A longstanding controversy in philosophy is whether decision-making is governed by reason or emotion. I study the role of physiological responses in the decision-making process within the realm of financial markets, where both the environment and decisions-trades-are measurable. In an experiment...

Price is the most visible signal produced by competition and interaction among a complex ecology of entities in a system called financial markets. This thesis deals with statistical analysis and model identification based on such signals. We approach this problem at various levels of...

There have long been intuitive connections between robustness and regularization in statistical estimation, for example, in lasso and support vector machines. In the first part of the thesis, we formalize these connections using robust optimization. Specifically (a) We show that in classical...

In this thesis we use nonlinear and linear estimation techniques to model two common investment strategies: hedge funds and technical analysis. Our models provide transparent and low-cost alternatives to these two nontransparent, and in some cases prohibitively costly, financial approaches. In...