ANDREW FRANCIS SIEGEL

 

 

Grant I. Butterbaugh Professor

Professor of Information Systems and Operations Management

Professor of Finance and Business Economics

Adjunct Professor of Statistics

Foster School of Business,

University of Washington, Seattle, Washington 98195-3200
(206)543‑4476, asiegel@u.washington.edu

 

 

                                                                        PUBLICATIONS

 

2015

Price-Admissibility Conditions for Arbitrage-Free Linear Price Function Models for the Term Structure Of Interest Rates. Mathematical Finance, forthcoming.

 

2015

How Much Error is in the Tracking Error? The Impact of Estimation Risk on Fund Tracking Error (with A. Woodgate) Journal of Portfolio Management, forthcoming.

 

2015

Optimal Orthogonal Portfolios with Conditioning Information (with W.E. Ferson) in Handbook of Financial Econometrics and Statistics, eds: C.F. Lee and J.C. Lee, Springer: New York, forthcoming.

 

2009

Testing portfolio efficiency with conditioning information (with W.E. Ferson) The Review of Financial Studies,  22, 2735-2758

 

2007

Performance of Portfolios Optimized with Estimation Error (with A. Woodgate) Management Science  53, 1005-1015.

 

2007

Network Motif Analysis of a Multi-Mode Genetic-Interaction Network (with R.J. Taylor and T. Galitski) Genome Biology 8, Article R160.

2007

Differential Expression of CD10 in Prostate Cancer and its Clinical Implication (with M.A. Dall'Era, L.D. True, M.P. Porter, T.M. Sherertz, and A.Y. Liu) BioMed Central Urology  7, 1-11.

2006

Genetic mapping at 3-kilobase resolution reveals inositol 1,4,5-triphosphate receptor 3 as a risk factor for type 1 diabetes in Sweden (with J. C. Roach, K. Deutsch, S. Li, L. M. Bekris, D. C. Einhaus, C. M. Sheridan, G. Glusman, L. Hood, Å. Lernmark, and M. Janer on behalf of the Swedish Childhood Diabetes Study Group and the Diabetes Incidence in Sweden Study Group) American Journal of Human Genetics  79, 614-627.

2006

Mimicking Portfolios with Conditioning Information (with W.E. Ferson and P. Xu) Journal of Financial and Quantitative Analysis  41, 607-635.

2006

A Third Approach to Gene Prediction Suggests Thousands of Additional Human Genes (with G. Glusman, S. Qin, M.R. El-Gewely, J. Roach, L. Hood and A.F.A. Smit). PLoS Computational Biology  2, 160-173.

2005

A Data Integration Methodology for Systems Biology: Experimental Verification (co-authored with D. Hwang, J. J. Smith, D. M. Leslie, A. D. Weston, A. G. Rust, S. Ramsey, P. de Atauri, H. Bolouri, J. D. Aitchison, and L. Hood). Proceedings of the National Academy of Sciences of the United States of America  102, 17302–17307.

2005

A Data Integration Methodology for Systems Biology (with D. Hwang, A. G. Rust, S. Ramsey, J. J. Smith, D. M. Leslie, A. D. Weston, P. de Atauri, J. D. Aitchison, L. Hood, and H. Bolouri). Proceedings of the National Academy of Sciences of the United States of America  102, 17296–17301.

2005

The Mobile Nucleoporin Nup2p and Chromatin-Bound Prp20p Function in Endogenous NPC-Mediated Transcriptional Control (with D.J. Dilworth, A.J. Tackett, R.S. Rogers, E.C. Yi, R.H. Christmas, J.J. Smith, B.T. Chait, R.W. Wozniak, and J.D. Aitchison). The Journal of Cell Biology  171, 955-965.

2005

Reverse Engineering Galactose Regulation in Yeast through Model Selection (with V. Thorsson, M. Hörnquist and L. Hood) Statistical Applications in Genetics and Molecular Biology,  4, issue 1, article 28.

2004

Control of Yeast Filamentous-Form Growth by Modules in an Integrated Molecular Network. (with S. Prinz, I. Avila-Campillo, C. Aldridge, A. Srinivasan, K. Dimitrov, and T. Galitski) Genome Research  14, 380-390.

2003

Chinese Translation of Practical Business Statistics, Fifth Edition. 878 pages. Burr Ridge, Illinois: McGraw-Hill / Irwin.

2003

Practical Business Statistics, Fifth Edition. 854 pages. Burr Ridge, Illinois: McGraw-Hill / Irwin.

2003

Stochastic Discount Factor Bounds with Conditioning Information (with W.E. Ferson). The Review of Financial Studies  16, 567-595.

2003

Initial Proteome Analysis of Model Microorganism Haemophilus influenzae Strain Rd KW20. (with E. Kolker, S. Purvine, M.Y. Galperin, S. Stolyar, D.R. Goodlett, A.I. Nesvizhskii, A. Keller, T. Xie, J.K. Eng, E. Yi, L. Hood, A.F. Picone, T. Cherny, B.C. Tjaden, T.J. Reilly, K.S. Makarova, B.O. Palsson, and A.L. Smith) Journal of Bacteriology  185, 4593-4602.

2003

Keeping the Floor in Multiparty Conversations: Intonation,  Syntax, and Pause (with A. Wennerstrom) Discourse Processes  36, 77-107.

2002

Russian Translation of Practical Business Statistics, Fourth Edition. 1,051 pages. Burr Ridge, Illinois: Irwin / McGraw-Hill.

2002

The Diversification of Employee Stock Options. (with D.M. Stein). Association for Investment Management and Research Conference Proceedings, Investment Counseling for Private Clients IV, 51-59.

2002

Human Capital, Social Capital and Entrenchment: The Case of CEO Tenure in French Firms (with B. Pigé). Proceedings of the American Statistical Association, Business and Economics Statistics Section [CD-ROM], Alexandria, VA: American Statistical Association, 2703-2708.

2002

Discovering Regulatory and Signalling Circuits in Molecular Interaction Networks (with T. Ideker, O. Ozier, and B. Schwikowski). Bioinformatics  18 Suppl. 1, S233-S240.

2002

Spectral Analysis of Distributions: Finding Periodic Components in Eukaryotic Enzyme Length Data. (with E. Kolker, B.C. Tjaden, R. Hubley, and E.N. Trifonov). OMICS: A Journal of Integrative Biology  6, 123-130.

2001

A Three-Stage Clinical Trial Design for Rare Disorders. (with V.E.A. Honkanen, J.P. Szalai, V. Berger, B.M. Feldman, and J.N. Siegel). Statistics in Medicine  20, 3009-3021.

2001

The Efficient Use of Conditioning Information in Portfolios. (with W.E. Ferson). The Journal of Finance  56, 967-982.

2000

Testing for Differentially-Expressed Genes by Maximum-Likelihood Analysis of Microarray Data. (with T. Ideker, V. Thorsson, and L. Hood). Journal of Computational Biology  7, 805-817.

2000

Diversification in the Presence of Taxes. (with D.M. Stein, P. Narasimhan, and C.E. Appeadu). The Journal of Portfolio Management  27, 61-71.

2000

Modeling the Feasibility of Whole Genome Shotgun Sequencing Using a Pairwise End Strategy. (with G. van den Engh, L. Hood, B. Trask, and J. C. Roach). Genomics  68, 237-246.

2000

Parking Strategies for Genome Sequencing. (with J.C. Roach and V. Thorsson). Genome Research  10, 1020-1030.

2000

Chinese Translation of Practical Business Statistics, Fourth Edition. 700 pages. Burr Ridge, Illinois: Irwin / McGraw-Hill.

2000

Instructor's Manual to Accompany Practical Business Statistics, Fourth Edition. Burr Ridge, Illinois: Irwin / McGraw-Hill.

2000

The Excel Guide for use with Practical Business Statistics, Fourth Edition. Burr Ridge, Illinois: Irwin / McGraw-Hill.

2000

Practical Business Statistics, Fourth Edition. 792 pages. Burr Ridge, Illinois: Irwin / McGraw-Hill.

1999

Gaps in the Human Genome Project. (with J.C. Roach, G. van den Engh, B. Trask, and L. Hood). Nature  401, 843-845.

1999

Analysis of Sequence-Tagged-Connector Strategies for DNA Sequencing. (with B. Trask, J.C. Roach, G.G. Mahairas, L. Hood, and G. van den Engh). Genome Research  9, 297-307.

1998

Optimization of Restriction Fragment DNA Mapping. (with J.C. Roach, C. Magness, E. Thayer, and G. van den Engh). Journal of Computational Biology  5, 113-126.

1998

Expectation and Variance of True and False Fragment Matches in DNA Restriction Mapping. (with J.C. Roach, G. van den Engh). Journal of Computational Biology  5, 101-111.

1997

International Currency Relationship Information Revealed by Cross-Option Prices. The Journal of Futures Markets  17, 369-384.

1997

Instructor's Manual to Accompany Practical Business Statistics, Third Edition. 406 pages. Burr Ridge, Illinois: Irwin.

1997

The MINITAB Guide for use with Practical Business Statistics, Third Edition. Burr Ridge, Illinois: Irwin.

1997

Practical Business Statistics, Third Edition. 752 pages. Burr Ridge, Illinois: Irwin.

1996

Statistics and Data Analysis: an Introduction, Second Edition. 635 pages. New York: Wiley. (with C. Morgan).

1995

Relative Versus Incremental Information Content. Contemporary Accounting Research  12, 1-23. (with G.C. Biddle and G. Seow).

1995

Measuring Systematic Risk Using Implicit Beta. Management Science  41, 124-128.

1994

Instructor's Manual with Data Disk for use with Practical Business Statistics, Second Edition. Burr Ridge, Illinois: Irwin. (with M.M. Siegel and A. Siegel)

1994

The MINITAB Guide for use with Practical Business Statistics, Second Edition. 135 pages. Burr Ridge, Illinois: Irwin.

1994

Practical Business Statistics, Second Edition. 820 pages. Burr Ridge, Illinois: Irwin.

1993

A Surprising Covariance Involving the Minimum of Multivariate Normal Variables. Journal of the American Statistical Association  88, 77-80.

1992

The Effect of Futures Trading on the Stability of Standard and Poor's 500 Returns. The Journal of Futures Markets  12, 645-658. (with A. Kamara and T. Miller).

1992

Explanation of Volatility in Financial Markets. Digest, Center for the Study of Financial Management, University of Washington at Seattle, Summer, 6‑7.

1992

Options, Hyperoptions, and Contingent Claims. Digest, Center for the Study of Financial Management, University of Washington at Seattle, Summer, 8‑9.

1991

Multiple t‑tests: Some Practical Considerations. TESOL Quarterly  24, 773‑775.

1990

Computer‑Intensive Methods in Auditing: Bootstrap Difference and Ratio Estimation. Auditing: a Journal of Practice & Theory  9, 92‑114. (with G.C. Biddle and C.M. Bruton).

1990

Instructor's Manual with Data Disk to Accompany Practical Business Statistics. 580 pages. Homewood, IL: Irwin. (with M.M. Siegel and A. Siegel).

1990

Practical Business Statistics with StatPad. 962 pages. Homewood, IL: Irwin.

1989

Short‑Sale Restrictions, Asset Price Volatility, and Social Welfare. Digest, Center for the Study of Banking and Financial Markets, University of Washington at Seattle, Spring, 6‑8. Also in Columbia Futures Center Newsletter, Spring, 2‑3. (with A. Kamara).

1988

Instructor's Manual, Statistics and Data Analysis: an Introduction. 380 pages. New York: Wiley. (with A. Siegel and M. Siegel).

1988

Long‑Term Behavior of Yield Curves. Journal of Financial and Quantitative Analysis  23, 105‑110. (with C.R. Nelson).

1988

Zero Degrees of Freedom. Encyclopedia of Statistical Sciences, vol. 9, edited by S. Kotz, N.L. Johnson, and C.B. Read, 672‑674. New York: Wiley.

1988

Statistics and Data Analysis: an Introduction. 518 pages. New York: Wiley.

1987

Quirk in 1‑2‑3 @@ Function. PC Magazine  6 (No. 16, September 29), 386‑387.

1987

Hedging Delivery Risk in Futures Markets. Digest, Center for the Study of Banking and Financial Markets, Autumn, 4‑6. University of Washington at Seattle. (with A. Kamara).

1987

The Determination of Interfacial Tension by Video Image Processing of Pendant Fluid Drops. Journal of Colloid and Interface Science  119, 55‑66. (with S.H. Anastasiadis, J.‑K. Chen, J.T. Koberstein, J.E. Sohn, and J.A. Emerson).

1987

Parsimonious Modeling of Yield Curves. Journal of Business  60, 473‑489. (with C.R. Nelson).

1987

Optimal Hedging in Futures Markets with Multiple Delivery Specifications. Journal of Finance  42, 1007‑1021. (with A. Kamara).

1987

Periodogram Testing Based on Spacings. In Contributions to the Theory and Application of Statistics (a Volume in Honor of Herbert Solomon), edited by A.E. Gelfand, 179‑196. New York: Academic Press. (with J. Beirlant).

1986

Modeling Yield Curves. Digest, Center for the Study of Banking and Financial Markets, Winter, 3-5. University of Washington at Seattle. (with C.R. Nelson).

1986

Rarefaction Curves. Encyclopedia of Statistical Sciences, vol. 7, edited by S. Kotz, N.L. Johnson, and C.B. Read, 623‑626. New York: Wiley.

1986

Counterexamples in Probability and Statistics, 303 pages. Monterey, California: Wadsworth. (with J. Romano).

1986

Designing Buffon's Needle for a Given Crossing Distribution. American Mathematical Monthly 93, 116‑119. (with J.M. Robertson).

1985

The Measure of 'Size' Independent of 'Shape' for Multivariate Lognormal Populations. Journal of the American Statistical Association  80, 910‑914. (with P.D. Sampson).

1985

Consistent Estimation in Partially Observed Random Walks. Annals of Statistics  13, 958‑969. (with P. Guttorp).

1985

Modeling Data Containing Exact Zeroes Using Zero Degrees of Freedom. Journal of the Royal Statistical Society, Series B  47, 267‑271.

1985

Fitting Straight Lines by Eye. In Exploring Data Tables, Trends, and Shapes, edited by D.C. Hoaglin, F. Mosteller, and J.W. Tukey, 225‑239. New York: Wiley. (with F. Mosteller, E. Trapido, and C. Youtz).

1985

Unbiased Monte Carlo Integration Methods with Exactness for Low Order Polynomials. Society for Industrial and Applied Mathematics Journal on Scientific and Statistical Computing  6, 169‑181. (with F. O'Brien).

1984

The Measure of 'Size' Independent of 'Shape' for Multivariate Lognormal Populations: Definition and Applications. Proceedings of Invited Papers, the XIIth International Biometric Conference: Tokyo, Japan. (with P.D. Sampson).

1983

Pattern Matching on a Small Computer. Proceedings of the Statistical Computing Section of the American Statistical Association, 1‑6.

1983

Unbiased Random Integration Methods with Exactness for Low Order Polynomials. Proceedings of the Twenty‑Eighth Conference on the Design of Experiments, U.S. Army Research Office, 351‑355. (with F. O'Brien).

1983

Symposium on Exploratory Data Analysis. Proceedings of the Fourth International Congress on Mathematical Education, edited by M. Zweng, T. Green, J. Kilpatrick, H. Pollak, and M. Suydam, 344‑357. Boston: Birkhauser. (with R. Gnanadesikan, J.R. Kettenring, and P.A. Tukey).

1983

Low Median and Least Absolute Residual Analysis of Two‑Way Tables. Journal of the American Statistical Association  78, 371‑374.

1983

Moments of Particle Size Distributions Under Sequential Breakage with Applications to Species Abundance. Journal of Applied Probability  20, 158‑164. (with G. Sugihara).

1982

Themen aus der Datenanalyse: Begriffe, Methoden, Beispiele und Paedagogik. Der Mathematikunterricht  28, 28‑52. (with R. Gnanadesikan, J.R. Kettenring, and P.A. Tukey).

1982

Quadrature Designs for Unbiased Estimation of the Integral of Any Function. Proceedings of the Statistical Computing Section of the American Statistical Association, 69‑73. (with F. Zambuto).

1982

A Robust Comparison of the Three‑Dimensional Configurations of Protein Molecules. Technical Report No. 224, Series 2, Department of Statistics, Princeton University. (with J.R. Pinkerton).

1982

On the Measurement of Morphology and its Change. Paleobiology  8, 328‑339. (with R.H. Benson and R.E. Chapman).

1982

Robust and Least Squares Orthogonal Mapping: Methods for the Study of Cephalofacial Form and Growth. American Journal of Physical Anthropology  59, 131‑137. (with A.F. Olshan and D.R. Swindler).

1982

Robust Regression Using Repeated Medians. Biometrika  69, 242‑244.

1982

Covering the Circle with Random Arcs of Random Sizes. Journal of Applied Probability  19, 373‑381. (with L. Holst).

1982

A Robust Comparison of Biological Shapes. Biometrics  38, 341‑350. (with R.H. Benson).

1982

Rarefaction and Taxonomic Diversity. Biometrics  38, 235‑241. (with R.Z. German).

1982

Modern Data Analysis, 201 pages. New York: Academic Press. (with R.L. Launer as co‑editor).

1982

Geometric Data Analysis: an Interactive Graphics Program for Shape Comparison. In Modern Data Analysis, edited by R.L. Launer and A.F. Siegel, 103‑122. New York: Academic Press.

1981

Eye Fitting Straight Lines. The American Statistician  35, 150‑152. (with F. Mosteller, E. Trapido, and C. Youtz).

1980

Modeling Hydrocarbon Reservoirs: Parametrization, Validation, and Prediction. Technical Report LA‑UR‑80‑2508, Los Alamos Scientific Laboratories. (with C.J. Nachtsheim).

1980

Degeneracy when DNA Codes for Overlapping Genes. Mathematical Biosciences  49, 1‑16. (with W.M. Fitch).

1980

Testing for Periodicity in a Time Series. Journal of the American Statistical Association  75, 345‑348.

1979

The Noncentral Chi‑Squared Distribution with Zero Degrees of Freedom and Testing for Uniformity. Biometrika  66, 381‑386.

1979

Asymptotic Coverage Distributions on the Circle. Annals of Probability  7, 651‑661.

1978

Random Arcs on the Circle. Journal of Applied Probability  15, 774‑789.

1978

Random Space Filling and Moments of Coverage in Geometrical Probability. (1978). Journal of Applied Probability  15, 340‑355.

1977

Random Coverage Problems in Geometrical Probability with an Application to Time Series Analysis. Ph.D. Thesis, Department of Statistics, Stanford University.