Strathmore Institute of Mathematical Sciences (SIMs)
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The Strathmore Institute of Mathematical Sciences(SIMs) succeeds the Centre of Applied Research in Mathematical Sciences (CARMS). It is committed to delivering high quality graduate education and research through providing a stimulating research environment and continuous support for our researchers and students. SIMS promotes and develops research and consulting in the mathematical sciences, including statistics, mathematical biology, mathematical finance and mathematics education
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SIMs Publications [33]
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Dynamic portfolio optimization using reinforcement learning
(Strathmore University, 2021)This study uses machine learning in the development of a dynamic investment strategy for portfolio optimization. We aim to explore the efficiency of this approach over a passively managed portfolio and assess the whether ... -
Stochastic modeling of electricity prices and option pricing
(Strathmore University, 2021)Volatility and abrupt price changes is a problem that has marred the electricity market for decades. This problem is especially observed in deregulated markets whose prices are influenced by supply and demand factors. ... -
Predictability of stock returns at Nairobi Securities Exchange
(Strathmore University, 2021)Stock market is regarded as a leading indicator of all possible changes in the economy as it reflects investors' expectations of future economic conditions. In this regard, stock investors are always concerned about the ... -
An Empirical evaluation of alternative asset allocation policies for emerging and frontier market investors in Africa
(Strathmore University, 2021)Despite forming an integral part of literature and practitioner knowledge, Markowitz based optimization has been shown to suffer severe drawback of estimation errors and sensitivity to input parameters when implemented in ... -
Predictive modeling of Logistics Performance Index using Sparse Regression Models
(Strathmore University, 2021)The Logistics Performance Index (LPI), developed by The World Bank, is the only interactive benchmarking tool countries use to identify challenges and opportunities in trade logistics. It was developed using Principal ... -
Swaption pricing under Libor market model using Monte-Carlo method with simulated annealing optimization
(Strathmore University, 2021)The thesis seeks to use simulated annealing optimization to minimize the difference between the value of the libor model volatility and the ones quoted in the market for a congruent pricing of a Swaption contract. The ... -
Day of the week effect on stock returns and volatility in emerging and frontier markets in Africa
(Strathmore University, 2021)The study examines the day of the week effect on average stock returns and compares the daily price volatilities in emerging and frontier markets in Africa. The study focuses on eight key stock markets in Africa’s emerging ... -
A Joint modelling approach of monthly anthropometry and time to death among hospitalized severe malnourished children in Kenya
(Strathmore University, 2021)Background: In follow up studies, interest often lies in understanding the association between biomarkers measured over time and a time-to-event outcome. For this, a two-stage separate analysis or the use of time-dependent ... -
Classification of X-rays images using Deep Convolutional Neural Network: COVID-19
(Strathmore University, 2021)The increased amount of labeled X-ray image archives has triggered increased research work in the application of statistics, machine learning, deep learning, and computer vision across the different domains. The fresh ... -
Forecasting of the inflation rates in Kenya: a comparison of ANN, ARIMA and SARIMA
(Strathmore University, 2021)Monetary policies like price stability are regulated by the Central Bank of Kenya (CBK). Price stability is a key indicator of stable and predictable inflation. Accuracy and reliability in forecasting the inflation rates ... -
Robust statistical learning for optimal classification of imbalanced data
(Strathmore University, 2021)Neurobiological disorders such as Learning Disabilities (LD) are increasing becoming a major concern in education and health sectors, hence, precise identification of these disorders is critical. While neuropsychological ... -
Analysis of risk measures in portfolio optimization for the Uganda Securities Exchange
(Strathmore University, 2021)For the most recent years, risk has become one of the essential parameters in portfolio optimization problems. Today most practitioners and researchers in portfolio optimization have used variance as a standard risk measure. ... -
Modelling stochastic volatility using hidden Markov models: a case study of the Kenyan securities Market
(Strathmore University, 2021)The biased parameter estimates generated by the Black-Scholes model have been attributed to the failure of the normality and constant volatility assumption to hold. Results of the improvement of the Black-Scholes-Merton ... -
A Comparative modelling of price dynamics of Certified Emission Reductions using diffusion processes: a case study of the European Energy Exchange
(Strathmore University, 2021)In this study, the price dynamics of Certified Emission Reductions were forecasted by comparing and acquiring the most consistent and accurate forecast model using the diffusion processes: Geometric Brownian Motion, Vasicek ... -
Macroeconomic determinants of SME performance in Kenya
(Strathmore University, 2020)This paper explores the relationship between SME performance, as measured by growth in total annual sales, growth in the number of permanent full-time employees and capacity utilization, and macroeconomic factors- the ... -
Impact of foreign exchange rate movements on company profitability in the tobacco sector. A case study of the British American Tobacco Kenya limited
(Strathmore University, 2020)Any firm engaging in international trade is exposed to exchange rate risk, whether translation, transaction or economic risk. Knowing the impact or its extent can help t1rms evaluate potential positions they can take ... -
Effects of macroeconomic shocks on banking sector loan quality in Kenya
(Strathmore University, 2020)This a paper uses two approaches to analyse the link between loan quality and macroeconomic performance. First evaluating the interaction between different macroeconomic factors using panel regressions second applying a ... -
Modeling nominal exchange rates in Uganda. A comparison between traditional unit root tests and fractional integration
(Strathmore University, 2020)This paper analyzes six major nominal exchange rates in Uganda, determining whether shocks in each series are transitory or permanent in the long run. We obtain results from traditional unit root tests and compare these ... -
Study of the macroeconomic determinants of the prices of residential real estate in Kenya
(Strathmore University, 2020)According to Brueggeman and Fisher (2005) and Pagourtzi, Assimakopoulous, Hatzichristos and French (2003) real estate refers to land and anything fixed , immovable or permanently attached to it such as buildings and ... -
Income diversification and its effect on financial performance of listed banks in Kenya
(Strathmore University, 2020)This study aims to investigate the effect of income diversification on bank performance during the period 2012-2018. Financial performance was evaluated based on bank profitability and solvency. A descriptive research ...