Research

Research Interests

Work in Progress

Dissertation

Applications of Robust Statistical Methods in Quantitative Finance. Also available from the University of Washington here.
Christopher G. Green.
University of Washington, Department of Statistics, 2017. Advisor:
R. Douglas Martin
.

Working Papers

Christopher G. Green,

R. Douglas Martin
. Robust Detection of Multivariate Outliers in Asset Returns and Risk Factors Data. Working paper, 2017. This is essentially Chapter 3 of my dissertation.
Christopher G. Green,

R. Douglas Martin
. Fama-French 1992 Redux with Robust Statistics. Working paper, 2017. This is essentially Chapter 4 of my dissertation.
Christopher G. Green,

R. Douglas Martin
. An Extension of a Method of Hardin and Rocke, with an Application to Multivariate Outlier Detection via the IRMCD Method of Cerioli. Working paper, 2017. This is essentially Chapter 2 of my dissertation.

The R package CerioliOutlierDetection provides some of the functionality discussed in the paper. Another R package, HardinRockeExtensionSimulations, provides functions and scripts (in the form of vignettes) for replicating (nearly) everything in the paper. Abstract
Christopher G. Green,

R. Douglas Martin
. Diagnosing the Presence of Multivariate Outliers in Financial Data using Calibrated Robust Mahalanobis Distances. Working paper, 2015. I gave a "lightning talk" summarizing this paper at R/Finance 2015 conference in Chicago, May 29–30. You can download the slides here. Note that this paper has been superceded by the paper Robust Detection of Multivariate Outliers in Asset Returns and Risk Factors Data listed above, so you are advised to read that one instead of this one.

Published Papers (Peer Reviewed)

Steven Gillispie
,
Christopher G. Green.
Approximating the Conway-Maxwell-Poisson distribution normalization constant. Statistics: A Journal of Theoretical and Applied Statistics. To appear. Available online here as of 2014-04-08. A slightly earlier version of the paper is available as Tech Report 615 on the UW Stat tech reports page. Abstract
R. Douglas Martin
,
Andrew Clark
, and
Christopher G. Green.
Robust Portfolio Construction In Handbook of Portfolio Construction: Contemporary Applications of Markowitz Techniques, edited by John B. Guerard. Springer-Verlag, 2009. book homepage
Christopher G. Green
,
Victor Haughton
, and
Dietmar Cordes.
Independent Component Analysis and Functional Magnetic Resonance Imaging. In Functional MRI: Basic Principles and Clinical Applications, edited by Scott Faro and Feroze B. Mohamed. Springer-Verlag, 2006. book homepage
B. P. Keogh
,
D. Cordes
,
L. Stanberry
,
B. D. Figler
,
C. A. Robbins
,
B. L. Tempel
,
C. G. Green
,
A. Emmi
,
K. M. Maravilla
, and
P. A. Schwartzkroin.
BOLD-fMRI of PTZ-induced seizures in rats Epilepsy Research, 1 August 2005 (volume 66 issue 1 Pages 75-90). The abstract is available online here.

Books

Other Work

A paper on heavy-tailed distributions in finance that I wrote for one of my qualifying exams: Heavy-Tailed Distributions in Finance: An Empirical Study.

The paper looked at estimation of the Student's t distribution and the alpha stable distributions in the presence of outliers.

Old Stuff

Theses

My Master's Thesis (University of Washington, 2001). Connections Between Lanczos Iteration and Orthogonal Polynomials. I discussed connections between Lanczos iteration and orthogonal polynomials under the supervision of Dr. Anne Greenbaum. Abstract

My undergraduate honors thesis (Washington University, 1999). An Introduction to Ramsey Theory. An overview of Ramsey Theory. Completed under the supervision of Dr. Steven G. Krantz.

Conference Abstracts/Proceedings

ISMRM 2002: PCA-Preprocessing of fMRI Data Adversely Affects the Results of ICA (PDF)
HBM 2002: Processing Functional MRI Data with Principal Components Analysis Adversely Affects the Results of Independent Components Analysis

Various Talks, Term Projects, etc.

	Christopher G. Green