The value of tail risk hedging in defined contribution plans: What does history tell us

Hedging against tail events in equity markets has been forcefully advocated in the aftermath of recent global financial crisis. Whether this is beneficial to long horizon investors like employees enrolled in defined contribution (DC) plans, however, has been subject to criticism. We conduct historical simulation since 1928 to examine the effectiveness of active and passive tail risk hedging using out of money put options for hypothetical equity portfolios of DC plan participants with 20 years to retirement. Our findings show that the cost of tail hedging exceeds the benefits for a majority of the plan participants during the sample period. However, for a significant number of simulations, hedging result in superior outcomes relative to an unhedged position. Active tail hedging is more effective when employees confront several panic-driven periods characterized by short and sharp market swings in the equity markets over the investment horizon. Passive hedging, on the other hand, proves beneficial when they encounter an extremely rare event like the Great Depression as equity markets go into deep and prolonged decline.

Driver’s behavioural changes with new Intelligent Transport System interventions at railway level crossings: A driving simulator study

Improving safety at railway level crossings is an important issue for the Australian transport system. Governments, the rail industry and road organisations have tried a variety of countermeasures for many years to improve railway level crossing safety. New types of Intelligent Transport System (ITS) interventions are now emerging due to the availability and the affordability of technology. These interventions target both actively and passively protected railway level crossings and attempt to address drivers’ errors at railway crossings, which are mainly a failure to detect the crossing or the train and misjudgement of the train approach speed and distance. This study aims to assess the effectiveness of three emerging ITS that the rail industry considers implementing in Australia: a visual in-vehicle ITS, an audio in-vehicle ITS, as well as an on-road flashing beacons intervention. The evaluation was conducted on an advanced driving simulator with 20 participants per trialled technology, each participant driving once without any technology and once with one of the ITS interventions. Every participant drove through a range of active and passive crossings with and without trains approaching. Their speed approach of the crossing, head movements and stopping compliance were measured. Results showed that driver behaviour was changed with the three ITS interventions at passive crossings, while limited effects were found at active crossings, even with reduced visibility. The on-road intervention trialled was unsuccessful in improving driver behaviour; the audio and visual ITS improved driver behaviour when a train was approaching. A trend toward worsening driver behaviour with the visual ITS was observed when no trains were approaching. This trend was not observed for the audio ITS intervention, which appears to be the ITS intervention with the highest potential for improving safety at passive crossings.

Efficient fuzzy matching and intersection on private datasets

At Eurocrypt’04, Freedman, Nissim and Pinkas introduced a fuzzy private matching problem. The problem is defined as follows. Given two parties, each of them having a set of vectors where each vector has T integer components, the fuzzy private matching is to securely test if each vector of one set matches any vector of another set for at least t components where t < T. In the conclusion of their paper, they asked whether it was possible to design a fuzzy private matching protocol without incurring a communication complexity with the factor (T t ) . We answer their question in the affirmative by presenting a protocol based on homomorphic encryption, combined with the novel notion of a share-hiding error-correcting secret sharing scheme, which we show how to implement with efficient decoding using interleaved Reed-Solomon codes. This scheme may be of independent interest. Our protocol is provably secure against passive adversaries, and has better efficiency than previous protocols for certain parameter values.

Correction: Genome-wide association studies of asthma in population-based cohorts confirm known and suggested loci and identify an additional association near HLA

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Stability analysis and control of multiple converter based autonomous microgrid

In this paper, the stability of an autonomous microgrid with multiple distributed generators (DG) is studied through eigenvalue analysis. It is assumed that all the DGs are connected through Voltage Source Converter (VSC) and all connected loads are passive. The VSCs are controlled by state feedback controller to achieve desired voltage and current outputs that are decided by a droop controller. The state space models of each of the converters with its associated feedback are derived. These are then connected with the state space models of the droop, network and loads to form a homogeneous model, through which the eigenvalues are evaluated. The system stability is then investigated as a function of the droop controller real and reac-tive power coefficients. These observations are then verified through simulation studies using PSCAD/EMTDC. It will be shown that the simulation results closely agree with stability be-havior predicted by the eigenvalue analysis.

Econometric analysis of stuctural systems with permanent and transitory shocks

This paper considers the implications of the permanent/transitory decomposition of shocks for identification of structural models in the general case where the model might contain more than one permanent structural shock. It provides a simple and intuitive generalization of the influential work of Blanchard and Quah [1989. The dynamic effects of aggregate demand and supply disturbances. The American Economic Review 79, 655–673], and shows that structural equations with known permanent shocks cannot contain error correction terms, thereby freeing up the latter to be used as instruments in estimating their parameters. The approach is illustrated by a re-examination of the identification schemes used by Wickens and Motto [2001. Estimating shocks and impulse response functions. Journal of Applied Econometrics 16, 371–387], Shapiro and Watson [1988. Sources of business cycle fluctuations. NBER Macroeconomics Annual 3, 111–148], King et al. [1991. Stochastic trends and economic fluctuations. American Economic Review 81, 819–840], Gali [1992. How well does the ISLM model fit postwar US data? Quarterly Journal of Economics 107, 709–735; 1999. Technology, employment, and the business cycle: Do technology shocks explain aggregate fluctuations? American Economic Review 89, 249–271] and Fisher [2006. The dynamic effects of neutral and investment-specific technology shocks. Journal of Political Economy 114, 413–451].

Estimating short and long-term residential demand for electricity : new evidence from Sri Lanka

This study investigates the short-run dynamics and long-run equilibrium relationship between residential electricity demand and factors influencing demand - per capita income, price of electricity, price of kerosene oil and price of liquefied petroleum gas - using annual data for Sri Lanka for the period, 1960-2007. The study uses unit root, cointegration and error-correction models. The long-run demand elasticities of income, own price and price of kerosene oil (substitute) were estimated to be 0.78, - 0.62, and 0.14 respectively. The short-run elasticities for the same variables were estimated to be 032, - 0.16 and 0.10 respectively. Liquefied petroleum (LP) gas is a substitute for electricity only in the short-run with an elasticity 0.09. The main findings of the paper support the following (1) increasing the price of electricity is not the most effective tool to reduce electricity consumption (2) existing subsidies on electricity consumption can be removed without reducing government revenue (3) the long-run income elasticity of demand shows that any future increase in household incomes is likely to significantly increase the demand for electricity and(4) any power generation plans which consider only current per capita consumption and population growth should be revised taking into account the potential future income increases in order to avoid power shortages ill the country.

The effects of muscle fatigue on knee function during landing

The human knee acts as a sophisticated shock absorber during landing movements. The ability of the knee to perform this function in the real world is remarkable given that the context of the landing movement may vary widely between performances. For this reason, humans must be capable of rapidly adjusting the mechanical properties of the knee under impact load in order to satisfy many competing demands. However, the processes involved in regulating these properties in response to changing constraints remain poorly understood. In particular, the effects of muscle fatigue on knee function during step landing are yet to be fully explored. Fatigue of the knee muscles is significant for 2 reasons. First, it is thought to have detrimental effects on the ability of the knee to act as a shock absorber and is considered a risk factor for knee injury. Second, fatigue of knee muscles provides a unique opportunity to examine the mechanisms by which healthy individuals alter knee function. A review of the literature revealed that the effect of fatigue on knee function during landing has been assessed by comparing pre and postfatigue measurements, with fatigue induced by a voluntary exercise protocol. The information is limited by inconsistent results with key measures, such as knee stiffness, showing varying results following fatigue, including increased stiffness, decreased stiffness or failure to detect any change in some experiments. Further consideration of the literature questions the validity of the models used to induce and measure fatigue, as well as the pre-post study design, which may explain the lack of consensus in the results. These limitations cast doubt on the usefulness of the available information and identify a need to investigate alternative approaches. Based on the results of this review, the aims of this thesis were to: • evaluate the methodological procedures used in validation of a fatigue model • investigate the adaptation and regulation of post-impact knee mechanics during repeated step landings • use this new information to test the effects of fatigue on knee function during a step-landing task. To address the aims of the thesis, 3 related experiments were conducted that collected kinetic, kinematic and electromyographic data from 3 separate samples of healthy male participants. The methodologies involved optoelectronic motion capture (VICON), isokinetic dynamometry (System3 Pro, BIODEX) and wireless surface electromyography (Zerowire, Aurion, Italy). Fatigue indicators and knee function measures used in each experiment were derived from the data. Study 1 compared the validity and reliability of repetitive stepping and isokinetic contractions with respect to fatigue of the quadriceps and hamstrings. Fifteen participants performed 50 repetitions of each exercise twice in randomised order, over 4 sessions. Sessions were separated by a minimum of 1 week’s rest, to ensure full recovery. Validity and reliability depended on a complex interaction between the exercise protocol, the fatigue indicator, the individual and the muscle of interest. Nevertheless, differences between exercise protocols indicated that stepping was less effective in eliciting valid and reliable changes in peak power and spectral compression, compared with isokinetic exercise. A key finding was that fatigue progressed in a biphasic pattern during both exercises. The point separating the 2 phases, known as the transition point, demonstrated superior between-test reliability during the isokinetic protocol, compared with stepping. However, a correction factor should be used to accurately apply this technique to the study of fatigue during landing. Study 2 examined alterations in knee function during repeated landings, with a different sample (N =12) performing 60 consecutive step landing trials. Each landing trial was separated by 1-minute rest periods. The results provided new information in relation to the pre-post study design in the context of detecting adjustments in knee function during landing. First, participants significantly increased or decreased pre-impact muscle activity or post-impact mechanics despite environmental and task constraints remaining unchanged. This is the 1st study to demonstrate this effect in healthy individuals without external feedback on performance. Second, single-subject analysis was more effective in detecting alterations in knee function compared to group-level analysis. Finally, repeated landing trials did not reduce inter-trial variability of knee function in some participants, contrary to assumptions underpinning previous studies. The results of studies 1 and 2 were used to modify the design of Study 3 relative to previous research. These alterations included a modified isokinetic fatigue protocol, multiple pre-fatigue measurements and singlesubject analysis to detect fatigue-related changes in knee function. The study design incorporated new analytical approaches to investigate fatiguerelated alterations in knee function during landing. Participants (N = 16) were measured during multiple pre-fatigue baseline trial blocks prior to the fatigue model. A final block of landing trials was recorded once the participant met the operational fatigue definition that was identified in Study 1. The analysis revealed that the effects of fatigue in this context are heavily dependent on the compensatory response of the individual. A continuum of responses was observed within the sample for each knee function measure. Overall, preimpact preparation and post-impact mechanics of the knee were altered with highly individualised patterns. Moreover, participants used a range of active or passive pre-impact strategies to adapt post-impact mechanics in response to quadriceps fatigue. The unique patterns identified in the data represented an optimisation of knee function based on priorities of the individual. The findings of these studies explain the lack of consensus within the literature regarding the effects of fatigue on knee function during landing. First, functional fatigue protocols lack validity in inducing fatigue-related changes in mechanical output and spectral compression of surface electromyography (sEMG) signals, compared with isokinetic exercise. Second, fatigue-related changes in knee function during landing are confounded by inter-individual variation, which limits the sensitivity of group-level analysis. By addressing these limitations, the 3rd study demonstrated the efficacies of new experimental and analytical approaches to observe fatigue-related alterations in knee function during landing. Consequently, this thesis provides new perspectives into the effects of fatigue in knee function during landing. In conclusion: • The effects of fatigue on knee function during landing depend on the response of the individual, with considerable variation present between study participants, despite similar physical characteristics. • In healthy males, adaptation of pre-impact muscle activity and postimpact knee mechanics is unique to the individual and reflects their own optimisation of demands such as energy expenditure, joint stability, sensory information and loading of knee structures. • The results of these studies should guide future exploration of adaptations in knee function to fatigue. However, research in this area should continue with reduced emphasis on the directional response of the population and a greater focus on individual adaptations of knee function.

User-created content and everyday cultural practice : lessons from YouTube

This chapter sets out the debates about the changing role of audiences in relation to user-created content as they appear in New Media and Cultural Studies. The discussion moves beyond the simple dichotomies between active producers and passive audiences, and draws on empirical evidence, in order to examine those practices that are most ordinary and widespread. Building on the knowledge of television’s role in facilitating public life, and the everyday, affective practices through which it is experienced and used, I focus on the way in which YouTube operates as a site of community, creativity and cultural citizenship; and as an archive of popular cultural memory.

Fast rates for estimation error and oracle inequalities for model section

We consider complexity penalization methods for model selection. These methods aim to choose a model to optimally trade off estimation and approximation errors by minimizing the sum of an empirical risk term and a complexity penalty. It is well known that if we use a bound on the maximal deviation between empirical and true risks as a complexity penalty, then the risk of our choice is no more than the approximation error plus twice the complexity penalty. There are many cases, however, where complexity penalties like this give loose upper bounds on the estimation error. In particular, if we choose a function from a suitably simple convex function class with a strictly convex loss function, then the estimation error (the difference between the risk of the empirical risk minimizer and the minimal risk in the class) approaches zero at a faster rate than the maximal deviation between empirical and true risks. In this paper, we address the question of whether it is possible to design a complexity penalized model selection method for these situations. We show that, provided the sequence of models is ordered by inclusion, in these cases we can use tight upper bounds on estimation error as a complexity penalty. Surprisingly, this is the case even in situations when the difference between the empirical risk and true risk (and indeed the error of any estimate of the approximation error) decreases much more slowly than the complexity penalty. We give an oracle inequality showing that the resulting model selection method chooses a function with risk no more than the approximation error plus a constant times the complexity penalty.

Error analysis and attitude observability of a monocular GPS/visual odometry integrated navigation filter

In this paper, we present a method for the recovery of position and absolute attitude (including pitch, roll and yaw) using a novel fusion of monocular Visual Odometry and GPS measurements in a similar manner to a classic loosely-coupled GPS/INS error state navigation filter. The proposed filter does not require additional restrictions or assumptions such as platform-specific dynamics, map-matching, feature-tracking, visual loop-closing, gravity vector or additional sensors such as an IMU or magnetic compass. An observability analysis of the proposed filter is performed, showing that the scale factor, position and attitude errors are fully observable under acceleration that is non-parallel to velocity vector in the navigation frame. The observability properties of the proposed filter are demonstrated using numerical simulations. We conclude the article with an implementation of the proposed filter using real flight data collected from a Cessna 172 equipped with a downwards-looking camera and GPS, showing the feasibility of the algorithm in real-world conditions.

Peer passenger identity and passenger pressure on young drivers' speeding intentions

Young drivers, aged 17 to 24 years, have the highest fatality rate in Australia. It is believed that part of this risk is due to pressure from peer passengers to engage in speeding; which may be active (i.e., verbal encouragement) or passive (i.e., perceived pressure on the part of the driver). The Theory of Planned Behaviour (TPB) was used to investigate this impact of peer passengers on young drivers, particularly the influence of the type of peer pressure and a driver’s level of identification with their passengers. A scenario-based questionnaire was constructed, informed by focus groups and pilot studies, and distributed to university students (N = 398). The questionnaire measured participants’ intentions and the TPB constructs, including two components of perceived behaviour control, within a baseline scenario as well as an experimental scenario in which the variables of type of pressure and identification were manipulated. Consistent with the hypotheses, the study found that attitudes and self-efficacy significantly predicted intentions over and above the variance explained by the sociodemographic variables of age, gender, self-esteem, sensation seeking, as well as past behaviour and exposure. Across the scenarios, attitudes explained between 4.3% and 14.5%, while self-efficacy to refrain from speeding explained between 4.9% and 17.1%, of the unique variance in intentions to speed. However, contrary to expectations, intentions to speed were found to be higher in the “no passenger” than “passenger present” conditions, although this finding is not completely inconsistent with recent literature. A high level of identification with passengers led to higher intentions to speed than low identification as expected, but, inconsistent with expectations, different types of pressure (i.e., active versus passive) did not influence intentions to speed.