efficiency score between zero and one by solving the linear dual of the fractional optimization of a ratio of virtual outputs to virtual inputs. DEA uses variable weights to present each DMU in the best light possible to avoid biases caused by prior selection of weights. It has been used to measure the efficiency of such varied classes of DMUs as hospitals, schools, banks, government services, and software programs. In our paper we describe our implementation of DEA in Matlab and explore the effectiveness of using DEA efficiency scores to pick a stock portfolio, based on prior work by Abad, Thore, and Laffarga.

Passive Currency Hedging Analysis

Sponsor: State Street Global Advisors (SSgA)
Advisor: Prof. Marcel Blais


Brendan Bettinger		Jessica Zehel

Investing in international portfolios comes with the added risk of foreign currency exposure. The goal of our project is to examine various hedging strategies used to eliminate or reduce this risk over portfolios of multiple asset types. Specifically we will look at the costs and returns to portfolios which use fixed versus variable interval rebalancing, as well as different target hedge ratios. Using MATLAB, we build an engine to construct such portfolios and study the effects of different strategies. Ultimately this will help to devise an optimal approach to hedging currency exchange risk.

Modeling Traffic Flow in Long-term Work Zones

Sponsor: Massachusetts Highway Department
Advisor: Prof. Suzanne L. Weekes


Dustin Dickerson	Daniel Kamenetsky	Paul McLaughlin

Amanda Miles	Amanda Persichetti

Work zones exacerbate delays on already-congested roadways by reducing the capacity. In order to minimize such delays, traffic engineers must strategically plan and schedule work zones. The goal of our project is to help the Massachusetts Highway Department better model the effects of long-term work zones on traffic flow. Specifically we consider queuing analysis, continuum models, various capacity calculations, with Massachusetts-specific data in an effort to improve the accuracy of their model.

Interpolation Algorithms for Interfacing FDTD and FEM Meshes in Multiphysics Modeling of Microwave Sintering

Sponsor: EMPA - Swiss Federal Laboratories for Materials Science and Technology, Thun, Switzerland
Advisor: Prof. Suzanne L. Weekes, Prof. Vadim Yakovlev


Stephen Demjanenko		Ryan Northrup		Kathleen Nowak

Microwave sintering of powders is gaining attention in the interdisciplinary engineering community as an innovative promising technology of production of new nano-structured materials with unique physical properties. Internally dissipated microwave power allows for energy savings and fast processing of metallic, ceramic, and composite particulate materials, but the process is practically uncontrolled and is poorly understood. Modeling of microwave sintering could help clarify many issues and suggest engineering solutions for designing efficient microwave system. This project is focused on the development of a particular element of a numerical tool for comprehensive simulation of electromagnetic, thermal, and mechanical phenomena occuring during microwave sintering. Combination of the relevant solvers requires interchange of numerical data between the grids associated with the finite-difference time-domain (FDTD) technique and the finite element method (FEM). Two techniques interfacing the FDTD mesh of Cartesian cells and the FEM mesh of rectangular hexahedra are developed in this work. The algorithms are built on cubic spline interpolation and the Shamos technique for determination of areas of convex polyhedra. Computational experiments with these algorithms implemented in MATLAB show satisfactory accuracy of interfacing with the average error not more than 5%.

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Last modified: Jun 21, 2010, 03:14 UTC