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.

Innovative damage assessment of steel truss bridges using modal strain energy correlation

As a part of vital infrastructure and transportation network, bridge structures must function safely at all times. Bridges are designed to have a long life span. At any point in time, however, some bridges are aged. The ageing of bridge structures, given the rapidly growing demand of heavy and fast inter-city passages and continuous increase of freight transportation, would require diligence on bridge owners to ensure that the infrastructure is healthy at reasonable cost. In recent decades, a new technique, structural health monitoring (SHM), has emerged to meet this challenge. In this new engineering discipline, structural modal identification and damage detection have formed a vital component. Witnessed by an increasing number of publications is that the change in vibration characteristics is widely and deeply investigated to assess structural damage. Although a number of publications have addressed the feasibility of various methods through experimental verifications, few of them have focused on steel truss bridges. Finding a feasible vibration-based damage indicator for steel truss bridges and solving the difficulties in practical modal identification to support damage detection motivated this research project. This research was to derive an innovative method to assess structural damage in steel truss bridges. First, it proposed a new damage indicator that relies on optimising the correlation between theoretical and measured modal strain energy. The optimisation is powered by a newly proposed multilayer genetic algorithm. In addition, a selection criterion for damage-sensitive modes has been studied to achieve more efficient and accurate damage detection results. Second, in order to support the proposed damage indicator, the research studied the applications of two state-of-the-art modal identification techniques by considering some practical difficulties: the limited instrumentation, the influence of environmental noise, the difficulties in finite element model updating, and the data selection problem in the output-only modal identification methods. The numerical (by a planer truss model) and experimental (by a laboratory through truss bridge) verifications have proved the effectiveness and feasibility of the proposed damage detection scheme. The modal strain energy-based indicator was found to be sensitive to the damage in steel truss bridges with incomplete measurement. It has shown the damage indicator's potential in practical applications of steel truss bridges. Lastly, the achievement and limitation of this study, and lessons learnt from the modal analysis have been summarised.

Studies on the surface properties of biodegradable polymer carriers in respiratory delivery of drug from Dry Powder Inhaler formulations

Dry Powder Inhaler (DPI) technology has a significant impact in the treatment of various respiratory disorders. DPI formulations consist of a micronized drug (<5ìm) blended with an inert coarse carrier, for which lactose is widely used to date. DPIs are one of the inhalation devices which are used to target the delivery of drugs to the lungs. Drug delivery via DPI formulations is influenced by the physico-chemical characteristics of lactose particles such as size, shape, surface roughness and adhesional forces. Commercially available DPI formulations, which utilise lactose as the carrier, are not efficient in delivering drug to the lungs. The reasons for this are the surface morphology, adhesional properties and surface roughness of lactose. Despite several attempts to modify lactose, the maximum efficient drug delivery to the lungs remains limited; hence, exploring suitable alternative carriers for DPIs is of paramount importance. Therefore, the objective of the project was to study the performance of spherical polymer microparticles as drug carriers and the factors controlling their performance. This study aimed to use biodegradable polymer microspheres as alternative carriers to lactose in DPIs for achieving efficient drug delivery into the lungs. This project focused on fabricating biodegradable polymer microparticles with reproducible surface morphology and particle shape. The surface characteristics of polymeric carriers and the adhesional forces between the drug and carrier particles were investigated in order to gain a better understanding of their influence on drug dispersion. For this purpose, two biodegradable polymers- polycaprolactone (PCL) and poly (DL-lactide-co-glycolide) (PLGA) were used as the carriers to deliver the anti-asthmatic drug - Salbutamol Sulphate (SS). The first study conducted for this dissertation was the aerosolization of SS from mixtures of SS and PCL or PLGA microparticles. The microparticles were fabricated using an emulsion technique and were characterized by laser diffraction for particle size analysis, Scanning Electron Microscopy (SEM) for surface morphology and X-ray Photoelectron Spectroscopy (XPS) to obtain surface elemental composition. The dispersion of the drug from the DPI formulations was determined by using a Twin Stage Impinger (TSI). The Fine particle Fraction (FPF) of SS from powder mixtures was analyzed by High Performance Liquid Chromatography (HPLC). It was found that the drug did not detach from the surface of PCL microspheres. To overcome this, the microspheres were coated with anti-adherent agents such as magnesium stearate and leucine to improve the dispersion of the drug from the carrier surfaces. It was found that coating the PCL microspheres helped in significantly improving the FPF of SS from the PCL surface. These results were in contrast to the PLGA microspheres which readily allowed detachment of the SS from their surface. However, coating PLGA microspheres with antiadherent agents did not further improve the detachment of the drug from the surface. Thus, the first part of the study demonstrated that the surface-coated PCL microspheres and PLGA microspheres can be potential alternatives to lactose as carriers in DPI formulations; however, there was no significant improvement in the FPF of the drug. The second part of the research studied the influence of the size of the microspheres on the FPF of the drug. For this purpose, four different sizes (25 ìm, 48 ìm, 100 ìm and 150 ìm) of the PCL and PLGA microspheres were fabricated and characterized. The dispersion of the drug from microspheres of different sizes was determined. It was found that as the size of the carrier increased there was a significant increase in the FPF of SS. This study suggested that the size of the carrier plays an important role in the dispersion of the drug from the carrier surface. Subsequent experiments in the third part of the dissertation studied the surface properties of the polymeric carrier. The adhesion forces existing between the drug particle and the polymer surfaces, and the surface roughness of the carriers were quantified using Atomic Force Microscopy (AFM). A direct correlation between adhesion forces and dispersion of the drug from the carrier surface was observed suggesting that adhesion forces play an important role in determining the detachment potential of the drug from the carrier surface. However, no direct relationship between the surface roughness of the PCL or PLGA carrier and the FPF of the drug was observed. In conclusion, the body of work presented in this dissertation demonstrated the potential of coated PCL microspheres and PLGA microspheres to be used in DPI formulations as an alternative carrier to sugar based carriers. The study also emphasized the role of the size of the carrier particles and the forces of interaction prevailing between the drug and the carrier particle surface on the aerosolization performances of the drug.

Negligible heat strain in armored vehicle officers wearing personal body armor

Objectives This study evaluated the heat strain experienced by armored vehicle officers (AVOs) wearing personal body armor (PBA) in a sub-tropical climate. Methods Twelve male AVOs, aged 35-58 years, undertook an eight hour shift while wearing PBA. Heart rate and core temperature were monitored continuously. Urine specific gravity (USG) was measured before and after, and with any urination during the shift. Results Heart rate indicated an intermittent and low-intensity nature of the work. USG revealed six AVOs were dehydrated from pre through post shift, and two others became dehydrated. Core temperature averaged 37.4 ± 0.3°C, with maximum's of 37.7 ± 0.2°C. Conclusions Despite increased age, body mass, and poor hydration practices, and Wet-Bulb Globe Temperatures in excess of 30°C; the intermittent nature and low intensity of the work prevented excessive heat strain from developing.

Effect of body position on measurements of diffusion capacity after exercise

Background--Pulmonary diffusing capacity for carbon monoxide (Dlco), alveolar capillary membrane diffusing capacity (Dm), and pulmonary capillary blood volume (Vc) are all significantly reduced after exercise. Objective--To investigate whether measurement position affects this impaired gas transfer. Methods--Before and one, two, and four hours after incremental cycle ergometer exercise to fatigue, single breath Dlco, Dm, and Vc measurements were obtained in 10 healthy men in a randomly assigned supine and upright seated position. Results--After exercise, Dlco, Dm, and Vc were significantly depressed compared with baseline in both positions. The supine position produced significantly higher values over time for Dlco (5.22 (0.13) v 4.66 (0.15) ml/min/mm Hg/l, p = 0.022) and Dm (6.78 (0.19) v 6.03 (0.19) ml/min/mm Hg/l, p = 0.016), but there was no significant position effect for Vc. There was a similar pattern of change over time for Dlco, Dm, and Vc in the two positions. Conclusions--The change in Dlco after exercise appears to be primarily due to a decrease in Vc. Although the mechanism for the reduction in Vc cannot be determined from these data, passive relocation of blood to the periphery as the result of gravity can be discounted, suggesting that active vasoconstriction of the pulmonary vasculature and/or peripheral vasodilatation is occurring after exercise.

Comparison of two methods to assess malnutrition in community-dwelling people with Parkinson's disease

Nutritional status in people with Parkinson’s disease (PD) has previously been assessed in a number of ways including BMI, % weight loss and the Mini-Nutritional Assessment(MNA). The symptoms of the disease and the side effects of medication used to manage them result in a number of nutrition impact symptoms that can negatively influence intake. These include chewing and swallowing difficulties, lack of appetite, nausea, and taste and smell changes, among others. Community-dwelling people with PD, aged >18 years, were recruited (n=97, 61 M, 36 F). The Patient-Generated Subjective Global Assessment(PG-SGA) and (MNA) were used to assess nutritional status. Weight, height, mid-arm circumference(MAC) and calf circumference were measured. Based on SGA, 16(16.5%) were moderately malnourished (SGA B) while none were severely malnourished (SGA C). The MNA identified 2(2.0%) as malnourished and 22(22.7%) as at risk of malnutrition. Mean MNA scores were different between the three groups,F(2,37)=7.30,p<.05 but not different between SGA B (21.0(2.9)) and MNA at risk (21.8(1.4)) participants. MAC and calf circumference were also different between the three groups,F(2,37)=5.51,p<.05 and F(2,37)=15.33,p<.05 but not between the SGA B (26.2(4.2), 33.3(2.8)) and MNA at risk (28.4(5.6), 36.4(4.7)) participants. The MNA results are similar to other PD studies using MNA where prevalence of malnutrition was between 0-2% with 20-33% at risk of malnutrition. In this population, the PG-SGA may be more sensitive to assessing malnutrition where nutrition impact symptoms influence intake. With society’s increasing body size, it might also be more appropriate as it does not rely on MAC and calf circumference measures.

Effect of cold water immersion after exercise in the heat on muscle function, body temperatures, and vessel diameter

Cold water immersion (CWI) is a popular recovery modality, but actual physiological responses to CWI after exercise in the heat have not been well documented. The purpose of this study was to examine effects of 20-min CWI (14 degrees C) on neuromuscular function, rectal (T(re)) and skin temperature (T(sk)), and femoral venous diameter after exercise in the heat. Ten well-trained male cyclists completed two bouts of exercise consisting of 90-min cycling at a constant power output (216+/-12W) followed by a 16.1km time trial (TT) in the heat (32 degrees C). Twenty-five minutes post-TT, participants were assigned to either CWI or control (CON) recovery conditions in a counterbalanced order. T(re) and T(sk) were recorded continuously, and maximal voluntary isometric contraction torque of the knee extensors (MVIC), MVIC with superimposed electrical stimulation (SMVIC), and femoral venous diameters were measured prior to exercise, 0, 45, and 90min post-TT. T(re) was significantly lower in CWI beginning 50min post-TT compared with CON, and T(sk) was significantly lower in CWI beginning 25min post-TT compared with CON. Decreases in MVIC, and SMVIC torque after the TT were significantly greater for CWI compared with CON; differences persisted 90min post-TT. Femoral vein diameter was approximately 9% smaller for CWI compared with CON at 45min post-TT. These results suggest that CWI decreases T(re), but has a negative effect on neuromuscular function.

The correlation between electric field emission phenomenon and Schottky contact reverse bias characteristics in nanostructured systems

Two different morphologies of nanotextured molybdenum oxide were deposited by thermal evaporation. By measuring their field emission (FE) properties, an enhancement factor was extracted. Subsequently, these films were coated with a thin layer of Pt to form Schottky contacts. The current-voltage (I-V) characteristics showed low magnitude reverse breakdown voltages, which we attributed to the localized electric field enhancement. An enhancement factor was obtained from the I-V curves. We will show that the enhancement factor extracted from the I-V curves is in good agreement with the enhancement factor extracted from the FE measurements.

A critical assessment of the Australian OHS accreditation system's "Body of Knowledge (BoK)"

In response to an increasing perception of poor OHS consultancy quality amongst the Australian public, regulator and OHS professionals, the Safety Institute Australia (SIA) was tasked by the Victorian government to establish an accreditation process for OHS professionals. The OHS accreditation board decided to base its accreditation on a core "body of knowledge" (BoK), against which applicants are assesssed. While the foundation and structure of the BoK is unclear, the BoK consists of a collection of essays from a variety of invited authors. The BoK comprises about 811 pages in 34 chapters, with significant redundancy and considerable subjective components. The SIA BoK is benchmarked against two international best-practices, the German "Core Definition, Object Catalog and Research Domains of Labour Science (Ergonomics)" (Luzcak, Volpert, Raeithel & Schwier, 1989)(100 pages) and the American "Core Competency Model" for the "Master's Degree in Public Health" (Association of Schools of Public Health, 2006) (21 pages). Both "core definition" and "core competency model" are on a comparative level to the BoK. While the German expert panel consisted of 14 eminent professors, the American panel consisted of 135 members, organized in 6 groups chaired by discipline leading academics. The Australian approach employed a broad approach, where 137 professionals, consultants, emerging academics and academics contributed to 8 workshops. Both the German and the American panels maintained an open communication amongst members and with the discipline community throughout the process, whereas SIA applied an open and directed peer-review process. Moreover, the German process involved an analysis of all congress content and journal publications in the scientific domain in a set timeframe, which were then systematically clustered. These results were further expanded by structured interviews with 38 professors in the discpline, grasping their research and teaching practice. The American workgroup however assumed core scientific areas, underlying the domain. Based upon the a-priori assumption, they then established well defined competencies across all areas using a modified Delphi process. Although the BoK attempts to explore the knowledge in the OHS domain without an imposed structure in a bottom-up approach, it does not result in a structured systematic of the science. We conclude that the outcome of the German, rigorous academic approach, and the US American democratic approach under unambiguous academic leadership both outperform the Australian advocacy group approach. This product was determined for both structure and content of the taxonomy delivered through the processes.

The relationship between hip abductor muscle strength and magnitude of pelvic drop following a 3 week strengthening protocol in non-specific low back pain patients.

Purpose: To examine the relationship between hip abductor muscle (HABD) strength and the magnitude of pelvic drop (MPD) for patients with non-specific low back pain (NSLBP) and controls (CON) prior to and following a 3-week HABD strengthening protocol. At baseline, we hypothesized that NSLBP patients would exhibit reduced HABD strength and greater MPD compared to CON. Following the protocol, we hypothesized that strength would increase and MPD would decrease. Relevance: The Trendelenburg test (TT) is a common clinical test used to examine the ability of the HABD to maintain horizontal pelvic position during single limb stance. However, no study has specifically tested this theory. Moreover, no study has investigated the relationship between HABD strength and pelvic motion during walking or tested whether increased HABD strength would reduce the MPD. Methods: Quasi-experimental with 3-week exercise intervention. Fifteen NSLBP patients (32.5yrs,range 21-51yrs; VAS baseline: 5.3cm) and 10 CON (29.5yrs,range 22-47yrs) were recruited. Isometric HABD strength was measured using a force dynamometer and the average of three maximal voluntary contractions were normalized to body mass (N/kg). Two-dimensional MPD (degrees) was measured using a 60 Hz camera and was derived from two retroreflective-markers placed on the posterior superior iliac spines. MPD was measured while performing the static TT and while walking and averaged over 10 consecutive footfalls. NSLBP patients completed a 3-week HABD strengthening protocol consisting of 2 open-kinetic-chain exercises then all measures were repeated. Non-parametric analysis was used for group comparisons and correlation analysis. Results: At baseline, the NSLBP patients demonstrated 31% reduced HABD strength (mean=6.6 N/kg) compared to CON (mean=9.5 N/kg: p=0.03) and no significant differences in maximal pelvic frontal plane excursion while walking (NSLBP:mean=8.1°, CON:mean=7.1°: p=0.72). No significant correlations were measured between left HABD strength and right MPD (r=-0.37, p=0.11), or between right HABD strength and left MPD (r=-0.04, p=0.84) while performing the static TT. Following the 3-week strengthening protocol, NSLBP patients demonstrated a 12% improvement in strength (Post:mean=7.4 N/kg: p=0.02), a reduction in pain (VAS followup: 2.8cm), but no significant decreases in MPD while walking (p=0.92). Conclusions: NSLBP patients demonstrated reduced HABD strength at baseline and were able to increase strength and reduce pain in a 3-week period. However, despite increases in HABD strength, the NSLBP group exhibited similar MPD motion during the static TT and while walking compared to baseline and controls. Implications: The results suggest that the HABD alone may not be primarily responsible for controlling a horizontal pelvic position during static and dynamic conditions. Increasing the strength of the hip abductors resulted in a reduction of pain in NSLBP patients providing evidence for further research to identify specific musculature responsible for controlling pelvic motion.

Performance of elite seated discus throwers in F30s classes : part I: does whole body positioning matter?

Background: Studies on the relationship between performance and design of the throwing frame have been limited and therefore require further investigation. Objectives: The specific objectives were to provide benchmark information about performance and whole body positioning of male athletes in F30s classes. Study Design: Descriptive analysis. Methods: A total of 48 attempts performed by 12 stationary discus throwers in F33 and F34 classes during seated discus throwing event of 2002 International Paralympic Committee Athletics World Championships were analysed in this study. The whole body positioning included overall throwing posture (i.e. number of points of contact between the thrower and the frame, body position, throwing orientation and throwing side) and lower limb placements (i.e. seating arrangements, points of contact on the both feet, type of attachment of both legs and feet). Results: Three (25%), five (42%), one (8%) and three (25%) athletes used from three to six points of contact, respectively. Seven (58%) and five (42%) athletes threw from a standing or a seated position, respectively. A straddle, a stool or a chair was used by six (50%), four (33%) or two (17%) throwers, respectively. Conclusions: This study provides key information for a better understanding of the interaction between throwing technique of elite seated throwers and their throwing frame.

The study of design elements and people’s behaviour in campus public space : how design shapes user’s behaviour

A growing body of researches provided evidence of the successful design in particular focus on design elements, ranging from colour, lighting, technology, landscape and spatial arrangement. However, no example or literature investigates the opportunities for linking these design elements in a practical base. Drawing upon existing architectural design theory, this paper investigates the relationship between design elements regards to public’s behavioural response to the public space. The aims of this paper are two-fold: first to examine whether there is a direct relationship between the two, and second to find out how the design elements could be coordinated together to influence not only the activities but also the environment, function and experience. To meet this objective, observation, behavioural mapping, interview and cognitive mapping methodologies are used. The present study involves two local case studies to find out the relationship between design elements in order to assist the design of a better public space for public activities. Correlation between the design elements shows that public activities is more likely to happen in relatively space with well balance of design. These finding provide a better understanding of public space design by gaining deeper perceptive between design and user’s behaviour, consequently improving social activities and interactions in public space. Moreover, it focuses on campus public areas which can be a vital aspect of university campus and play a valuable role in the overall success of public space design.

Stockholm Syndrome : architecture, politics and the human body

The exchange between the body and architecture walks a fine line between violence and pleasure. It is through the body that the subject engages with the architectural act, not via thought or reason, but through action. The materiality of architecture is the often the catalyst for some intense association; the wall that defines gender or class, the double bolted door that incarcerates, the enclosed privacy of the bedroom to the love affair. Architecture is the physical manifestation of Lefebvre’s inscribed space. It enacts the social and political systems through bodily occupation. Architecture, when tested by the occupation of bodies, anchors ideology in both space and time. The architect’s script can be powerful when rehearsed honestly to the building’s intentions and just as beautiful when rebuked by the act of protest or unfaithful occupation. This research examines this fine line of violence and pleasure in architecture through performance, in the work of Bryony Lavin’s play Stockholm and Revolving Door by Allora & Calzadilla as part of the recent Kaldor Public Art Projects exhibition 13 Rooms in Sydney. The research is underpinned by the work of Architect and theorist, Bernard Tschumi in his two essays, Violence of Architecture and The Pleasure of Architecture. Studying architecture through the lens of performance shifts the focus of examination from pure thought to the body; because architecture is occupied through the body and not the mind.

The ancient gene C12orf29 : an exploration of its role in the chordate body plan

The sheep (Ovis aries) is commonly used as a large animal model in skeletal research. Although the sheep genome has been sequenced there are still only a limited number of annotated mRNA sequences in public databases. A complementary DNA (cDNA) library was constructed to provide a generic resource for further exploration of genes that are actively expressed in bone cells in sheep. It was anticipated that the cDNA library would provide molecular tools for further research into the process of fracture repair and bone homeostasis, and add to the existing body of knowledge. One of the hallmarks of cDNA libraries has been the identification of novel genes and in this library the full open reading frame of the gene C12orf29 was cloned and characterised. This gene codes for a protein of unknown function with a molecular weight of 37 kDa. A literature search showed that no previous studies had been conducted into the biological role of C12orf29, except for some bioinformatics studies that suggested a possible link with cancer. Phylogenetic analyses revealed that C12orf29 had an ancient pedigree with a homologous gene found in some bacterial taxa. This implied that the gene was present in the last common eukaryotic ancestor, thought to have existed more than 2 billion years ago. This notion was further supported by the fact that the gene is found in taxa belonging to the two major eukaryotic branches, bikonts and unikonts. In the bikont supergroup a C12orf29-like gene was found in the single celled protist Naegleria gruberi, whereas in the unikont supergroup, encompassing the metazoa, the gene is universal to all chordate and, therefore, vertebrate species. It appears to have been lost to the majority of cnidaria and protostomes taxa; however, C12orf29-like genes have been found in the cnidarian freshwater hydra and the protostome Pacific oyster. The experimental data indicate that C12orf29 has a structural role in skeletal development and tissue homeostasis, whereas in silico analysis of the human C12orf29 promoter region suggests that its expression is potentially under the control of the NOTCH, WNT and TGF- developmental pathways, as well SOX9 and BAPX1; pathways that are all heavily involved in skeletogenesis. Taken together, this investigation provides strong evidence that C12orf29 has a very important role in the chordate body plan, in early skeletal development, cartilage homeostasis, and also a possible link with spina bifida in humans.

Critical reflection on the SIA’s professional project and the body of knowledge

Over the last few years the Safety Institute of Australia (SIA) has developed and implemented a number of strategies to gain professional status for the ‘generalist occupational health and safety professional’. Two of the most significant developments have been the publication of the ‘Core Body of Knowledge for the Generalist OHS Professional.’ and the accreditation of university OHS courses. Despite a considerable amount of work aimed at gaining professional status there has not been any public debate or reflection about how the professionalisation project may impact on OHS and how the project is being conducted. Professionalisation has been vigorously promoted as a sign of maturity for the SIA and which will provide unmitigated benefits for workplace health and safety. The aim of this paper is to critically reflect on the processes of professionalisation (the professional project) and discuss some of the ways in which this project may shape the field of occupational health and safety. The implications for the role of universities will also be discussed.