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.

The social car : new interactive vehicular applications derived from social media and urban informatics

Digital information that is place- and time-specific, is increasingly becoming available on all aspects of the urban landscape. People (cf. the Social Web), places (cf. the Geo Web), and physical objects (cf. ubiquitous computing, the Internet of Things) are increasingly infused with sensors, actuators, and tagged with a wealth of digital information. Urban informatics research explores these emerging digital layers of the city at the intersection of people, place and technology. However, little is known about the challenges and new opportunities that these digital layers may offer to road users driving through today’s mega cities. We argue that this aspect is worth exploring in particular with regards to Auto-UI’s overarching goal of making cars both safer and more enjoyable. This paper presents the findings of a pilot study, which included 14 urban informatics research experts participating in a guided ideation (idea creation) workshop within a simulated environment. They were immersed into different driving scenarios to imagine novel urban informatics type of applications specific to the driving context.

Anthropogenic landscape change promotes asymmetric dispersal and limits regional patch occupancy in a spatially structured bird population

1. Local extinctions in habitat patches and asymmetric dispersal between patches are key processes structuring animal populations in heterogeneous environments. Effective landscape conservation requires an understanding of how habitat loss and fragmentation influence demographic processes within populations and movement between populations. 2. We used patch occupancy surveys and molecular data for a rainforest bird, the logrunner (Orthonyx temminckii), to determine (i) the effects of landscape change and patch structure on local extinction; (ii) the asymmetry of emigration and immigration rates; (iii) the relative influence of local and between-population landscapes on asymmetric emigration and immigration; and (iv) the relative contributions of habitat loss and habitat fragmentation to asymmetric emigration and immigration. 3. Whether or not a patch was occupied by logrunners was primarily determined by the isolation of that patch. After controlling for patch isolation, patch occupancy declined in landscapes experiencing high levels of rainforest loss over the last 100 years. Habitat loss and fragmentation over the last century was more important than the current pattern of patch isolation alone, which suggested that immigration from neighbouring patches was unable to prevent local extinction in highly modified landscapes. 4. We discovered that dispersal between logrunner populations is highly asymmetric. Emigration rates were 39% lower when local landscapes were fragmented, but emigration was not limited by the structure of the between-population landscapes. In contrast, immigration was 37% greater when local landscapes were fragmented and was lower when the between-population landscapes were fragmented. Rainforest fragmentation influenced asymmetric dispersal to a greater extent than did rainforest loss, and a 60% reduction in mean patch area was capable of switching a population from being a net exporter to a net importer of dispersing logrunners. 5. The synergistic effects of landscape change on species occurrence and asymmetric dispersal have important implications for conservation. Conservation measures that maintain large patch sizes in the landscape may promote asymmetric dispersal from intact to fragmented landscapes and allow rainforest bird populations to persist in fragmented and degraded landscapes. These sink populations could form the kernel of source populations given sufficient habitat restoration. However, the success of this rescue effect will depend on the quality of the between-population landscapes.

Abundance of introduced species at home predicts abundance away in herbaceous communities

Many ecosystems worldwide are dominated by introduced plant species, leading to loss of biodiversity and ecosystem function. A common but rarely tested assumption is that these plants are more abundant in introduced vs. native communities, because ecological or evolutionary-based shifts in populations underlie invasion success. Here, data for 26 herbaceous species at 39 sites, within eight countries, revealed that species abundances were similar at native (home) and introduced (away) sites – grass species were generally abundant home and away, while forbs were low in abundance, but more abundant at home. Sites with six or more of these species had similar community abundance hierarchies, suggesting that suites of introduced species are assembling similarly on different continents. Overall, we found that substantial changes to populations are not necessarily a pre-condition for invasion success and that increases in species abundance are unusual. Instead, abundance at home predicts abundance away, a potentially useful additional criterion for biosecurity programmes.

Document clustering evaluation : Divergence from a random baseline

Divergence from a random baseline is a technique for the evaluation of document clustering. It ensures cluster quality measures are performing work that prevents ineffective clusterings from giving high scores to clusterings that provide no useful result. These concepts are defined and analysed using intrinsic and extrinsic approaches to the evaluation of document cluster quality. This includes the classical clusters to categories approach and a novel approach that uses ad hoc information retrieval. The divergence from a random baseline approach is able to differentiate ineffective clusterings encountered in the INEX XML Mining track. It also appears to perform a normalisation similar to the Normalised Mutual Information (NMI) measure but it can be applied to any measure of cluster quality. When it is applied to the intrinsic measure of distortion as measured by RMSE, subtraction from a random baseline provides a clear optimum that is not apparent otherwise. This approach can be applied to any clustering evaluation. This paper describes its use in the context of document clustering evaluation.

Human proximal tubule epithelial cells modulate autologous dendritic cell function

Background We have previously demonstrated that human kidney proximal tubule epithelial cells (PTEC) are able to modulate autologous T and B lymphocyte responses. It is well established that dendritic cells (DC) are responsible for the initiation and direction of adaptive immune responses and that these cells occur in the renal interstitium in close apposition to PTEC under inflammatory disease settings. However, there is no information regarding the interaction of PTEC with DC in an autologous human context. Methods Human monocytes were differentiated into monocyte-derived DC (MoDC) in the absence or presence of primary autologous activated PTEC and matured with polyinosinic:polycytidylic acid [poly(I:C)], while purified, pre-formed myeloid blood DC (CD1c+ BDC) were cultured with autologous activated PTEC in the absence or presence of poly(I:C) stimulation. DC responses were monitored by surface antigen expression, cytokine secretion, antigen uptake capacity and allogeneic T-cell-stimulatory ability. Results The presence of autologous activated PTEC inhibited the differentiation of monocytes to MoDC. Furthermore, MoDC differentiated in the presence of PTEC displayed an immature surface phenotype, efficient phagocytic capacity and, upon poly(I:C) stimulation, secreted low levels of pro-inflammatory cytokine interleukin (IL)-12p70, high levels of anti-inflammatory cytokine IL-10 and induced weak Th1 responses. Similarly, pre-formed CD1c+ BDC matured in the presence of PTEC exhibited an immature tolerogenic surface phenotype, strong endocytic and phagocytic ability and stimulated significantly attenuated T-cell proliferative responses. Conclusions Our data suggest that activated PTEC regulate human autologous immunity via complex interactions with DC. The ability of PTEC to modulate autologous DC function has important implications for the dampening of pro-inflammatory immune responses within the tubulointerstitium in renal injuries. Further dissection of the mechanisms of PTEC modulation of autologous immune responses may offer targets for therapeutic intervention in renal medicine.

Varenicline decreases alcohol consumption in heavy-drinking smokers

Rationale Emerging evidence suggests that the α4β2 form of the nicotinic acetylcholine receptor (nAChR) modulates the rewarding effects of alcohol. The nAChR α4β2 subunit partial agonist varenicline (Chantix™), which is approved by the Food and Drug Administration for smoking cessation, also decreases ethanol consumption in rodents (Steensland et al., Proc Natl Acad Sci U S A 104:12518–12523, 2007) and in human laboratory and open-label studies (Fucito et al., Psychopharmacology (Berl) 215:655–663, 2011; McKee et al., Biol Psychiatry 66:185–190 2009). Objectives We present a randomized, double-blind, 16-week study in heavy-drinking smokers (n = 64 randomized to treatment) who were seeking treatment for their smoking. The study was designed to determine the effects of varenicline on alcohol craving and consumption. Outcome measures included number of alcoholic drinks per week, cigarettes per week, amount of alcohol craving per week, cumulative cigarettes and alcoholic drinks consumed during the treatment period, number of abstinent days, and weekly percentage of positive ethyl glucuronide and cotinine screens. Results Varenicline significantly decreases alcohol consumption (χ 2 = 35.32, p < 0.0001) in smokers. Although varenicline has previously been associated with suicidality and depression, side effects were low in this study and declined over time in the varenicline treatment group. Conclusions Varenicline can produce a sustained decrease in alcohol consumption in individuals who also smoke. Further studies are warranted to assess varenicline efficacy in treatment-seeking alcohol abusers who do not smoke and to ascertain the relationship between varenicline effects on smoking and drinking.

Current status and future prospects for cultured limbal tissue transplants in Australia and New Zealand

Cultured limbal tissue transplants have become widely used over the last decade as a treatment for limbal stem cell deficiency (LSCD). While the number of patients afflicted with LSCD in Australia and New Zealand is considered to be relatively low, the impact of this disease on quality of life is so severe that the potential efficacy of cultured transplants has necessitated investigation. We presently review the basic biology and experimental strategies associated with the use of cultured limbal tissue transplants in Australia and New Zealand. In doing so, we aim to encourage informed discussion on the issues required to advance the use of cultured limbal transplants in Australia and New Zealand. Moreover, we propose that a collaborative network could be established to maintain access to the technology in conjunction with a number of other existing and emerging treatments for eye diseases.

Teaching planning beyond the national context : pedagogic analyses of international fieldtrip experiences

Urban and regional planners, in the era of globalization, require being equipped with skill sets to better deal with complex and rapidly changing economic, socio-cultural, political and environmental fabrics of cities and their regions. In order to provide such skill sets, urban and regional planning curriculum of Queensland University of Technology (Brisbane, Australia) offers regional planning practice in the international context. This paper reports the findings of the pedagogic analyses from the regional planning practice fieldtrips to Malaysia, Korea, Turkey, Taiwan, and discusses the opportunities and constraints of exposure of students to regional planning practice beyond the national context.

Facilitating first year students’ engagement with planning education : utilising student affinity for technology to increase cohort cohesion and decrease attrition

First year students overwhelmingly indicate that a strong interest in a field of study prompts them to enrol in university (McInnis et al 2000), yet over a quarter indicate that they have seriously considered dropping out of studies during their first year, with boredom most frequently cited by those domestic students who do depart before graduation (Coates and Ransom 2011). While it may be comforting to write off such withdrawals to the presumed apathy of youth, student “disquiet (in) their first year on campus may be a result of courses and institutions that do not match their needs and objectives, rather than any uncertainty or lack of purpose on their part” (James et al 1999). Voting with their mouse clicks, The current research investigate two conceptualized types of student participation in online discussion forums to increase understanding of student affinity for technology and its potential for fostering social network development amongst first year students.

What do current planning students and recent graduates think planners do?

A planner’s view of the purpose of their actions, the role they play, the focus of their work and in whose interest they operate greatly influence their approach to planning and the outcome of their work. However there is no common and established understanding within the profession on these themes. Contemporary planning theory, practice and education is characterised by the parallel existence of multiple, often contradictory schools of thought. What values and perspectives are held by the next generation of planning professionals as they emerge from contemporary planning programs? This preliminary investigation seeks to identify the views and perspectives of early career planners on the purpose and role of planning, the degree to which planning is oriented on the future and the nature of the public interest, using various schools of planning thought as a thematic framework. In the current phase of a larger project, extant students and recent graduates from planning courses at three Queensland universities were surveyed electronically to ascertain their views, with plans to undertake a broader study of similar populations across Australia. Within the current pilot, students and graduates did not identify strongly with a single school of planning thought, but favoured contrasting rational and collaborative definitions of the role and purpose of planning and the public interest and pragmatic concepts of partial knowledge of the future and the value of experience in managing present issues.

Early inflammatory and myogenic responses to resistance exercise in the elderly

Introduction and Methods: This study compared changes in myokine and myogenic genes following resistance exercise (3 sets of 12 repetitions of maximal unilateral knee extension) in 20 elderly men (67.8 ± 1.0 years) and 15 elderly women (67.2 ± 1.5 years). Results: Monocyte chemotactic protein (MCP)-1, macrophage inhibitory protein (MIP)-1β, interleukin (IL)-6 and MyoD mRNA increased significantly (P < 0.05), whereas myogenin and myostatin mRNA decreased significantly after exercise in both groups. Macrophage-1 (Mac-1) and MCP-3 mRNA did not change significantly after exercise in either group. MIP-1β, Mac-1 and myostatin mRNA were significantly higher before and after exercise in men compared with women. In contrast, MCP-3 and myogenin mRNA were significantly higher before and after exercise in the women compared with the men. Conclusions: In elderly individuals, gender influences the mRNA expression of certain myokines and growth factors, both at rest and after resistance exercise. These differences may influence muscle regeneration following muscle injury

Sustaining the future through virtual worlds

Virtual worlds (VWs) continue to be used extensively in Australia and New Zealand higher education institutions although the tendency towards making unrealistic claims of efficacy and popularity appears to be over. Some educators at higher education institutions continue to use VWs in the same way as they have done in the past; others are exploring a range of different VWs or using them in new ways; whilst some are opting out altogether. This paper presents an overview of how 46 educators from some 26 institutions see VWs as an opportunity to sustain higher education. The positives and negatives of using VWs are discussed.