Volatility timing : how best to forecast portfolio exposures

This paper investigates how best to forecast optimal portfolio weights in the context of a volatility timing strategy. It measures the economic value of a number of methods for forming optimal portfolios on the basis of realized volatility. These include the traditional econometric approach of forming portfolios from forecasts of the covariance matrix, and a novel method, where a time series of optimal portfolio weights are constructed from observed realized volatility and directly forecast. The approach proposed here of directly forecasting portfolio weights shows a great deal of merit. Resulting portfolios are of equivalent economic benefit to a number of competing approaches and are more stable across time. These findings have obvious implications for the manner in which volatility timing is undertaken in a portfolio allocation context.

Knowledge and behaviours of drunk driving offenders in Guangzhou, China

Background Alcohol is a major contributor to road crashes in China (Li, Xie, Nie, & Zhang, 2012; Cochrane, & Chen, 2003). Two levels of offence are defined in legislation: the lower level is driving under the influence (DUI, also translated as “drink driving”) and the higher level is driving while intoxicated (DWI, also translated as “drunk driving”, where the driver has BAC>0.08mg/100ml). This study focuses on a 2011 legislative amendment that made drunk driving (DWI) a criminal offence. However, it is not known whether drivers are aware of the law, and whether this knowledge, their exposure to enforcement and the existence of alcohol use disorders relate to their drink driving behaviour. This study explored these relationships in a sample of convicted drunk drivers. Method A survey collected information about offenders’ knowledge and practices related to drunk driving in Guangzhou. The Alcohol Use Disorders Identification Test (AUDIT) (Babor, & Grant, 1989; Chen, & Cheng, 2005) assessed hazardous drinking levels. In total, 101 drunk driving offenders were recruited while in detention. Results Males represented 90% of the sample; the average age was 33.6 years (SD=8.7; range 17-59 years). The average age at which offenders reported starting to drink alcohol was 19.5 years (SD=4.1; range 8-30 years). Driver’s licences had been held for a median of 7 years. Knowledge about legal limits for DUI and DWI offences was surprisingly low, at 27.7% and 40.6% respectively. On average, offenders had experienced 1.5 police alcohol breath tests in the previous year (SD=1.3; range 1-10). AUDIT scores indicated that a substantial proportion of the offenders had high levels of alcohol use disorders. Higher AUDIT scores were found among the least experienced drivers, those with lack of knowledge about the legal limits, and recidivist drunk drivers. Discussion and conclusions Limited awareness of legal alcohol limits might contribute to offending; high levels of alcohol consumption by many offenders suggest that hazardous drinking levels may also contribute. Novice drivers are a concern and their higher AUDIT scores merit some followup. Overall, this study provides important information to assist in refining community education and prevention efforts to align with China’s new regulations.

Bioavailability study of oral and intravenous OGT 719, a novel nucleoside analogue with preferential activity in the liver

Purpose: Although oral fluoropyrimidine pro-drugs are increasingly being administered in preference to intravenous nucleoside analogues in cancer chemotherapy, their activation in malignant liver tissue may be insufficient. OGT 719 (1-galactopyranosyl-5-fluorouracil) is a novel nucleoside analogue, preferentially localized in hepatocytes and hepatoma cells via the asialoglycoprotein receptor. The aim of this study was to assess the systemic bioavailability of this rationally designed drug in 16 patients with advanced solid cancers. Method: Crossover pharmacokinetic study of oral (400 or 800 mg) and intravenous (250 mg/m 2) OGT 719. Results: Linear pharmacokinetics and oral bioavailability of approximately 25% were observed at the dose levels used in this study. Like other 5-FU prodrugs, considerable interpatient variability was observed in bioavailability following oral dosing. The mean half-life for oral doses was 4 h. OGT 719 was well tolerated. No objective tumour responses were demonstrated. Conclusion: The systemic bioavailability and half-life of oral OGT 719 are sufficient to merit dose escalation studies with frequent daily dosing. Subsequent efficacy studies should be performed in patients with primary and secondary liver malignancies.

Bioavailability study of oral and intravenous OGT 719, a novel nucleoside analogue with preferential activity in the liver

Purpose: Although oral fluoropyrimidine pro-drugs are increasingly being administered in preference to intravenous nucleoside analogues in cancer chemotherapy, their activation in malignant liver tissue may be insufficient. OGT 719 (1-galactopyranosyl-5-fluorouracil) is a novel nucleoside analogue, preferentially localized in hepatocytes and hepatoma cells via the asialoglycoprotein receptor. The aim of this study was to assess the systemic bioavailability of this rationally designed drug in 16 patients with advanced solid cancers. Method: Crossover pharmacokinetic study of oral (400 or 800 mg) and intravenous (250 mg/m 2) OGT 719. Results: Linear pharmacokinetics and oral bioavailability of approximately 25% were observed at the dose levels used in this study. Like other 5-FU prodrugs, considerable interpatient variability was observed in bioavailability following oral dosing. The mean half-life for oral doses was 4 h. OGT 719 was well tolerated. No objective tumour responses were demonstrated. Conclusion: The systemic bioavailability and half-life of oral OGT 719 are sufficient to merit dose escalation studies with frequent daily dosing. Subsequent efficacy studies should be performed in patients with primary and secondary liver malignancies.

Controlled Monte Carlo data generation for statistical damage identification employing Mahalanobis squared distance

The use of Mahalanobis squared distance–based novelty detection in statistical damage identification has become increasingly popular in recent years. The merit of the Mahalanobis squared distance–based method is that it is simple and requires low computational effort to enable the use of a higher dimensional damage-sensitive feature, which is generally more sensitive to structural changes. Mahalanobis squared distance–based damage identification is also believed to be one of the most suitable methods for modern sensing systems such as wireless sensors. Although possessing such advantages, this method is rather strict with the input requirement as it assumes the training data to be multivariate normal, which is not always available particularly at an early monitoring stage. As a consequence, it may result in an ill-conditioned training model with erroneous novelty detection and damage identification outcomes. To date, there appears to be no study on how to systematically cope with such practical issues especially in the context of a statistical damage identification problem. To address this need, this article proposes a controlled data generation scheme, which is based upon the Monte Carlo simulation methodology with the addition of several controlling and evaluation tools to assess the condition of output data. By evaluating the convergence of the data condition indices, the proposed scheme is able to determine the optimal setups for the data generation process and subsequently avoid unnecessarily excessive data. The efficacy of this scheme is demonstrated via applications to a benchmark structure data in the field.

Expanded scope roles in primary health – what makes them work?

Introduction The demand for better integration between primary and secondary healthcare frequently leads to discussion about expanded scope of practice for nursing, paramedic and allied health professionals and the role these clinicians could play in facilitating improved access to timely and appropriate healthcare. From workforce perspective, expanded scope of practice has also been advocated as a mean of fostering workforce retention. Models of expanded scope roles in nursing and paramedicine have been trialled nationally and internationally in both acute and community care settings. Where they have been successful, trials have resulted in reduction in hospital presentation and admission; improved patient access and timeliness; and patient satisfaction. This paper will examine the characteristics of successful expanded scope programs. Method Exploratory case-study analysis of successful integration of expanded health care roles across primary healthcare settings in rural Australia. Results & Conclusions One size does not fill all. Successful models of integrated expanded health care roles in primary health care settings are built on stakeholder’s capacity and preference; community need; and political will. Collaborative, congruent, multi-disciplinary care teams that prioritise patient-centred care within a dynamic primary care setting have merit and are more likely to foster flexibility and sustainability.

Back to the roots : mean-variance analysis of relevance estimations

Recently, mean-variance analysis has been proposed as a novel paradigm to model document ranking in Information Retrieval. The main merit of this approach is that it diversifies the ranking of retrieved documents. In its original formulation, the strategy considers both the mean of relevance estimates of retrieved documents and their variance. How- ever, when this strategy has been empirically instantiated, the concepts of mean and variance are discarded in favour of a point-wise estimation of relevance (to replace the mean) and of a parameter to be tuned or, alternatively, a quantity dependent upon the document length (to replace the variance). In this paper we revisit this ranking strategy by going back to its roots: mean and variance. For each retrieved document, we infer a relevance distribution from a series of point-wise relevance estimations provided by a number of different systems. This is used to compute the mean and the variance of document relevance estimates. On the TREC Clueweb collection, we show that this approach improves the retrieval performances. This development could lead to new strategies to address the fusion of relevance estimates provided by different systems.

Combining word semantics within complex Hilbert space for information retrieval

Complex numbers are a fundamental aspect of the mathematical formalism of quantum physics. Quantum-like models developed outside physics often overlooked the role of complex numbers. Specifically, previous models in Information Retrieval (IR) ignored complex numbers. We argue that to advance the use of quantum models of IR, one has to lift the constraint of real-valued representations of the information space, and package more information within the representation by means of complex numbers. As a first attempt, we propose a complex-valued representation for IR, which explicitly uses complex valued Hilbert spaces, and thus where terms, documents and queries are represented as complex-valued vectors. The proposal consists of integrating distributional semantics evidence within the real component of a term vector; whereas, ontological information is encoded in the imaginary component. Our proposal has the merit of lifting the role of complex numbers from a computational byproduct of the model to the very mathematical texture that unifies different levels of semantic information. An empirical instantiation of our proposal is tested in the TREC Medical Record task of retrieving cohorts for clinical studies.

Contributions towards a process for sustainable development in coastal Queensland, Australia

The measures by which major developments are officially approved for construction are - by common agreement - complex, time-consuming, and of questionable merit in terms of maintaining ecological viability.

A framework for testing robust autonomy of UAS during design and certification

As the number of Uninhabited Airborne Systems (UAS) proliferates in civil applications, industry is increasingly putting pressure on regulation authorities to provide a path for certification and allow UAS integration into regulated airspace. The success of this integration depends on developments in improved UAS reliability and safety, regulations for certification, and technologies for operational performance and safety assessment. This paper focusses on the last topic and describes a framework for quantifying robust autonomy of UAS, which quantifies the system's ability to either continue operating in the presence of faults or safely shut down. Two figures of merit are used to evaluate vehicle performance relative to mission requirements and the consequences of autonomous decision making in motion control and guidance systems. These figures of merit are interpreted within a probabilistic framework, which extends previous work in the literature. The valuation of the figures of merit can be done using stochastic simulation scenarios during both vehicle development and certification stages with different degrees of integration of hardware-in-the-loop simulation technology. The objective of the proposed framework is to aid in decision making about the suitability of a vehicle with respect to safety and reliability relative to mission requirements.

On evaluation of robust autonomy for uninhabited vehicles and systems

This paper discusses a method to quantify robust autonomy of Uninhabited Vehicles and Systems (UVS) in aerospace, marine, or land applications. Based on mission-vehicle specific performance criteria, we define an system utility function that can be evaluated using simulation scenarios for an envelope of environmental conditions. The results of these evaluations are used to compute a figure of merit or measure for operational efectiveness (MOE). The procedure is then augmented to consider faults and the performance of mechanisms to handle these faulty operational modes. This leads to a measure of robust autonomy (MRA). The objective of the proposed figures of merit is to assist in decision making about vehicle performance and reliability at both vehicle development stage (using simulation models) and at certification stage (using hardware-in-the-loop testing). Performance indices based on dynamic and geometric tasks associated with vehicle manoeuvring problems are proposed, and an example of a two- dimensional y scenario is provided to illustrate the use of the proposed figures of merit.

Improved performance in diketopyrrolopyrrole-based transistors with bilayer gate dielectrics

There has been significant progress in the past 2 decades in the field of organic and polymer thin-film transistors. In this paper, we report a combination of stable materials, device architecture, and process conditions that resulted in a patterned gate, small channel length (<5 μm) device that possesses a scaled field-induced conductivity in air that is higher than any organic/polymer transistor reported thus far. The operating voltage is below 10 V; the on-off ratio is high; and the active materials are solution-processable. The semiconducting polymer is a new donor-acceptor polymer with furan-substituted diketopyrrolopyrrole and thienyl-vinylene-thienyl building blocks in the conjugated backbone. One of the major striking features of our work is that the patterned-gate device architecture is suitable for practical applications. We also propose a figure of merit to meaningfully compare polymer/organic transistor performance that takes into account mobility and operating voltage. With this figure of merit, we compare leading organic and polymer transistors that have been hitherto reported. The material and device architecture have shown very high mobility and low operating voltage for such short channel length (below 5 μm) organic/polymer transistors.

A comparison of factors influencing perceived risk by French and Australian cyclists and drivers

Differences in the levels of risk perceived by cyclists and car drivers may contribute to the dangers in their interactions. Levels of perceived risk have been shown to vary according to personal and environmental factors and between countries. Cycling rates in France are higher than in Australia, particularly among women. This study investigated whether cultural differences between France and Australia are reflected in perceived risks for experienced adult cyclists and drivers in the two countries. In online surveys, regular cyclists (France 336, Australia 444) and drivers (France 92, Australia 151) were asked to rate the level of risk in six situations: failure to yield; going through a red light; not signalling when turning; swerving; tail-gating; and not checking traffic. The effects of type of interacting vehicle and participant type on perceived risk were similar in France and Australia. However, the influence of responsibility for the risky behaviour differed according to participant type, type of situation and nationality. When the bicycle rider committed the road rule violation, Australian cyclists and drivers gave higher risk ratings than French cyclists and drivers. In both countries, cyclists rated themselves significantly higher than drivers on the perceived control and overconfidence subscales of the perceived skill measure. The French cyclists rated themselves higher than Australian cyclists on these scales, which could be responsible for overall lower perceived risk levels when interacting with a bike. Australian cyclists rated themselves significantly lower than drivers on the incompetence subscale but French cyclists rated themselves higher than drivers. In both countries incompetence scores were positively related to levels of perceived risk. Weekly time was associated with perceived risk in Australia but not in France. Frequency of traffic violations was not associated with perceived risk in either country. In conclusion, levels of perceived risk differed between drivers and cyclists in both countries and were influenced by type of interacting vehicle, experience and perceived skill. However, some differences between the results from the two countries merit further investigation to shed light on potential improvements in safety and cycling participation.

Decomposition analysis of air pollution abatement in China: empirical study for ten industrial sectors from 1998 to 2009

This study analyzes the management of air pollutant substance in Chinese industrial sectors from 1998 to 2009. Decomposition analysis applying the logarithmic mean divisia index is used to analyze changes in emissions of air pollutants with a focus on the following five factors: coal pollution intensity (CPI), end-of-pipe treatment (EOP), the energy mix (EM), productive efficiency change (EFF), and production scale changes (PSC). Three pollutants are the main focus of this study: sulfur dioxide (SO2), dust, and soot. The novelty of this paper is focusing on the impact of the elimination policy on air pollution management in China by type of industry using the scale merit effect for pollution abatement technology change. First, the increase in SO2 emissions from Chinese industrial sectors because of the increase in the production scale is demonstrated. However, the EOP equipment that induced this change and improvements in energy efficiency has prevented an increase in SO2 emissions that is commensurate with the increase in production. Second, soot emissions were successfully reduced and controlled in all industries except the steel industry between 1998 and 2009, even though the production scale expanded for these industries. This reduction was achieved through improvements in EOP technology and in energy efficiency. Dust emissions decreased by nearly 65% between 1998 and 2009 in the Chinese industrial sectors. This successful reduction in emissions was achieved by implementing EOP technology and pollution prevention activities during the production processes, especially in the cement industry. Finally, pollution prevention in the cement industry is shown to result from production technology development rather than scale merit. © 2013 Elsevier Ltd. All rights reserved.

Topic dependent language modelling for spoken term detection

This paper investigates the effect of topic dependent language models (TDLM) on phonetic spoken term detection (STD) using dynamic match lattice spotting (DMLS). Phonetic STD consists of two steps: indexing and search. The accuracy of indexing audio segments into phone sequences using phone recognition methods directly affects the accuracy of the final STD system. If the topic of a document in known, recognizing the spoken words and indexing them to an intermediate representation is an easier task and consequently, detecting a search word in it will be more accurate and robust. In this paper, we propose the use of TDLMs in the indexing stage to improve the accuracy of STD in situations where the topic of the audio document is known in advance. It is shown that using TDLMs instead of the traditional general language model (GLM) improves STD performance according to figure of merit (FOM) criteria.