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.

How important is length? : mechanical testing and measurement of a cemented, polished, tapered femoral implant

Total hip arthroplasty (THA) has a proven clinical record for providing pain relief and return of function to patients with disabling arthritis. There are many successful options for femoral implant design and fixation. Cemented, polished, tapered femoral implants have been shown to have excellent results in national joint registries and long-term clinical series. These implants are usually 150mm long at their lateral aspect. Due to their length, these implants cannot always be offered to patients due to variations in femoral anatomy. Polished, tapered implants as short as 95mm exist, however their small proximal geometry (neck offset and body size) limit their use to smaller stature patients. There is a group of patients in which a shorter implant with a maintained proximal body size would be advantageous. There are also potential benefits to a shorter implant in standard patient populations such as reduced bone removal due to reduced reaming, favourable loading of the proximal femur, and the ability to revise into good proximal bone stock if required. These factors potentially make a shorter implant an option for all patient populations. The role of implant length in determining the stability of a cemented, polished, tapered femoral implant is not well defined by the literature. Before changes in implant design can be made, a better understanding of the role of each region in determining performance is required. The aim of the thesis was to describe how implant length affects the stability of a cemented, polished, tapered femoral implant. This has been determined through an extensive body of laboratory testing. The major findings are that for a given proximal body size, a reduction in implant length has no effect on the torsional stability of a polished, tapered design, while a small reduction in axial stability should be expected. These findings are important because the literature suggests that torsional stability is the major determinant of long-term clinical performance of a THA system. Furthermore, a polished, tapered design is known to be forgiving of cement-implant interface micromotion due to the favourable wear characteristics. Together these findings suggest that a shorter polished, tapered implant may be well tolerated. The effect of a change in implant length on the geometric characteristics of polished, tapered design were also determined and applied to the mechanical testing. Importantly, interface area does play a role in stability of the system; however it is the distribution of the interface and not the magnitude of the area that defines stability. Taper angle (at least in the range of angles seen in this work) was shown not to be a determinant of axial or torsional stability. A range of implants were tested, comparing variations in length, neck offset and indication (primary versus cement-in-cement revision). At their manufactured length, the 125mm implants were similar to their longer 150mm counterparts suggesting that they may be similarly well tolerated in the clinical environment. However, the slimmer cement-in-cement revision implant was shown to have a poorer mechanical performance, suggesting their use in higher demand patients may be hazardous. An implant length of 125mm has been shown to be quite stable and the results suggest that a further reduction to 100mm may be tolerated. However, further work is required. A shorter implant with maintained proximal body size would be useful for the group of patients who are unable to access the current standard length implants due to variations in femoral anatomy. Extending the findings further, the similar function with potential benefits of a shorter implant make their application to all patients appealing.

Application of a human bone engineering platform to an in vitro and in vivo breast cancer metastasis model

Breast cancer in its advanced stage has a high predilection to the skeleton. Currently, treatment options of breast cancer-related bone metastasis are restricted to only palliative therapeutic modalities. This is due to the fact that mechanisms regarding the breast cancer celI-bone colonisation as well as the interactions of breast cancer cells with the bone microenvironment are not fully understood, yet. This might be explained through a lack of appropriate in vitro and in vivo models that are currently addressing the above mentioned issue. Hence the hypothesis that the translation of a bone tissue engineering platform could lead to improved and more physiological in vitro and in vivo model systems in order to investigate breast cancer related bone colonisation was embraced in this PhD thesis. Therefore the first objective was to develop an in vitro model system that mimics human mineralised bone matrix to the highest possible extent to examine the specific biological question, how the human bone matrix influences breast cancer cell behaviour. Thus, primary human osteoblasts were isolated from human bone and cultured under osteogenic conditions. Upon ammonium hydroxide treatment, a cell-free intact mineralised human bone matrix was left behind. Analyses revealed a similar protein and mineral composition of the decellularised osteoblast matrix to human bone. Seeding of a panel of breast cancer cells onto the bone mimicking matrix as well as reference substrates like standard tissue culture plastic and collagen coated tissue culture plastic revealed substrate specific differences of cellular behaviour. Analyses of attachment, alignment, migration, proliferation, invasion, as well as downstream signalling pathways showed that these cellular properties were influenced through the osteoblast matrix. The second objective of this PhD project was the development of a human ectopic bone model in NOD/SCID mice using medical grade polycaprolactone tricalcium phosphate (mPCL-TCP) scaffold. Human osteoblasts and mesenchymal stem cells were seeded onto an mPCL-TCP scaffold, fabricated using a fused deposition modelling technique. After subcutaneous implantation in conjunction with the bone morphogenetic protein 7, limited bone formation was observed due to the mechanical properties of the applied scaffold and restricted integration into the soft tissue of flank of NOD/SCID mice. Thus, a different scaffold fabrication technique was chosen using the same polymer. Electrospun tubular scaffolds were seeded with human osteoblasts, as they showed previously the highest amount of bone formation and implanted into the flanks of NOD/SCID mice. Ectopic bone formation with sufficient vascularisation could be observed. After implantation of breast cancer cells using a polyethylene glycol hydrogel in close proximity to the newly formed bone, macroscopic communication between the newly formed bone and the tumour could be observed. Taken together, this PhD project showed that bone tissue engineering platforms could be used to develop an in vitro and in vivo model system to study cancer cell colonisation in the bone microenvironment.

Intrapleural analgesia following endoscopic scoliosis correction

Endoscopic (thoracoscopic) scoliosis correction plays an important part in the surgical options available for treating adolescent idiopathic scoliosis. However, there is a paucity of literature examining optimum methods of analgesia following this type of surgery. Intra-pleural analgesia has been successfully used following cardiothoracic procedures [1-3]. The role of intra-pleural analgesia after keyhole anterior selective thoracic scoliosis correction is examined and described.

Incident investigation training needs for the Australasian rail industry

A core component for the prevention of re-occurring incidents within the rail industry is rail safety investigations. Within the current Australasian rail industry, the nature of incident investigations varies considerably between organisations. As it stands, most of the investigations are conducted by the various State Rail Operators and Regulators, with the more major investigations in Australia being conducted or overseen by the Australian Transport Safety Bureau (ATSB). Because of the varying nature of these investigations, the current training methods for rail incident investigators also vary widely. While there are several commonly accepted training courses available to investigators in Australasia, none appear to offer the breadth of development needed for a comprehensive pathway. Furthermore, it appears that no single training course covers the entire breadth of competencies required by the industry. These courses range in duration between a few days to several years, and some were run in-house while others are run by external consultants or registered training organisations. Through consultations with rail operators and regulators in Australasia, this paper will identify capabilities required for rail incident investigation and explore the current training options available for rail incident investigators.

Developing an efficient and reliable dry powder inhaler for pulmonary drug delivery : a review for multidisciplinary researchers

Pulmonary drug delivery is the focus of much research and development because of its great potential to produce maximum therapeutic benefit. Among the available options the dry powder inhaler (DPI) is the preferred device for the treatment of an increasingly diverse number of diseases. However, as drug delivery from a DPI involves a complicated set of physical processes and the integration of drug formulations, device design and patient usage, the engineering development of this medical technology is proving to be a great challenge. Currently there is large range of devices that are either available on the market or under development, however, none exhibit superior clinical efficacy. A major concern is the inter- and intra-patient variability of the drug dosage delivered to the deep lungs. The extent of variability depends on the drug formulation, the device design and the patient’s inhalation profile. This article reviews recent advances in DPI technology and presents the key factors which motivate and constrain the successful engineering of a universal, patient-independent DPI that is capable of efficient, reliable and repeatable drug delivery. A strong emphasis is placed on the physical processes of drug powder aerosolisation, deagglomeration, and dispersion and on the engineering of formulations and inhalers that can optimise these processes.

Convergence and Australian content : the importance of access

In the light of new and complex challenges to media policy and regulation, the Austrlaian government commissioned the Convergence Review in late 2010 to assess the continuing applicability and utility of the principles and objectives that have shaped the policy framework to this point. It proposed a range of options for policy change and identified three enduring priorities for continued media regulation: media ownership and control; content standards; and Australian content production and distribution. The purpose of this article is to highlight an area where we feel there are opportunities for further discussion and research: the question of how the accessibility and visibility of Australian and local content may be assured in the future media policy framework via a combination of regulation and incentives to encourage innovation in content distribution.

The α5 neuronal nicotinic acetylcholine receptor subunits plays an important role in the sedative effects of ethanol but does not modulate consumption in mice

Alcohol use disorders (AUDs) are a major public health problem, and the few treatment options available to those seeking treatment offer only modest success rates. There remains a need to identify novel targets for the treatment of AUDs. The neuronal nicotinic acetylcholine receptors (nAChRs) represent a potential therapeutic target in the brain, as recent human genetic studies have implicated gene variants in the α5 nAChR subunit as high risk factors for developing alcohol dependence. Here, we evaluate the role of 5* nAChR for ethanol-mediated behaviors using α5+/+ and α5-/- mice. We characterized the effect of hypnotic doses of ethanol and investigated drinking behavior using an adapted Drinking-in-the Dark (DID) paradigm that has been shown to induce high ethanol consumption in mice. We found the α5 subunit to be critical in mediating the sedative effects of ethanol. The α5-/- mice showed slower recovery from ethanol-induced sleep, as measured by loss of righting reflex. Additionally the α5-/- mice showed enhanced impairment to ethanol-induced ataxia. We found the initial sensitivity to ethanol and ethanol metabolism to be similar in both α5+/+ and α5-/- mice. Hence the enhanced sedation is likely due to a difference in the acute tolerance of ethanol in mice deficient of the α5 subunit. However the α5 subunit did not play a role in ethanol consumption for ethanol concentrations ranging from 5% to 30% in the DID paradigm. Additionally, varenicline (Chantix®) was effective in reducing ethanol intake in α5-/- mice. Together, our data suggest that the α5 nAChR subunit is important for the sedative hypnotic doses of ethanol but does not play a role in ethanol consumption. Varenicline can be a treatment option even when there is loss of function of the α5 nAChR subunit.

The wMel Wolbachia strain blocks dengue and invades caged Aedes aegypti populations

Dengue fever is the most important mosquito-borne viral disease of humans with more than 50 million cases estimated annually in more than 100 countries. Disturbingly, the geographic range of dengue is currently expanding and the severity of outbreaks is increasing. Control options for dengue are very limited and currently focus on reducing population abundance of the major mosquito vector, Aedes aegypti. These strategies are failing to reduce dengue incidence in tropical communities and there is an urgent need for effective alternatives. It has been proposed that endosymbiotic bacterial Wolbachia infections of insects might be used in novel strategies for dengue control. For example, the wMelPop-CLA Wolbachia strain reduces the lifespan of adult A. aegypti mosquitoes in stably transinfected lines. This life-shortening phenotype was predicted to reduce the potential for dengue transmission. The recent discovery that several Wolbachia infections, including wMelPop-CLA, can also directly influence the susceptibility of insects to infection with a range of insect and human pathogens has markedly changed the potential for Wolbachia infections to control human diseases. Here we describe the successful transinfection of A. aegypti with the avirulent wMel strain of Wolbachia, which induces the reproductive phenotype cytoplasmic incompatibility with minimal apparent fitness costs and high maternal transmission, providing optimal phenotypic effects for invasion. Under semi-field conditions, the wMel strain increased from an initial starting frequency of 0.65 to near fixation within a few generations, invading A. aegypti populations at an accelerated rate relative to trials with the wMelPop-CLA strain. We also show that wMel and wMelPop-CLA strains block transmission of dengue serotype 2 (DENV-2) in A. aegypti, forming the basis of a practical approach to dengue suppression.

Deforestation, REDD and international law

International environmental law governing conservation and management of forests has been largely limited to soft-law instruments. Nevertheless, increasing attention has been given to forest issues, most recently in the context of the climate change regime and the reducing emissions from deforestation and degradation (REDD) mechanism. The current law impacting upon the protection of forests and the contribution of emissions from deforestation will be considered in this chapter. The way forward will be explored, including the current options being considered for the post-Kyoto period.

The impacts of power outages on the residents of contemporary multistorey apartment buildings in subtropical environments

With significant population growth experienced in South East Queensland over the past two decades and a high rate of growth expected to continue in coming decades, the Queensland Government is promoting urban consolidation planning policies to manage growth sustainably. Multi-residential buildings will play an important role in facilitating the increased densities which urban consolidation policies imply. However, a major flood event in January 2011 has brought to light the vulnerability of certain types of multi-residential typologies to power outages. The crisis conditions exposed how contemporary building design and construction practices, coupled with regulatory and planning issues, appear to have compromised the resilience and habitability of multi-storey residential buildings. In the greater urban area of Brisbane, Queensland, the debilitating dependence that certain types of apartment buildings have on mains electricity was highlighted by residents’ experiences of the Brisbane River flood disaster, before, during and after the event. This research examined high density residential buildings in West End, Brisbane, an inner city suburb which was severely affected by the flood and is earmarked for significant urban densification under the Brisbane City Plan. Medium-to-high-density residential buildings in the suburb were mapped in flooded and non-flooded locations and a database containing information about the buildings was created. Parameters included date of construction, number of storeys, systems of access and circulation, and potential for access to natural light and ventilation for habitable areas. A series of semi-structured interviews were conducted with residents involved in the owners’ management committees of several buildings to verify information the mapping could not provide. The interviews identified a number of critical systems failures due to power outage which had a significant impact on residents’ wellbeing, comfort and safety. Building services such as lifts, running water, fire alarms, security systems and air-conditioning ceased to operate when power was disconnected to neighbourhoods and buildings in anticipation of rising flood waters. Lack of access to buildings and dwellings, lack of safety, lack of building security, and lack of thermal comfort affected many residents whether or not their buildings were actually subjected to inundation, with some buildings rendered uninhabitable for a prolonged period. The extent of the impact on residents was dramatically influenced by the scale and type of building inhabited, with those dwelling in buildings under a 25m height limit, with a single lift, found to be most affected. The energy-dependency and strong trend of increasing power demands of high-rise buildings is well-documented. Extended electricity outages such as the one brought about by the 2011 flood in Queensland are likely to happen more frequently than the 50-year average of the flood event itself. Electricity blackouts can result from a number of man-made or natural causes, including shortages caused by demand exceeding supply. This paper highlights the vulnerability of energy-dependent buildings to power outages and investigates options for energy security for occupants of multi-storey buildings and makes recommendations to increase resilience and general liveability in multi-residential buildings in the subtropics through design modifications.

Supporting research at QUT : a tale of three librarians and a Creative Industries super-faculty

In 2012 the existing eight disciplines of Creative Industries Faculty, QUT combined with the School of Design (formerly a component of the Faculty of Built Environment and Engineering) to create a super faculty that includes the following disciplines: Architecture, Creative Writing & Literary Studies, Dance, Drama, Fashion, Film & Television, Industrial Design, Interior Design, Journalism, Media & Communication, Landscape Architecture, Music & Sound and Urban Design. The university’s research training unit AIRS (Advanced Information Retrieval Skills) is a systematic introduction to research level information literacies. It is currently being redesigned to reflect today’s new data intensive research environment and facilitate the capacity for life-long learning. Upon completion participants are expected to be able to: 1. Demonstrate an understanding of the theory of advanced search and evaluative strategies to efficiently yield appropriate resources to create original research. 2. Apply appropriate data management strategies to organise and utilize your information proficiently, ethically and legally. 3. Identify strategies to ensure best practice in the use of information sources, information technologies, information access tools and investigative methods. All Creative Industries Faculty research students must complete this unit into which CI Librarians teach discipline specific material. The library employs a team of research specific experts as well as Liaison Librarians for each faculty. Together they develop and deliver a generic research training program that provides researcher training in the following areas: Managing Research Data, QUT ePrints: New features for tracking your research impact, Tracking Research Impact, Research Students and the Library: Overview of Library Research Support Services, Technologies for Research Collaboration, Open Access Publishing, Greater Impact via Creative Commons Licence, CAMBIA - Navigating the patent literature, Uploading Publications to QUT ePrints Workshop, AIRS for supervisors, Finding Existing Research Data, Keeping up to date:Discovering and managing current awareness information and Getting Published. In 2011 Creative Industries initiated a new faculty specific research training program to promote capacity building for research within their Faculty, with workshops designed and developed with Faculty Research Leaders, The Office of Research and Liaison Librarians. “Show me the money” which assists staff to pursue alternative funding sources was one such session that was well attended and generated much discussion and interest. Drop in support sessions for ePrints, EndNote referencing software and Tracking Research Impact for the Creative Industries were also popular options on the menu. Liaison Librarians continue to provide one-on-one consultations with individual researchers as requested. This service assists Librarians greatly with getting to know and monitoring their researchers’ changing needs. The CI Faculty has enlisted two Research Leaders, one for each of the two Schools (Design and Media, Entertainment & Creative Arts) whose role it is to mentor newer research staff. Similarly within the CI library liaison team one librarian is assigned the role of Research Coordinator, whose responsibility it is to be the primary liaison with the Assistant Dean, Research and other key Faculty research managers and is the one most likely to attend Faculty committees and meetings relating to research support.

Real, complex, and binary semantic vectors

This paper presents a combined structure for using real, complex, and binary valued vectors for semantic representation. The theory, implementation, and application of this structure are all significant. For the theory underlying quantum interaction, it is important to develop a core set of mathematical operators that describe systems of information, just as core mathematical operators in quantum mechanics are used to describe the behavior of physical systems. The system described in this paper enables us to compare more traditional quantum mechanical models (which use complex state vectors), alongside more generalized quantum models that use real and binary vectors. The implementation of such a system presents fundamental computational challenges. For large and sometimes sparse datasets, the demands on time and space are different for real, complex, and binary vectors. To accommodate these demands, the Semantic Vectors package has been carefully adapted and can now switch between different number types comparatively seamlessly. This paper describes the key abstract operations in our semantic vector models, and describes the implementations for real, complex, and binary vectors. We also discuss some of the key questions that arise in the field of quantum interaction and informatics, explaining how the wide availability of modelling options for different number fields will help to investigate some of these questions.

Residential property investment : assessing home ownership long term viability

Home purchase and ownership is seen by the majority of Australians as the basis for a sound investment strategy and to seciure their long term retirement goals. Although home ownership rates in Australia are in excess of 65% of the population, there have been doubts raised as to the effectiveness of purchasing a house as the main source of retirement income. The main issue with this approach is that the house has to be sold to gain access to these funds or the owners have to take out a reverse mortgage to access the capital tied up in their home, which can be more expensive than selling. This paper will carryout a detailed analysis of a number of investment options to determine the effectiveness of home purchase as a long term investment vehicle. This study has found that the long term investment in equities or managed superannuation funds can provide a greater retirement income than the purchase of a residential property for owner occupation

Daylighting performance of subtropical multi-residential towers : simulations tools for design decisions

During an intensive design-led workshop multidisciplinary design teams examined options for a sustainable multi-residential tower on an inner urban site in Brisbane (Australia). The main aim was to demonstrate the key principles of daylight to every habitable room and cross-ventilation to every apartment in the subtropical climate while responding to acceptable yield and price points. The four conceptual design proposals demonstrated a wide range of outcomes, with buildings ranging from 15 to 30 storeys. Daylight Factor (DF), view to the outside, and the avoidance of direct sunlight were the only quantitative and qualitative performance metrics used to implement daylighting to the proposed buildings during the charrette. This paper further assesses the daylighting performance of the four conceptual designs by utilizing Climate-based daylight modeling (CBDM), specifically Daylight Autonomy (DA) and Useful Daylight Illuminance (UDI). Results show that UDI 100-2000lux calculations provide more useful information on the daylighting design than DF. The percentage of the space with a UDI <100-2000lux larger than 50% ranged from 77% to 86% of the time for active occupant behaviour (occupancy from 6am to 6pm). The paper also highlights the architectural features that mostly affect daylighting design in subtropical climates.