Essays on volatility and liquidity in financial markets

The price formation of financial assets is a complex process. It extends beyond the standard economic paradigm of supply and demand to the understanding of the dynamic behavior of price variability, the price impact of information, and the implications of trading behavior of market participants on prices. In this thesis, I study aggregate market and individual assets volatility, liquidity dimensions, and causes of mispricing for US equities over a recent sample period. How volatility forecasts are modeled, what determines intradaily jumps and causes changes in intradaily volatility and what drives the premium of traded equity indexes? Are they induced, for example, by the information content of lagged volatility and return parameters or by macroeconomic news, changes in liquidity and volatility? Besides satisfying our intellectual curiosity, answers to these questions are of direct importance to investors developing trading strategies, policy makers evaluating macroeconomic policies and to arbitrageurs exploiting mispricing in exchange-traded funds. Results show that the leverage effect and lagged absolute returns improve forecasts of continuous components of daily realized volatility as well as jumps. Implied volatility does not subsume the information content of lagged returns in forecasting realized volatility and its components. The reported results are linked to the heterogeneous market hypothesis and demonstrate the validity of extending the hypothesis to returns. Depth shocks, signed order flow, the number of trades, and resiliency are the most important determinants of intradaily volatility. In contrast, spread shock and resiliency are predictive of signed intradaily jumps. There are fewer macroeconomic news announcement surprises that cause extreme price movements or jumps than those that elevate intradaily volatility. Finally, the premium of exchange-traded funds is significantly associated with momentum in net asset value and a number of liquidity parameters including the spread, traded volume, and illiquidity. The mispricing of industry exchange traded funds suggest that limits to arbitrage are driven by potential illiquidity.

Phantom Scatter and the A-SI EPID

Introduction: The use of amorphous-silicon electronic portal imaging devices (a-Si EPIDs) for dosimetry is complicated by the effects of scattered radiation. In photon radiotherapy, primary signal at the detector can be accompanied by photons scattered from linear accelerator components, detector materials, intervening air, treatment room surfaces (floor, walls, etc) and from the patient/phantom being irradiated. Consequently, EPID measurements which presume to take scatter into account are highly sensitive to the identification of these contributions. One example of this susceptibility is the process of calibrating an EPID for use as a gauge of (radiological) thickness, where specific allowance must be made for the effect of phantom-scatter on the intensity of radiation measured through different thicknesses of phantom. This is usually done via a theoretical calculation which assumes that phantom scatter is linearly related to thickness and field-size. We have, however, undertaken a more detailed study of the scattering effects of fields of different dimensions when applied to phantoms of various thicknesses in order to derive scattered-primary ratios (SPRs) directly from simulation results. This allows us to make a more-accurate calibration of the EPID, and to qualify the appositeness of the theoretical SPR calculations. Methods: This study uses a full MC model of the entire linac-phantom-detector system simulated using EGSnrc/BEAMnrc codes. The Elekta linac and EPID are modelled according to specifications from the manufacturer and the intervening phantoms are modelled as rectilinear blocks of water or plastic, with their densities set to a range of physically realistic and unrealistic values. Transmissions through these various phantoms are calculated using the dose detected in the model EPID and used in an evaluation of the field-size-dependence of SPR, in different media, applying a method suggested for experimental systems by Swindell and Evans [1]. These results are compared firstly with SPRs calculated using the theoretical, linear relationship between SPR and irradiated volume, and secondly with SPRs evaluated from our own experimental data. An alternate evaluation of the SPR in each simulated system is also made by modifying the BEAMnrc user code READPHSP, to identify and count those particles in a given plane of the system that have undergone a scattering event. In addition to these simulations, which are designed to closely replicate the experimental setup, we also used MC models to examine the effects of varying the setup in experimentally challenging ways (changing the size of the air gap between the phantom and the EPID, changing the longitudinal position of the EPID itself). Experimental measurements used in this study were made using an Elekta Precise linear accelerator, operating at 6MV, with an Elekta iView GT a-Si EPID. Results and Discussion: 1. Comparison with theory: With the Elekta iView EPID fixed at 160 cm from the photon source, the phantoms, when positioned isocentrically, are located 41 to 55 cm from the surface of the panel. At this geometry, a close but imperfect agreement (differing by up to 5%) can be identified between the results of the simulations and the theoretical calculations. However, this agreement can be totally disrupted by shifting the phantom out of the isocentric position. Evidently, the allowance made for source-phantom-detector geometry by the theoretical expression for SPR is inadequate to describe the effect that phantom proximity can have on measurements made using an (infamously low-energy sensitive) a-Si EPID. 2. Comparison with experiment: For various square field sizes and across the range of phantom thicknesses, there is good agreement between simulation data and experimental measurements of the transmissions and the derived values of the primary intensities. However, the values of SPR obtained through these simulations and measurements seem to be much more sensitive to slight differences between the simulated and real systems, leading to difficulties in producing a simulated system which adequately replicates the experimental data. (For instance, small changes to simulated phantom density make large differences to resulting SPR.) 3. Comparison with direct calculation: By developing a method for directly counting the number scattered particles reaching the detector after passing through the various isocentric phantom thicknesses, we show that the experimental method discussed above is providing a good measure of the actual degree of scattering produced by the phantom. This calculation also permits the analysis of the scattering sources/sinks within the linac and EPID, as well as the phantom and intervening air. Conclusions: This work challenges the assumption that scatter to and within an EPID can be accounted for using a simple, linear model. Simulations discussed here are intended to contribute to a fuller understanding of the contribution of scattered radiation to the EPID images that are used in dosimetry calculations. Acknowledgements: This work is funded by the NHMRC, through a project grant, and supported by the Queensland University of Technology (QUT) and the Royal Brisbane and Women's Hospital, Brisbane, Australia. The authors are also grateful to Elekta for the provision of manufacturing specifications which permitted the detailed simulation of their linear accelerators and amorphous-silicon electronic portal imaging devices. Computational resources and services used in this work were provided by the HPC and Research Support Group, QUT, Brisbane, Australia.

Improving business process models using observed behavior

Process-aware information systems (PAISs) can be configured using a reference process model, which is typically obtained via expert interviews. Over time, however, contextual factors and system requirements may cause the operational process to start deviating from this reference model. While a reference model should ideally be updated to remain aligned with such changes, this is a costly and often neglected activity. We present a new process mining technique that automatically improves the reference model on the basis of the observed behavior as recorded in the event logs of a PAIS. We discuss how to balance the four basic quality dimensions for process mining (fitness, precision, simplicity and generalization) and a new dimension, namely the structural similarity between the reference model and the discovered model. We demonstrate the applicability of this technique using a real-life scenario from a Dutch municipality.

Susceptibility of the critical structural components of railway bridges to the changes in train speed

Modern trains with different axle configurations, speeds and loads are used in railway networks. As a result, one of the most important questions of the mangers involved in bridge managements systems (BMS) is how these changes affect the structural behavior of the critical components of the railway bridges. Although researchers have conducted, many investigations on the dynamic effects of the moving loads on bridges, the influence of the changes in the speed of the train on the demand by capacity ratios of the different critical components of the bridge have not yet been properly studied. This study is important, because different components with different capacities and roles for carrying loads in the structure may be affected differently. To investigate the above phenomenon in this research, a structural model of a simply supported bridge is developed. It will be verified that the dynamic behavior of this bridge is similar to a group of railway bridges in Australia. Demand by capacity ratios of the critical components of the bridge, when it is subjected to a train load with different speeds will be calculated. The results show that the effect of increase or decrease of speed should not be underestimated. The outcome is very significant as it is contrary to what is currently expected, i.e. by reducing the speed of the train, the demand by capacity ratio of components may increase and make the bridge unsafe for carrying live load.

In situ observation of structural changes in polycrystalline silver catalysts by environmental scanning electron microscopy

Morphology changes induced in polycrystalline silver catalysts as a result of heating in either oxygen, water or oxygen-methanol atmospheres have been investigated by environmental scanning electron microscopy (ESEM), FT-Raman spectroscopy and temperature programmed desorption (TPD). The silver catalyst of interest consisted of two distinct particle types, one of which contained a significant concentration of sub-surface hydroxy species (in addition to surface adsorbed atomic oxygen). Heating the sample to 663 K resulted in the production of 'pin-holes' in the silver structure as a consequence of near-surface explosions caused by sub-surface hydroxy recombination. Furthermore, 'pin-holes' were predominantly found in the vicinity of surface defects, such as platelets and edge structures. Reaction between methanol and oxygen also resulted in the formation of 'pin-holes' in the silver surface, which were inherently associated with the catalytic process. A reaction mechanism is suggested that involves the interaction of methanol with sub-surface oxygen species to form sub-surface hydroxy groups. The sub-surface hydroxy species subsequently erupt through the silver surface to again produce 'pin-holes'.

The impact of organisational culture in project selection process : case of public infrastructure project in Indonesia

The thesis develops an Organisational Culture (OC) based framework for potentially improving the current practice of the infrastructure project selection process (PSP) in Indonesia, particularly for regional road projects. This framework is developed to address the suggestion emanating from the research that there is a need for strengthening the relevant organisational culture dimensions and making changes to current organisational culture profiles to support the effectiveness of the decision-making process of the current PSP. The findings not only benefit existing knowledge but also provide practical contributions for those decision-makers within the Indonesian regional government that are involved in PSP, i.e. by raising the awareness of the influence and the role of organisational culture.

Thyroxine and reserpine-induced changes in metabolic profiles of rat urine and the therapeutic effect of Liu Wei Di Huang Wan detected by UPLC-HDMS

The promise of metabonomics, a new "omics" technique, to validate Chinese medicines and the compatibility of Chinese formulas has been appreciated. The present study was undertaken to explore the excretion pattern of low molecular mass metabolites in the male Wistar-derived rat model of kidney yin deficiency induced with thyroxine and reserpine as well as the therapeutic effect of Liu Wei Di Huang Wan (LW) and its separated prescriptions, a classic traditional Chinese medicine formula for treating kidney yin deficiency in China. The study utilized ultra-performance liquid chromatography/electrospray ionization synapt high definition mass spectrometry (UPLC/ESI-SYNAPT-HDMS) in both negative and positive electrospray ionization (ESI). At the same time, blood biochemistry was examined to identify specific changes in the kidney yin deficiency. Distinct changes in the pattern of metabolites, as a result of daily administration of thyroxine and reserpine, were observed by UPLC-HDMS combined with a principal component analysis (PCA). The changes in metabolic profiling were restored to their baseline values after treatment with LW according to the PCA score plots. Altogether, the current metabonomic approach based on UPLC-HDMS and orthogonal projection to latent structures discriminate analysis (OPLS-DA) indicated 20 ions (14 in the negative mode, 8 in the positive mode, and 2 in both) as "differentiating metabolites".

Faculty-librarian partnerships in Australian higher education : critical dimensions

Australian higher education is presently subject to a period of substantial change. The needs of the economy and workforce, together with the broader educational role of the university are leading to focus on lifelong learning as a tool for bringing together the apparently diverging needs of different groups. Within this broader context, the emphasis on lifelong learning and associated graduate capabilities is leading to opportunities for new partnerships between faculty and librarians, partnerships that bring the two groups together in ways that are helping to transform the experience of teaching and learning. This paper explores emerging partnerships in diverse areas, including research and scholarship, curriculum, policy, supervision, and staff development. They are in the early phases of development and result from a broad focus on the learning and information literacy needs of students, as opposed to a narrow focus on using the library and its information resources. Taken together, and viewed from a system-wide perspective, these partnerships reveal a complex dynamic that is deserving of wider attention across the Australian higher education system and internationally.

Job changes, occupational mobility and human capital acquisition : an empirical analysis

Most individuals have more than one job or occupation in their working lives. Most employees are repeatedly faced with the choice of whether to remain in their present job (with the possibility of promotion), or quit to another job in the same occupation with a different firm, or - more radically change occupation. At each stage in an individual's career, the scope for future job or occupational mobility is largely conditioned by the type and quantity of their human capital. This paper presents an empirical study of the factors which link occupational mobility and the acquisition of either firm-based, occupation-specific or general human capital. The data employed are from a cohort of 1980 UK graduates drawn from the Department of Employment Survey 1987. The econometric work presents estimates of the role of firm-based training and occupation-specific training in the career mobility of qualified manpower in the first seven years in the labour market

Optical data encryption using time-dependent dynamics of refractive index changes in LiNbO3

We present a method for optical encryption of information, based on the time-dependent dynamics of writing and erasure of refractive index changes in a bulk lithium niobate medium. Information is written into the photorefractive crystal with a spatially amplitude modulated laser beam which when overexposed significantly degrades the stored data making it unrecognizable. We show that the degradation can be reversed and that a one-to-one relationship exists between the degradation and recovery rates. It is shown that this simple relationship can be used to determine the erasure time required for decrypting the scrambled index patterns. In addition, this method could be used as a straightforward general technique for determining characteristic writing and erasure rates in photorefractive media.

Age-related changes in cardiac adenosine receptor expression

Adenosine is an important cardioprotective agent that works via several adenosine receptor (ADOR) subtypes to regulate cardiovascular activity. It is well established that functional responses to adenosine decline with age. What is unclear, though, is whether these changes occur at the receptor, second messenger or translational level. In this study we determined the effect of age on cardiac adenosine receptor expression using the housekeeping gene 18S rRNA versus the adenosine A2B receptor gene as internal controls. Absolute quantification showed that no age-related changes occurred in the expression of 18S rRNA or adenosine A2B receptor internal control genes. Subsequently, relative analysis of the adenosine receptor subtypes using 18S rRNA found a significant age-related reduction in the expression of the adenosine A1 receptor (5.5-fold), with no changes in the expression of the adenosine A2A, A2B and A3 receptors. When using the expression of the adenosine A2B receptor as the internal control gene, a significant down regulation of both the adenosine A1 (5.4-fold) and A2A (2.2-fold) receptors with no change in the expression of adenosine A3 receptor was found. Therefore, the high level of expression of the 18S rRNA housekeeping gene was found to mask a significant change in expression of the adenosine A2A receptor with age. Ultimately, these findings show an age-related reduction in adenosine A1 and A2A receptor expression in rat heart.

Changes in health profiles of participants in an Australian police department’s Wellness program

Background: Little is known about the health effects of worksite wellness programs on police department staff. Objective: To examine 1-2 year changes in health profiles of participants in the Queensland Police Service’s wellness program. Methods: Participants underwent yearly physical assessments. Health profile data collected during assessments from 2008 to 2012 were included in the analysis. Data Analysis: Repeated-measures ANOVA was used for continuous outcome variables, related-samples Wilcoxon Signed Rank test for non-normally continuous variables, and McNemar’s test for binary variables. Results: Significant changes in physical measures included decreases in waist circumference and percent body fat, and increases in cardiorespiratory fitness and flexibility (p<0.01). Changes in serum cholesterol, haemoglobin, total cholesterol ratios, HDL, LDL and Triglyceride levels were also significant (p<0.01). Conclusion: Participants’ health profiles mostly improved between cycles although most changes were not clinically significant. As this evaluation used a single-group pre-test post-test design, it provides initial indications that wellness programs can benefit staff in police departments.

Quantitative and qualitative changes in gene expression patterns characterize the activity of plaques in multiple sclerosis

Multiple sclerosis (MS) is a complex autoimmune disorder of the CNS with both genetic and environmental contributing factors. Clinical symptoms are broadly characterized by initial onset, and progressive debilitating neurological impairment. In this study, RNA from MS chronic active and MS acute lesions was extracted, and compared with patient matched normal white matter by fluorescent cDNA microarray hybridization analysis. This resulted in the identification of 139 genes that were differentially regulated in MS plaque tissue compared to normal tissue. Of these, 69 genes showed a common pattern of expression in the chronic active and acute plaque tissues investigated (Pvalue<0.0001, ρ=0.73, by Spearman's ρ analysis); while 70 transcripts were uniquely differentially expressed (≥1.5-fold) in either acute or chronic active tissues. These results included known markers of MS such as the myelin basic protein (MBP) and glutathione S-transferase (GST) M1, nerve growth factors, such as nerve injury-induced protein 1 (NINJ1), X-ray and excision DNA repair factors (XRCC9 and ERCC5) and X-linked genes such as the ribosomal protein, RPS4X. Primers were then designed for seven array-selected genes, including transferrin (TF), superoxide dismutase 1 (SOD1), glutathione peroxidase 1 (GPX1), GSTP1, crystallin, alpha-B (CRYAB), phosphomannomutase 1 (PMM1) and tubulin β-5 (TBB5), and real time quantitative (Q)-PCR analysis was performed. The results of comparative Q-PCR analysis correlated significantly with those obtained by array analysis (r=0.75, Pvalue<0.01, by Pearson's bivariate correlation). Both chronic active and acute plaques shared the majority of factors identified suggesting that quantitative, rather than gross qualitative differences in gene expression pattern may define the progression from acute to chronic active plaques in MS.

Phenotypic changes in artemisinin-resistant plasmodium falciparum lines in vitro: evidence for decreased sensitivity to dormancy and growth inhibition

The appearance of Plasmodium falciparum parasites with decreased in vivo sensitivity but no measurable in vitro resistance to artemisinin has raised the urgent need to characterize the artemisinin resistance phenotype. Changes in the temporary growth arrest (dormancy) profile of parasites may be one aspect of this phenotype. In this study, we investigated the link between dormancy and resistance, using artelinic acid (AL)-resistant parasites. Our results demonstrate that the AL resistance phenotype has (i) decreased sensitivity of mature-stage parasites, (ii) decreased sensitivity of the ring stage to the induction of dormancy, and (iii) a faster recovery from dormancy.