Essays on volatility and liquidity in financial markets

The price formation of financial assets is a complex process. It extends beyond the standard economic paradigm of supply and demand to the understanding of the dynamic behavior of price variability, the price impact of information, and the implications of trading behavior of market participants on prices. In this thesis, I study aggregate market and individual assets volatility, liquidity dimensions, and causes of mispricing for US equities over a recent sample period. How volatility forecasts are modeled, what determines intradaily jumps and causes changes in intradaily volatility and what drives the premium of traded equity indexes? Are they induced, for example, by the information content of lagged volatility and return parameters or by macroeconomic news, changes in liquidity and volatility? Besides satisfying our intellectual curiosity, answers to these questions are of direct importance to investors developing trading strategies, policy makers evaluating macroeconomic policies and to arbitrageurs exploiting mispricing in exchange-traded funds. Results show that the leverage effect and lagged absolute returns improve forecasts of continuous components of daily realized volatility as well as jumps. Implied volatility does not subsume the information content of lagged returns in forecasting realized volatility and its components. The reported results are linked to the heterogeneous market hypothesis and demonstrate the validity of extending the hypothesis to returns. Depth shocks, signed order flow, the number of trades, and resiliency are the most important determinants of intradaily volatility. In contrast, spread shock and resiliency are predictive of signed intradaily jumps. There are fewer macroeconomic news announcement surprises that cause extreme price movements or jumps than those that elevate intradaily volatility. Finally, the premium of exchange-traded funds is significantly associated with momentum in net asset value and a number of liquidity parameters including the spread, traded volume, and illiquidity. The mispricing of industry exchange traded funds suggest that limits to arbitrage are driven by potential illiquidity.

Physical activity patterns and correlates among adults from a developing country : the Sri Lanka Diabetes and Cardiovascular Study

OBJECTIVE: To evaluate patterns of physical activity (PA), the prevalence of physical inactivity and the relationships between PA and sociodemographic, clinical and biochemical parameters among Sri Lankan adults. DESIGN: Descriptive cross-sectional study. SETTING: Nationally representative population-based survey conducted in Sri Lanka. SUBJECTS: Data on PA and associated details were obtained from 5000 adults. PA was assessed using the International Physical Activity Questionnaire (short-form). A binary logistic regression analysis was performed using the dichotomous variable ‘health-enhancing PA’ (05‘active’, 15‘inactive’). RESULTS: Sample size was 4485. Mean age was 46.1 (SD 15.1) years, 39.5% were males. The mean weekly total MET (metabolic equivalents of task) minutes of PA among the study population was 4703 (SD 4369). Males (5464 (SD 5452)) had a significantly higher weekly total MET minutes than females (4205 (SD 3394); P,0.001). Rural adults (5175 (SD 4583)) were significantly more active than urban adults (2956 (SD 2847); P<0.001). Tamils had the highest mean weekly total MET minutes among ethnicities. Those with tertiary education had lowest mean weekly total MET minutes. In all adults 60.0% were in the ‘highly active’ category, while only 11.0% were ‘inactive’ (males 14.6%, females 8.7%; P<0.001). Of the ‘highly active’ adults, 85.8% were residing in rural areas. Results of the binary logistic regression analysis indicated that female gender (OR52?1), age .70 years (OR53.8), urban living (OR52.5), Muslim ethnicity (OR52.7), tertiary education (OR53.6), obesity (OR51.8), diabetes (OR51.6), hypertension (OR51.2) and metabolic syndrome (OR51.3) were all associated with significantly increased odds of being physically ‘inactive’. CONCLUSIONS: The majority of Sri Lankan adults were ‘highly active’ physically. Female gender, older age, urban living, Muslim ethnicity and tertiary education were all significant predictors of physical inactivity. Physical inactivity was associated with obesity, diabetes, hypertension and metabolic syndrome.

An algebraic approach for determination of DG parameters to support voltage profiles in radial distribution networks

Rapidly increasing electricity demands and capacity shortage of transmission and distribution facilities are the main driving forces for the growth of Distributed Generation (DG) integration in power grids. One of the reasons for choosing a DG is its ability to support voltage in a distribution system. Selection of effective DG characteristics and DG parameters is a significant concern of distribution system planners to obtain maximum potential benefits from the DG unit. This paper addresses the issue of improving the network voltage profile in distribution systems by installing a DG of the most suitable size, at a suitable location. An analytical approach is developed based on algebraic equations for uniformly distributed loads to determine the optimal operation, size and location of the DG in order to achieve required levels of network voltage. The developed method is simple to use for conceptual design and analysis of distribution system expansion with a DG and suitable for a quick estimation of DG parameters (such as optimal operating angle, size and location of a DG system) in a radial network. A practical network is used to verify the proposed technique and test results are presented.

Detection and quantification of tear phospholipids and cholesterol in contact lens deposits : the effect of contact lens material and lens care solution

PURPOSE. To examine the deposition of tear phospholipids and cholesterol onto worn contact lenses and the effect of lens material and lens care solution. METHODS. Lipids were extracted from tears and worn contact lenses using 2:1 chloroform: Methanol and the extract washed with aqueous ammonium acetate, before analysis by electrospray ionization tandem mass spectrometry (ESI-MS/MS). RESULTS. Twenty-three molecular lipids from the sphingomyelin (SM) and phosphatidylcholine (PC) classes were detected in tears, with total concentrations of each class determined to be 5 ± 1 pmol/μL (~3.8 μg/mL) and 6 ± 1 pmol/μL (~ 4.6μg/mL), respectively. The profile of individual phospholipids in both of these classes was shown to be similar in contact lens deposits. Deposition of representative polar and nonpolar lipids were shown to be significantly higher on senofilcon A contact lenses, with ~59 ng/lens SM, 195 ng/lens PC, and 9.9 μg/lens cholesterol detected, whereas balafilcon A lens extracts contained ~19 ng/lens SM, 19 ng/lens PC, and 3.9 μg/lens cholesterol. Extracts from lenses disinfected and cleaned with two lens care solutions showed no significant differences in total PC and SM concentrations; however, a greater proportion of PC than SM was observed, compared with that in tears. CONCLUSIONS. Phospholipid deposits extracted from worn contact lenses show a molecular profile similar to that in tears. The concentration of representative polar and nonpolar lipids deposited onto contact lenses is significantly affected by lens composition. There is a differential efficacy in the removal of PC and SM with lens care solutions.

Agent-based modelling simulation case study : assessment of airport check-in and evacuation process by considering group travel behaviour of air passengers

Passenger experience has become a major factor that influences the success of an airport. In this context, passenger flow simulation has been used in designing and managing airports. However, most passenger flow simulations failed to consider the group dynamics when developing passenger flow models. In this paper, an agent-based model is presented to simulate passenger behaviour at the airport check-in and evacuation process. The simulation results show that the passenger behaviour can have significant influences on the performance and utilisation of services in airport terminals. The model was created using AnyLogic software and its parameters were initialised using recent research data published in the literature.

Plasma–surface interactions at nanoscales : a combinatorial theoretical, process diagnostics and surface microanalysis approach

This paper introduces an integral approach to the study of plasma-surface interactions during the catalytic growth of selected nanostructures (NSs). This approach involves basic understanding of the plasma-specific effects in NS nucleation and growth, theoretical modelling, numerical simulations, plasma diagnostics, and surface microanalysis. Using an example of plasma-assisted growth of surface-supported single-walled carbon nanotubes, we discuss how the combination of these techniques may help improve the outcomes of the growth process. A specific focus here is on the effects of nanoscale plasma-surface interactions on the NS growth and how the available techniques may be used, both in situ and ex situ to optimize the growth process and structural parameters of NSs.

CFD and experimental modelling of an impinging jet for thunderstorm downburst simulation

A thunderstorm downburst in its simplest form can be modelled as a steady flow impinging air jet. Although this simplification neglects some important atmospheric and physical parameters it has proven to be a useful tool for understanding the kinematics of these events. Assuming this simple impinging jet model also allows numerical models to be developed which can be directly compared with experimental results to validate the use of CFD. Confidence gained from these simulations will allow the use of more complex atmospheric impinging jet models that cannot be directly validated. Thunderstorm downbursts are important for wind engineers because in many parts of the world they produce the design wind speeds used in design standards, but are not structurally represented in these documents.

Uniformity of postprocessing of dense nanotube arrays by neutral and ion fluxes

The advantages of using low-temperature plasma environments for postprocessing of dense nanotube arrays are shown by means of multiscale hybrid numerical simulations. By controlling plasma-extracted ion fluxes and varying the plasma and sheath parameters, one can selectively coat, dope, or functionalize different areas on nanotube surfaces. Conditions of uniform deposition of ion fluxes over the entire nanotube surfaces are obtained for different array densities. The plasma route enables a uniform processing of lateral nanotube surfaces in very dense (with a step-to-height ratio of 1:4) arrays, impossible via the neutral gas process wherein radical penetration into the internanotube gaps is poor. © 2006 American Institute of Physics.

Generation of uniform plasmas by crossed internal oscillating current sheets : key concepts and experimental verification

The results of comprehensive experimental studies of the operation, stability, and plasma parameters of the low-frequency (0.46 MHz) inductively coupled plasmas sustained by the internal oscillating rf current are reported. The rf plasma is generated by using a custom-designed configuration of the internal rf coil that comprises two perpendicular sets of eight currents in each direction. Various diagnostic tools, such as magnetic probes, optical emission spectroscopy, and an rf-compensated Langmuir probe were used to investigate the electromagnetic, optical, and global properties of the argon plasma in wide ranges of the applied rf power and gas feedstock pressure. It is found that the uniformity of the electromagnetic field inside the plasma reactor is improved as compared to the conventional sources of inductively coupled plasmas with the external flat coil configuration. A reasonable agreement between the experimental data and computed electromagnetic field topography inside the chamber is reported. The Langmuir probe measurements reveal that the spatial profiles of the electron density, the effective electron temperature, plasma potential, and electron energy distribution/probability functions feature a high degree of the radial and axial uniformity and a weak azimuthal dependence, which is consistent with the earlier theoretical predictions. As the input rf power increases, the azimuthal dependence of the global plasma parameters vanishes. The obtained results demonstrate that by introducing the internal oscillated rf currents one can noticeably improve the uniformity of electromagnetic field topography, rf power deposition, and the plasma density in the reactor.

Modelling total duration of traffic incidents including incident detection and recovery time

Traffic incidents are key contributors to non-recurrent congestion, potentially generating significant delay. Factors that influence the duration of incidents are important to understand so that effective mitigation strategies can be implemented. To identify and quantify the effects of influential factors, a methodology for studying total incident duration based on historical data from an ‘integrated database’ is proposed. Incident duration models are developed using a selected freeway segment in the Southeast Queensland, Australia network. The models include incident detection and recovery time as components of incident duration. A hazard-based duration modelling approach is applied to model incident duration as a function of a variety of factors that influence traffic incident duration. Parametric accelerated failure time survival models are developed to capture heterogeneity as a function of explanatory variables, with both fixed and random parameters specifications. The analysis reveals that factors affecting incident duration include incident characteristics (severity, type, injury, medical requirements, etc.), infrastructure characteristics (roadway shoulder availability), time of day, and traffic characteristics. The results indicate that event type durations are uniquely different, thus requiring different responses to effectively clear them. Furthermore, the results highlight the presence of unobserved incident duration heterogeneity as captured by the random parameter models, suggesting that additional factors need to be considered in future modelling efforts.

Doppler and Pathloss Characterization for Vehicle-to-Vehicle communications at 5.8 GHz

Due to significant increase in vehicular accident and traffic congestions, vehicle to vehicle (V2V) communication based on the intelligent transport system (ITS) was introduced. However, to carry out efficient design and implementation of a reliable vehicular communication systems,a deep knowledge of the propagation channel characteristics in different environments is crucial, in particular the Doppler and pathloss parameters. Therefore, this paper presents an empirical V2V channel characterization and measurement performed under realistic urban, suburban and highway driving conditions in Brisbane, Australia. Based on Lin Cheng statistical Doppler Model (LCDM), values for the RMS Doppler spread and coherence time due to time selective nature of V2V channels were presented. Also, based on Log-distance power law model, values for the mean pathloss exponent and the standard deviation of shadowing were reported for urban, suburban and highway environments. The V2V channel parameters can be useful to system designers for the purpose of evaluating, simulating and developing new protocols and systems.

Obesity and hypertension have differing oxidant handling molecular pathways in age-related chronic kidney disease

Chronic kidney disease (CKD) in ageing is a burden on health systems worldwide. Rat models of age-related CKD linked with obesity and hypertension were used to investigate alterations in oxidant handling and energy metabolism to identify gene targets or markers for age-related CKD. Young adult (3 months) and old (21–24 months) spontaneously-hypertensive (SHR), normotensive Wistar-Kyoto (WKY) and Wistar rats (normotensive, obese in ageing) were compared for renal functional and physiological parameters, renal fibrosis and inflammation, oxidative stress (hemeoxygenase-1/HO-1), apoptosis and cell injury (including Bax:Bcl-2), phosphorylated and non-phosphorylated forms of oxidant and energy sensing proteins (p66Shc, AMPK), signal transduction proteins (ERK1/2, PKB), and transcription factors (NF-κB, FoxO1). All old rats were normoglycemic. Renal fibrosis, tubular epithelial apoptosis, interstitial macrophages and myofibroblasts (all p < 0.05), p66Shc/phospho-p66 (p < 0.05), Bax/Bcl-2 ratio (p < 0.05) and NF-κB expression (p < 0.01) were highest in old obese Wistars. Expression of phospho-FoxO/FoxO was elevated in old Wistars (p < 0.001) and WKYs (p < 0.01). SHRs had high levels in young and old rats. Expression of PKB, phospho-PKB, ERK1/2 and phospho-ERK1/2 were significantly elevated in all aged animals. These results suggest that obesity and hypertension have differing oxidant handling and signalling pathways that act in the pathogenesis of age-related CKD

Transport and health in China : recent collaborative research relating to vehicle factors and pollution

The nature of the transport system contributes to public health outcomes in a range of ways. The clearest contribution to public health is in the area of traffic crashes, because of their direct impact on individual death and disability and their direct costs to the health system. Other papers in this conference address these issues. This paper outlines some collaborative research between the Centre for Accident Research and Road Safety - Queensland (CARRS-Q) at QUT and Chinese researchers in areas that have indirect health impacts. Heavy vehicle dynamics: The integrity of the road surface influences crash risk, with ruts, pot-holes and other forms of road damage contributing to increased crash risks. The great majority of damage to the road surface from vehicles is caused by heavy trucks and buses, rather than cars or smaller vehicles. In some cases this damage is due to deliberate overloading, but in other cases it is due to vehicle suspension characteristics that lead to occasional high loads on particular wheels. Together with a visiting researcher and his colleagues, we have used both Queensland and Chinese data to model vehicle suspension systems that reduce the level of load, and hence the level of road damage and resulting crash risk(1-5). Toll worker exposure to vehicle emissions: The increasing construction of highways in China has also involved construction of a large number of toll roads. Tollbooth workers are potentially exposed to high levels of pollutants from vehicles, however the extent of this exposure and how it relates to standards for exposure are not well known. In a study led by a visiting researcher, we conducted a study to model these levels of exposure for a tollbooth in China(6). Noise pollution: The increasing presence of high speed roads in China has contributed to an increase in noise levels. In this collaborative study we modelled noise levels associated with a freeway widening near a university campus, and measures to reduce the noise(7). Along with these areas of research, there are many other areas of transport with health implications that are worthy of exploration. Traffic, noise and pollution contribute to a difficult environment for pedestrians, especially in an ageing society where there are health benefits to increasing physical activity. By building on collaborations such as those outlined, there is potential for a contribution to improved public health by addressing transport issues such as vehicle factors and pollution, and extending the research to other areas of travel activity. 1. Chen, Y., He, J., King, M., Chen, W. and Zhang, W. (2014). Stiffness-damping matching method of an ECAS system based on LQG control. Journal of Central South University, 21:439-446. DOI: 10.1007/s1177101419579 2. Chen, Y., He, J., King, M., Feng, Z. and Chang, W. (2013). Comparison of two suspension control strategies for multi-axle heavy truck. Journal of Central South University, 20(2): 550-562. 3. Chen, Y., He, J., King, M., Chen, W. and Zhang, W. (2013). Effect of driving conditions and suspension parameters on dynamic load-sharing of longitudinal-connected air suspensions. Science China Technological Sciences, 56(3): 666-676. DOI: 10.1007/s11431-012-5091-3 4. Chen, Y., He., J., King, M., Chen, W. and Zhang, W. (2013). Model development and dynamic load-sharing analysis of longitudinal-connected air suspensions. Strojniški Vestnik - Journal of Mechanical Engineering, 59(1):14-24. 5. Chen, Y., He, J., King, M., Liu, H. and Zhang, W. (2013). Dynamic load-sharing of longitudinal-connected air suspensions of a tri-axle semi-trailer. Proceedings of Transportation Research Board Annual Conference, Washington DC, 13-17 January 2013, paper no. 13-1117. 6. He, J., Qi, Z., Hang, W., King, M., and Zhao, C. (2011). Numerical evaluation of pollutant dispersion at a toll plaza based on system dynamics and Computational Fluid Dynamics models. Transportation Research Part C, 19(2011):510-520. 7. Zhang, C., He, J., Wang, Z., Yin, R. and King, M. (2013). Assessment of traffic noise level before and after freeway widening using traffic microsimulation and a refined classic noise prediction method. Proceedings of Transportation Research Board Annual Conference, Washington DC, 13-17 January 2013, paper no. 13-2016.

Food structure : its formation and relationships with other properties

Food materials are complex in nature as it has heterogeneous, amorphous, hygroscopic and porous properties. During processing, microstructure of food materials changes which significantly affects other properties of food. An appropriate understanding of the microstructure of the raw food material and its evolution during processing is critical in order to understand and accurately describe dehydration processes and quality anticipation. This review critically assesses the factors that influence the modification of microstructure in the course of drying of fruits and vegetables. The effect of simultaneous heat and mass transfer on microstructure in various drying methods is investigated. Effects of changes in microstructure on other functional properties of dried foods are discussed. After an extensive review of the literature, it is found that development of food structure significantly depends on fresh food properties and process parameters. Also, modification of microstructure influences the other properties of final product. An enhanced understanding of the relationships between food microstructure, drying process parameters and final product quality will facilitate the energy efficient optimum design of the food processor in order to achieve high-quality food

Analysis of passenger group behaviour and its impact on passenger flow using an agent-based model

Group interaction within crowds is a common phenomenon and has great influence on pedestrian behaviour. This paper investigates the impact of passenger group dynamics using an agent-based simulation method for the outbound passenger process at airports. Unlike most passenger-flow models that treat passengers as individual agents, the proposed model additionally incorporates their group dynamics as well. The simulation compares passenger behaviour at airport processes and discretionary services under different group formations. Results from experiments (both qualitative and quantitative) show that incorporating group attributes, in particular, the interactions with fellow travellers and wavers can have significant influence on passengers activity preference as well as the performance and utilisation of services in airport terminals. The model also provides a convenient way to investigate the effectiveness of airport space design and service allocations, which can contribute to positive passenger experiences. The model was created using AnyLogic software and its parameters were initialised using recent research data published in the literature.