Forecasting volatility and correlation : the role of option implied measures

Forecasts of volatility and correlation are important inputs into many practical financial problems. Broadly speaking, there are two ways of generating forecasts of these variables. Firstly, time-series models apply a statistical weighting scheme to historical measurements of the variable of interest. The alternative methodology extracts forecasts from the market traded value of option contracts. An efficient options market should be able to produce superior forecasts as it utilises a larger information set of not only historical information but also the market equilibrium expectation of options market participants. While much research has been conducted into the relative merits of these approaches, this thesis extends the literature along several lines through three empirical studies. Firstly, it is demonstrated that there exist statistically significant benefits to taking the volatility risk premium into account for the implied volatility for the purposes of univariate volatility forecasting. Secondly, high-frequency option implied measures are shown to lead to superior forecasts of the intraday stochastic component of intraday volatility and that these then lead on to superior forecasts of intraday total volatility. Finally, the use of realised and option implied measures of equicorrelation are shown to dominate measures based on daily returns.

A review of current statistical methodologies for in storage sampling and surveillance in the grains industry

Effective, statistically robust sampling and surveillance strategies form an integral component of large agricultural industries such as the grains industry. Intensive in-storage sampling is essential for pest detection, Integrated Pest Management (IPM), to determine grain quality and to satisfy importing nation’s biosecurity concerns, while surveillance over broad geographic regions ensures that biosecurity risks can be excluded, monitored, eradicated or contained within an area. In the grains industry, a number of qualitative and quantitative methodologies for surveillance and in-storage sampling have been considered. Primarily, research has focussed on developing statistical methodologies for in storage sampling strategies concentrating on detection of pest insects within a grain bulk, however, the need for effective and statistically defensible surveillance strategies has also been recognised. Interestingly, although surveillance and in storage sampling have typically been considered independently, many techniques and concepts are common between the two fields of research. This review aims to consider the development of statistically based in storage sampling and surveillance strategies and to identify methods that may be useful for both surveillance and in storage sampling. We discuss the utility of new quantitative and qualitative approaches, such as Bayesian statistics, fault trees and more traditional probabilistic methods and show how these methods may be used in both surveillance and in storage sampling systems.

Health professionals’ perspectives on information provision for patients with brain tumours and their families

A significant number of patients diagnosed with primary brain tumours report unmet information needs. Using concept mapping methodology, this study aimed to identify strategies for improving information provision, and to describe factors that health professionals understood to influence their provision of information to patients with brain tumours and their families. Concept mapping is a mixed methods approach that uses statistical methods to represent participants’ perceived relationships between elements as conceptual maps. These maps, and results of associated data collection and analyses, are used to extract concepts involved in information provision to these patients. Thirty health professionals working across a range of neuro-oncology roles and settings participated in the concept mapping process. Participants rated a care coordinator as the most important strategy for improving brain tumour care, with psychological support as a whole rated as the most important element of care. Five major themes were identified as facilitating information provision: health professionals’ communication skills, style and attitudes; patients’ needs and preferences; perceptions of patients’ need for protection and initiative; rapport and continuity between patients and health professionals; and the nature of the health care system. Overall, health professionals conceptualised information provision as ‘individualised’, dependent on these interconnected personal and environmental factors.

Bayesian hierarchical models in statistical quality control methods to improve healthcare in hospitals

Quality oriented management systems and methods have become the dominant business and governance paradigm. From this perspective, satisfying customers’ expectations by supplying reliable, good quality products and services is the key factor for an organization and even government. During recent decades, Statistical Quality Control (SQC) methods have been developed as the technical core of quality management and continuous improvement philosophy and now are being applied widely to improve the quality of products and services in industrial and business sectors. Recently SQC tools, in particular quality control charts, have been used in healthcare surveillance. In some cases, these tools have been modified and developed to better suit the health sector characteristics and needs. It seems that some of the work in the healthcare area has evolved independently of the development of industrial statistical process control methods. Therefore analysing and comparing paradigms and the characteristics of quality control charts and techniques across the different sectors presents some opportunities for transferring knowledge and future development in each sectors. Meanwhile considering capabilities of Bayesian approach particularly Bayesian hierarchical models and computational techniques in which all uncertainty are expressed as a structure of probability, facilitates decision making and cost-effectiveness analyses. Therefore, this research investigates the use of quality improvement cycle in a health vii setting using clinical data from a hospital. The need of clinical data for monitoring purposes is investigated in two aspects. A framework and appropriate tools from the industrial context are proposed and applied to evaluate and improve data quality in available datasets and data flow; then a data capturing algorithm using Bayesian decision making methods is developed to determine economical sample size for statistical analyses within the quality improvement cycle. Following ensuring clinical data quality, some characteristics of control charts in the health context including the necessity of monitoring attribute data and correlated quality characteristics are considered. To this end, multivariate control charts from an industrial context are adapted to monitor radiation delivered to patients undergoing diagnostic coronary angiogram and various risk-adjusted control charts are constructed and investigated in monitoring binary outcomes of clinical interventions as well as postintervention survival time. Meanwhile, adoption of a Bayesian approach is proposed as a new framework in estimation of change point following control chart’s signal. This estimate aims to facilitate root causes efforts in quality improvement cycle since it cuts the search for the potential causes of detected changes to a tighter time-frame prior to the signal. This approach enables us to obtain highly informative estimates for change point parameters since probability distribution based results are obtained. Using Bayesian hierarchical models and Markov chain Monte Carlo computational methods, Bayesian estimators of the time and the magnitude of various change scenarios including step change, linear trend and multiple change in a Poisson process are developed and investigated. The benefits of change point investigation is revisited and promoted in monitoring hospital outcomes where the developed Bayesian estimator reports the true time of the shifts, compared to priori known causes, detected by control charts in monitoring rate of excess usage of blood products and major adverse events during and after cardiac surgery in a local hospital. The development of the Bayesian change point estimators are then followed in a healthcare surveillances for processes in which pre-intervention characteristics of patients are viii affecting the outcomes. In this setting, at first, the Bayesian estimator is extended to capture the patient mix, covariates, through risk models underlying risk-adjusted control charts. Variations of the estimator are developed to estimate the true time of step changes and linear trends in odds ratio of intensive care unit outcomes in a local hospital. Secondly, the Bayesian estimator is extended to identify the time of a shift in mean survival time after a clinical intervention which is being monitored by riskadjusted survival time control charts. In this context, the survival time after a clinical intervention is also affected by patient mix and the survival function is constructed using survival prediction model. The simulation study undertaken in each research component and obtained results highly recommend the developed Bayesian estimators as a strong alternative in change point estimation within quality improvement cycle in healthcare surveillances as well as industrial and business contexts. The superiority of the proposed Bayesian framework and estimators are enhanced when probability quantification, flexibility and generalizability of the developed model are also considered. The empirical results and simulations indicate that the Bayesian estimators are a strong alternative in change point estimation within quality improvement cycle in healthcare surveillances. The superiority of the proposed Bayesian framework and estimators are enhanced when probability quantification, flexibility and generalizability of the developed model are also considered. The advantages of the Bayesian approach seen in general context of quality control may also be extended in the industrial and business domains where quality monitoring was initially developed.

Reading research methodology and the reading research quarterly : a question of gender

The paper discusses an aspect of reading research methodology as represented by papers published by the Reading Research Quarterly from the beginning of 1989(volume 24, Number 1) to the end of 1993 (volume 28, Number 4). The discussion suggests some points of departure between this research community and an Australian community broadly defined as poststructural. A focus for this investigation is the function of “gender” within the methodological approaches of the two communities. Suggestions are made regarding some potentially productive points of intersection between the work of American and Australian reading researchers.

Integrating driving and traffic simulators to study railway level crossing safety interventions : a methodology

Safety at Railway Level Crossings (RLXs) is an important issue within the Australian transport system. Crashes at RLXs involving road vehicles in Australia are estimated to cost $10 million each year. Such crashes are mainly due to human factors; unintentional errors contribute to 46% of all fatal collisions and are far more common than deliberate violations. This suggests that innovative intervention targeting drivers are particularly promising to improve RLX safety. In recent years there has been a rapid development of a variety of affordable technologies which can be used to increase driver’s risk awareness around crossings. To date, no research has evaluated the potential effects of such technologies at RLXs in terms of safety, traffic and acceptance of the technology. Integrating driving and traffic simulations is a safe and affordable approach for evaluating these effects. This methodology will be implemented in a driving simulator, where we recreated realistic driving scenario with typical road environments and realistic traffic. This paper presents a methodology for evaluating comprehensively potential benefits and negative effects of such interventions: this methodology evaluates driver awareness at RLXs , driver distraction and workload when using the technology . Subjective assessment on perceived usefulness and ease of use of the technology is obtained from standard questionnaires. Driving simulation will provide a model of driving behaviour at RLXs which will be used to estimate the effects of such new technology on a road network featuring RLX for different market penetrations using a traffic simulation. This methodology can assist in evaluating future safety interventions at RLXs.

Methodology to assess safety effects of future Intelligent Transport Systems on railway level crossings

There is consistent evidence showing that driver behaviour contributes to crashes and near miss incidents at railway level crossings (RLXs). The development of emerging Vehicle-to-Vehicle and Vehicle-to-Infrastructure technologies is a highly promising approach to improve RLX safety. To date, research has not evaluated comprehensively the potential effects of such technologies on driving behaviour at RLXs. This paper presents an on-going research programme assessing the impacts of such new technologies on human factors and drivers’ situational awareness at RLX. Additionally, requirements for the design of such promising technologies and ways to display safety information to drivers were systematically reviewed. Finally, a methodology which comprehensively assesses the effects of in-vehicle and road-based interventions warning the driver of incoming trains at RLXs is discussed, with a focus on both benefits and potential negative behavioural adaptations. The methodology is designed for implementation in a driving simulator and covers compliance, control of the vehicle, distraction, mental workload and drivers’ acceptance. This study has the potential to provide a broad understanding of the effects of deploying new in-vehicle and road-based technologies at RLXs and hence inform policy makers on safety improvements planning for RLX.

The Impact of Indigenous status on adult sentencing : a review of the statistical research literature.

The gross overrepresentation of Indigenous peoples in prison populations suggests that sentencing may be a discriminatory process. Using findings from recent (1991–2011) multivariate statistical sentencing analyses from the United States, Canada, and Australia, we review the 3 key hypotheses advanced as plausible explanations for baseline sentencing discrepancies between Indigenous and non-Indigenous adult criminal defendants: (a) differential involvement, (b) negative discrimination, and (c) positive discrimination. Overall, the prior research shows strong support for the differential involvement thesis and some support for the discrimination theses (positive and negative). We argue that where discrimination is found, it may be explained by the lack of a more complete set of control variables in researchers’ multivariate models and/or differing political and social contexts.

An ingenuous Decision Support System (iDSS) approach for remote area pregnant women

This paper addresses development of an ingenious decision support system (iDSS) based on the methodology of survey instruments and identification of significant variables to be used in iDSS using statistical analysis. A survey was undertaken with pregnant women and factorial experimental design was chosen to acquire sample size. Variables with good reliability in any one of the statistical techniques such as Chi-square, Cronbach’s α and Classification Tree were incorporated in the iDSS. The ingenious decision support system was implemented with Visual Basic as front end and Microsoft SQL server management as backend. Outcome of the ingenious decision support system include advice on Symptoms, Diet and Exercise to pregnant women.

Statistical and scientometric analysis of international research in geographical and environmental education

Certain statistic and scientometric features of articles published in the journal “International Research in Geographical and Environmental Education” are examined in this paper, for the period 1992-2009, by applying nonparametric statistics and Shannon’s entropy (diversity) formula. The main findings of this analysis are: a) after 2004 the research priorities of researchers in geographical and environmental education seem to have changed, b) “teacher education” has been the most recurrent theme throughout these 18 years, followed by “values & attitudes” and “inquiry & problem solving” c) the themes “GIS” and “Sustainability” were the most “stable” throughout the 18 years, meaning that they maintained their ranks as publication priorities more than other themes, d) citations of IRGEE increase annually, e) the average thematic diversity of articles published during the period 1992-2009 is 82.7% of the maximum thematic diversity (very high), meaning that the Journal has the capacity to attract a wide readership for the 10 themes it has successfully covered throughout the 18 years of its publication.

The nurse researcher : an added dimension to qualitative research methodology

Nurse researchers are increasingly adopting qualitative methodologies for research practice and theory development. These approaches to research are, in many cases, more appropriate for the field of nursing inquiry than the previously dominant techno-rational methods. However, there remains the issue of adapting methodologies developed in other academic disciplines to the nursing research context. This paper draws upon my own experience with interpretive research to raise questions about the issue of nursing research within a social science research framework. The paper argues that by integrating the characteristics of nursing practice with the characteristics of research practice, the researcher can develop a 'nursing lens', an approach to qualitative research that brings an added dimension to social science methodologies in the nursing research context. Attention is drawn to the unique nature of the nurse-patient relationship, and the ways in which this aspect of nursing practice can enhance nursing research. Examples are given from interview transcripts to support this position.

Increasing learners’ satisfaction/intention to adopt more e-learning

Purpose: E-learning is an organisationally risky investment given the cost and poor levels of adoption by users. In order to gain a better understanding of this problem, a study was conducted into the use of e-learning in a rail organisation. Design/methodology/approach: Using an online survey, employees of a rail-sector organisation were questioned about their use and likelihood of adoption of e-learning. This study explores the factors that affect the way in which learners experience and perceive such systems. Using statistical analysis, twelve hypotheses are tested and explored. Relationships between learning satisfaction, intention to adopt and the characteristics of e-learning systems were established. Findings: The study found that e-learning characteristics can buffer the relationship between learner characteristics and intention to adopt further e-learning in the future. Further, we found that high levels of support can compensate individuals who are low in technological efficacy to adopt e-learning. Research limitations/implications: The cross-sectional design of the study and its focus on measuring intention to adopt as opposed to actual adoption are both limitations. Future research using longitudinal design and research employing a time lag design measuring actual adoption as well as intention are recommended. Practical implications: From a practical perspective, organizations can focus on the actual content and authenticity of the learning experience delivered by the e-learning system to significantly impact how employees will perceive and use e-learning in the future. Low technological efficacy individuals tend not to adopt new technology. Instead of changing individuals’ personalities, organizations can implement supportive policies and practices which would lead to higher e-learning adoption rate among low efficacy individuals. Originality/value: The study integrates technology adoption and learning literatures in developing enablers for e-learning in organizations. Further, this study collects data from rail employees, and therefore the findings are practical to an industry.

Linking three-dimensional geological modelling and multivariate statistical analysis to define groundwater chemistry baseline and identify inter-aquifer connectivity within the Clarence-Moreton Basin, Southeast Queensland, Australia

The Clarence-Moreton Basin (CMB) covers approximately 26000 km2 and is the only sub-basin of the Great Artesian Basin (GAB) in which there is flow to both the south-west and the east, although flow to the south-west is predominant. In many parts of the basin, including catchments of the Bremer, Logan and upper Condamine Rivers in southeast Queensland, the Walloon Coal Measures are under exploration for Coal Seam Gas (CSG). In order to assess spatial variations in groundwater flow and hydrochemistry at a basin-wide scale, a 3D hydrogeological model of the Queensland section of the CMB has been developed using GoCAD modelling software. Prior to any large-scale CSG extraction, it is essential to understand the existing hydrochemical character of the different aquifers and to establish any potential linkage. To effectively use the large amount of water chemistry data existing for assessment of hydrochemical evolution within the different lithostratigraphic units, multivariate statistical techniques were employed.

Review of statistical methods for disease mapping

Cancer poses an undeniable burden to the health and wellbeing of the Australian community. In a recent report commissioned by the Australian Institute for Health and Welfare(AIHW, 2010), one in every two Australians on average will be diagnosed with cancer by the age of 85, making cancer the second leading cause of death in 2007, preceded only by cardiovascular disease. Despite modest decreases in standardised combined cancer mortality over the past few decades, in part due to increased funding and access to screening programs, cancer remains a significant economic burden. In 2010, all cancers accounted for an estimated 19% of the country's total burden of disease, equating to approximately $3:8 billion in direct health system costs (Cancer Council Australia, 2011). Furthermore, there remains established socio-economic and other demographic inequalities in cancer incidence and survival, for example, by indigenous status and rurality. Therefore, in the interests of the nation's health and economic management, there is an immediate need to devise data-driven strategies to not only understand the socio-economic drivers of cancer but also facilitate the implementation of cost-effective resource allocation for cancer management...