Self excitation in equity indices

A "self-exciting" market is one in which the probability of observing a crash increases in response to the occurrence of a crash. It essentially describes cases where the initial crash serves to weaken the system to some extent, making subsequent crashes more likely. This thesis investigates if equity markets possess this property. A self-exciting extension of the well-known jump-based Bates (1996) model is used as the workhorse model for this thesis, and a particle-filtering algorithm is used to facilitate estimation by means of maximum likelihood. The estimation method is developed so that option prices are easily included in the dataset, leading to higher quality estimates. Equilibrium arguments are used to price the risks associated with the time-varying crash probability, and in turn to motivate a risk-neutral system for use in option pricing. The option pricing function for the model is obtained via the application of widely-used Fourier techniques. An application to S&P500 index returns and a panel of S&P500 index option prices reveals evidence of self excitation.

Gene expression profiling in human breast cancer – toward personalised therapeutics?

The most integrated approach toward understanding the multiple molecular events and mechanisms by which cancer may develop is the application of gene expression profiling using microarray technologies. As molecular alterations in breast cancer are complex and involve cross-talk between multiple cellular signalling pathways, microarray technology provides a means of capturing and comparing the expression patterns of the entire genome across multiple samples in a high throughput manner. Since the development of microarray technologies, together with the advances in RNA extraction methodologies, gene expression studies have revolutionised the means by which genes suitable as targets for drug development and individualised cancer treatment can be identified. As of the mid-1990s, expression microarrays have been extensively applied to the study of cancer and no cancer type has seen as much genomic attention as breast cancer. The most abundant area of breast cancer genomics has been the clarification and interpretation of gene expression patterns that unite both biological and clinical aspects of tumours. It is hoped that one day molecular profiling will transform diagnosis and therapeutic selection in human breast cancer toward more individualised regimes. Here, we review a number of prominent microarray profiling studies focussed on human breast cancer and examine their strengths, their limitations, clinical implications including prognostic relevance and gene signature significance along with potential improvements for the next generation of microarray studies.

A simplified approach for calculating the moments of action for linear reaction-diffusion equations

The mean action time is the mean of a probability density function that can be interpreted as a critical time, which is a finite estimate of the time taken for the transient solution of a reaction-diffusion equation to effectively reach steady state. For high-variance distributions, the mean action time under-approximates the critical time since it neglects to account for the spread about the mean. We can improve our estimate of the critical time by calculating the higher moments of the probability density function, called the moments of action, which provide additional information regarding the spread about the mean. Existing methods for calculating the nth moment of action require the solution of n nonhomogeneous boundary value problems which can be difficult and tedious to solve exactly. Here we present a simplified approach using Laplace transforms which allows us to calculate the nth moment of action without solving this family of boundary value problems and also without solving for the transient solution of the underlying reaction-diffusion problem. We demonstrate the generality of our method by calculating exact expressions for the moments of action for three problems from the biophysics literature. While the first problem we consider can be solved using existing methods, the second problem, which is readily solved using our approach, is intractable using previous techniques. The third problem illustrates how the Laplace transform approach can be used to study coupled linear reaction-diffusion equations.

The formation of gold nanoparticles using hydroquinone as a reducing agent through a localized pH change upon addition of NaOH to a solution of HAuCl4

We demonstrate a rapid synthesis of gold nanoparticles using hydroquinone as a reducing agent under acidic conditions without the need for precursor seed particles. The nanoparticle formation process is facilitated by the addition of NaOH to a solution containing HAuCl4 and hydroquinone to locally change the pH; this enhances the reducing capability of hydroquinone to form gold nucleation centres, after which further growth of gold can take place through an autocatalytic mechanism. The stability of the nanoparticles is highly dependent on the initial solution pH, and both the concentration of added NaOH and hydroquinone present in solution. The gold nanoparticles were characterized by UV–visible spectroscopy, transmission electron microscopy, Fourier transform infrared spectroscopy, atomic force microscopy, dynamic light scattering, and zeta potential measurements. It was found that under optimal conditions that stable aqueous suspensions of 20 nm diameter nanoparticles can be achieved where benzoquinone, the oxidized product of hydroquinone, acts as a capping agent preventing nanoparticles aggregation.

Synthesis of CuTCNQ/Au microrods by galvanic replacement of semiconducting phase I CuTCNQ with KAuBr4 in aqueous medium

The spontaneous reaction between microrods of an organic semiconductor molecule, copper 7,7,8,8-tetracyanoquinodimethane (CuTCNQ) with [AuBr4]− ions in an aqueous environment is reported. The reaction is found to be redox in nature which proceeds via a complex galvanic replacement mechanism, wherein the surface of the CuTCNQ microrods is replaced with metallic gold nanoparticles. Unlike previous reactions reported in acetonitrile, the galvanic replacement reaction in aqueous solution proceeds via an entirely different reaction mechanism, wherein a cyclical reaction mechanism involving continuous regeneration of CuTCNQ consumed during the galvanic replacement reaction occurs in parallel with the galvanic replacement reaction. This results in the driving force of the galvanic replacement reaction in aqueous medium being largely dependent on the availability of [AuBr4]− ions during the reaction. Therefore, this study highlights the importance of the choice of an appropriate solvent during galvanic replacement reactions, which can significantly impact upon the reaction mechanism. The reaction progress with respect to different gold salt concentration was monitored using Fourier transform infrared (FT-IR), Raman, and X-ray photoelectron spectroscopy (XPS), as well as XRD and EDX analysis, and SEM imaging. The CuTCNQ/Au nanocomposites were also investigated for their potential photocatalytic properties, wherein the destruction of the organic dye, Congo red, in a simulated solar light environment was found to be largely dependent on the degree of gold nanoparticle surface coverage. The approach reported here opens up new possibilities of decorating metal–organic charge transfer complexes with a host of metals, leading to potentially novel applications in catalysis and sensing.

Ergodic capacity and outage performance of amplify-and-forward protocols

This thesis analyses the performance bounds of amplify-and-forward relay channels which are becoming increasingly popular in wireless communication applications. The statistics of cascaded Nakagami-m fading model which is a major obstacle in evaluating the outage of wireless networks is analysed using Mellin transform. Furthermore, the upper and the lower bounds for the ergodic capacity of the slotted amplify-and-forward relay channel, for finite and infinite number of relays are derived using random matrix theory. The results obtained will enable wireless network designers to optimize the network resources, benefiting the consumers.

Plaintext awareness in identity-based key encapsulation

The notion of plaintext awareness ( PA ) has many applications in public key cryptography: it offers unique, stand-alone security guarantees for public key encryption schemes, has been used as a sufficient condition for proving indistinguishability against adaptive chosen-ciphertext attacks ( IND-CCA ), and can be used to construct privacy-preserving protocols such as deniable authentication. Unlike many other security notions, plaintext awareness is very fragile when it comes to differences between the random oracle and standard models; for example, many implications involving PA in the random oracle model are not valid in the standard model and vice versa. Similarly, strategies for proving PA of schemes in one model cannot be adapted to the other model. Existing research addresses PA in detail only in the public key setting. This paper gives the first formal exploration of plaintext awareness in the identity-based setting and, as initial work, proceeds in the random oracle model. The focus is laid mainly on identity-based key encapsulation mechanisms (IB-KEMs), for which the paper presents the first definitions of plaintext awareness, highlights the role of PA in proof strategies of IND-CCA security, and explores relationships between PA and other security properties. On the practical side, our work offers the first, highly efficient, general approach for building IB-KEMs that are simultaneously plaintext-aware and IND-CCA -secure. Our construction is inspired by the Fujisaki-Okamoto (FO) transform, but demands weaker and more natural properties of its building blocks. This result comes from a new look at the notion of γ -uniformity that was inherent in the original FO transform. We show that for IB-KEMs (and PK-KEMs), this assumption can be replaced with a weaker computational notion, which is in fact implied by one-wayness. Finally, we give the first concrete IB-KEM scheme that is PA and IND-CCA -secure by applying our construction to a popular IB-KEM and optimizing it for better performance.

Livable Housing Design : Who will take responsibility?

Current housing design and construction practices do not meet the needs of many people with disability and older people, and limits their inclusion and participation in community and family life. In spite of a decade of advocacy for regulation of access within residential environments, the Australian government has opted for a voluntary approach where the housing industry takes responsibility. Housing industry leaders have indicated that they are willing to transform their established practice, if it makes good business to do so, and if there is a demand from home buyers. To date, there has been minimal demand. In 2010, housing industry and community leaders formalised this commitment in an agreement, called Livable Housing Design, to transform housing design and construction practices, with a target of all new housing providing minimal access by 2020. This paper reports on a study which examined the assumption behind Livable Housing Design agreement; that is, individuals in the housing industry will respond voluntarily and take responsibility for the provision of inclusive housing. From interviews with developers, designers and builders in Brisbane, Queensland, the study found a complex picture of competing demands and responsibilities. Instead of changing their design and construction practices voluntarily to meet the future needs of users over the life of housing, they are more likely to focus on their immediate contractual obligations and to maintain the status quo. Contrary to the view of the government and industry leaders, participants identified that an external regulatory framework would be required if Livable Housing Design’s 2020 goal was to be met.