Stochastic modelling of financial time series with memory and multifractal scaling

Financial processes may possess long memory and their probability densities may display heavy tails. Many models have been developed to deal with this tail behaviour, which reflects the jumps in the sample paths. On the other hand, the presence of long memory, which contradicts the efficient market hypothesis, is still an issue for further debates. These difficulties present challenges with the problems of memory detection and modelling the co-presence of long memory and heavy tails. This PhD project aims to respond to these challenges. The first part aims to detect memory in a large number of financial time series on stock prices and exchange rates using their scaling properties. Since financial time series often exhibit stochastic trends, a common form of nonstationarity, strong trends in the data can lead to false detection of memory. We will take advantage of a technique known as multifractal detrended fluctuation analysis (MF-DFA) that can systematically eliminate trends of different orders. This method is based on the identification of scaling of the q-th-order moments and is a generalisation of the standard detrended fluctuation analysis (DFA) which uses only the second moment; that is, q = 2. We also consider the rescaled range R/S analysis and the periodogram method to detect memory in financial time series and compare their results with the MF-DFA. An interesting finding is that short memory is detected for stock prices of the American Stock Exchange (AMEX) and long memory is found present in the time series of two exchange rates, namely the French franc and the Deutsche mark. Electricity price series of the five states of Australia are also found to possess long memory. For these electricity price series, heavy tails are also pronounced in their probability densities. The second part of the thesis develops models to represent short-memory and longmemory financial processes as detected in Part I. These models take the form of continuous-time AR(∞) -type equations whose kernel is the Laplace transform of a finite Borel measure. By imposing appropriate conditions on this measure, short memory or long memory in the dynamics of the solution will result. A specific form of the models, which has a good MA(∞) -type representation, is presented for the short memory case. Parameter estimation of this type of models is performed via least squares, and the models are applied to the stock prices in the AMEX, which have been established in Part I to possess short memory. By selecting the kernel in the continuous-time AR(∞) -type equations to have the form of Riemann-Liouville fractional derivative, we obtain a fractional stochastic differential equation driven by Brownian motion. This type of equations is used to represent financial processes with long memory, whose dynamics is described by the fractional derivative in the equation. These models are estimated via quasi-likelihood, namely via a continuoustime version of the Gauss-Whittle method. The models are applied to the exchange rates and the electricity prices of Part I with the aim of confirming their possible long-range dependence established by MF-DFA. The third part of the thesis provides an application of the results established in Parts I and II to characterise and classify financial markets. We will pay attention to the New York Stock Exchange (NYSE), the American Stock Exchange (AMEX), the NASDAQ Stock Exchange (NASDAQ) and the Toronto Stock Exchange (TSX). The parameters from MF-DFA and those of the short-memory AR(∞) -type models will be employed in this classification. We propose the Fisher discriminant algorithm to find a classifier in the two and three-dimensional spaces of data sets and then provide cross-validation to verify discriminant accuracies. This classification is useful for understanding and predicting the behaviour of different processes within the same market. The fourth part of the thesis investigates the heavy-tailed behaviour of financial processes which may also possess long memory. We consider fractional stochastic differential equations driven by stable noise to model financial processes such as electricity prices. The long memory of electricity prices is represented by a fractional derivative, while the stable noise input models their non-Gaussianity via the tails of their probability density. A method using the empirical densities and MF-DFA will be provided to estimate all the parameters of the model and simulate sample paths of the equation. The method is then applied to analyse daily spot prices for five states of Australia. Comparison with the results obtained from the R/S analysis, periodogram method and MF-DFA are provided. The results from fractional SDEs agree with those from MF-DFA, which are based on multifractal scaling, while those from the periodograms, which are based on the second order, seem to underestimate the long memory dynamics of the process. This highlights the need and usefulness of fractal methods in modelling non-Gaussian financial processes with long memory.

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].

Closing the cultural distance gap: managing value-based knowledge in MNC by using MEP

Today more than ever, generating and managing knowledge is an essential source of competitive advantage for every organization, and particularly for Multinational corporations (MNC). However, despite the undisputed agreement about the importance of creating and managing knowledge, there are still a large number of corporations that act unethically or illegally. Clearly, there is a lack of attention in gaining more knowledge about the management of ethical knowledge in organizations. This paper refers to value-based knowledge, as the process of recognise and manage those values that stand at the heart of decision-making and action in organizations. In order to support MNCs in implementing value-based knowledge process, the managerial ethical profile (MEP) has been presented as a valuable tool to facilitate knowledge management process at both the intra-organizational network level and at the inter-organizational network level.

Reading fictions

Each of the six chapters, which offer a cumulative course of study, begins with a concise overview of the concepts to be explored through the students’ reading of selected stories. The first chapter, 'Texts and readings', tries to make reading seem 'strange' through a series of de-familiarising activities that ask students to consider not only what particular stories might mean, but also how they are made to mean in different, and often quite contradictory, ways. This is explored further in the second chapter which introduces the idea of 'reading positions' and investigates the idea that in some senses, stories are always 'already read'. The next two chapters, called 'Intertextuality' and 'Re-readings?', invite students to consider how they produce particular readings and how they might choose among quite different readings or interpretations of the same story. The fifth chapter explores ideas about texts and their relationship to 'reality' through readings of racism, while the final chapter, 'Real people?' asks students to consider how they produce often rich and detailed readings of characters from minimal textual information. Terms and concepts which may be new to some students are highlighted in the text and indexed for easy reference. The short stories in this collection are by writers from different parts of the world and will appeal to students. They range from 'expressive realist' texts to less conventional narrative forms. Those teachers who have enjoyed using Reading Stories with their students will have a lot to look forward to in this collection of surefire 'winners' - by writers as varied as Bessie Head, Kristin Hunter, Tim Winton, Joyce Carol Oates, John Wain and Patricia Grace - each of which is accompanied by imaginative, enjoyable and thought-provoking activities.

Literacy education in the context of globalisation

This review chapter provides an overview of English language literacy education in the contexts of cultural and economic globalisation. Drawing case study examples of India and China, the authors outline three complementary models: the development paradigm, the hegemony paradigm and the new literacies paradigm. The analysis focuses on effects of the spread of English on vernacular languages and the non-synchronous issues raised by digital production cultures. Noting the difficulties of education systems in contending with new literacies - it argues for the reframing of transnational relations, global material conditions and new communications technologies as the objects of critical literacy education.

Listening to late discovery adoption and donor offspring stories : adoption, ethics and implications for contemporary donor insemination practices

For most of the 20th Century a ‘closed’ system of adoption was practised throughout Australia and other modern Western societies. This ‘closed’ system was characterised by sealed records; amended birth certificates to conceal the adoption, and prohibited contact with all biological family. Despite claims that these measures protected these children from the taint of illegitimacy the central motivations were far more complex, involving a desire to protect couples from the stigma of infertility and to provide a socially acceptable family structure (Triseliotis, Feast, & Kyle, 2005; Marshall & McDonald, 2001). From the 1960s significant evidence began to emerge that many adopted children and adults were experiencing higher incidences of psychological difficulties, characterised by problems with psychological adjustment, building self-esteem and forming a secure personal identity. These difficulties became grouped under the term ‘genealogical bewilderment’. As a result, new policies and practices were introduced to try to place the best interests of the child at the forefront. These changes reflected new understandings of adoption; as not only an individual process but also as a social and relational process that continues throughout life. Secrecy and the withholding of birth information are now prohibited in the overwhelming majority of all domestic adoptions processed in Australia (Marshall & McDonald, 2001). One little known consequence of this ‘closed’ system of adoption was the significant number of children who were never told of their adoptive status. As a consequence, some have discovered or had this information disclosed to them, as adults. The first study that looked at the late discovery of genetic origins experiences was conducted by the Post Adoption Resource Centre in New South Wales in 1999. This report found that the participants in their study expressed feelings of disbelief, confusion, anger, sorrow and loss. Further, the majority of participants continued to struggle with issues arising from this intentional concealment of their genetic origins (Perl & Markham, 1999). A second and more recent study (Passmore, Feeney & Foulstone, 2007) looked at the issue of secrecy in adoptive families as part of a broader study of 144 adult adoptees. This study found that secrecy and/or lies or misinformation on the part of adoptive parents had negative effects on both personal identity and relationships with others. The authors noted that those adoptees who found out about their adoption as adults were ‘especially likely to feel a sense of betrayal’ (p.4). Over recent years, stories of secrecy and late discovery have also started to emerge from sperm donor conceived adults (Spencer, 2007; Turner & Coyle, 2000). Current research evidence shows that although a majority of couples during the donor assisted conception process indicate that they intend to tell the offspring about their origins, as many as two-thirds or more of couples continue to withhold this information from their children (Akker, 2006; Gottlieb, A. McWhinnie, 2001; Salter-Ling, Hunter, & Glover, 2001). Why do they keep this secret? Infertility involves a range of complex factors that are often left unresolved or poorly understood by those choosing insemination by donor as a form of family building (Schaffer, J. A., & Diamond, R., 1993). These factors may only impact after the child is born, when resemblance talk becomes most pronounced. Resemblance talk is an accepted form of public discourse and a social convention that legitimises the child as part of the family and is part of the process of constructing the child’s identity within the family. Couples tend to become focused on resemblance as this is where they feel most vulnerable, and the lack of resemblance to the parenting father may trigger his sense of loss (Becker, Butler, & Nachtigall, 2005).

Associations among body size dissatisfaction, perceived dietary control, and diet history in African American and European American women

European American (EA) women report greater body dissatisfaction and less dietary control than do African American (AA) women. This study investigated whether ethnic differences in dieting history contributed to differences in body dissatisfaction and dietary control, or to differential changes that may occur during weight loss and regain. Eighty-nine EA and AA women underwent dual-energy X-ray absorptiometry to measure body composition and completed questionnaires to assess body dissatisfaction and dietary control before, after, and one year following, a controlled weight-loss intervention. While EA women reported a more extensive dieting history than AA women, this difference did not contribute to ethnic differences in body dissatisfaction and perceived dietary control. During weight loss, body satisfaction improved more for AA women, and during weight regain, dietary self-efficacy worsened to a greater degree for EA women. Ethnic differences in dieting history did not contribute significantly to these differential changes. Although ethnic differences in body image and dietary control are evident prior to weight loss, and some change differentially by ethnic group during weight loss and regain, differences in dieting history do not contribute significantly to ethnic differences in body image and dietary control.

The modern movement architecture of four South African cities

South Africa's modern architecture is not confined to the cities, but the ideas of the movement were mostly disseminated by architects and academics in Johannesburg, Pretoria, Durban and Cape Town, its four major urban centres. The lay out of significant areas of each city was also influenced by international modernist plans. In outlining the achievements and innovative designs of architects in these cities between the 1930s and 1970s, this article draws a picture of the importance of modernism in South African urban space, and of its diversity. It also draws attention to the political nature of the South African landscape and space, where modernist design was used for racial purposes, and to past and present conservation ideologies. The second part of the article concerns the conservation of modern buildings in these centres; it quotes bibliographies and lists the registers, those existing or under construction. It concludes with an overview of the conservation legislation in place and the challenges of conservation in a context of changing cultural values.

The design and evaluation of a mobile sensor/actuator network for autonomous animal control

This paper investigates a mobile, wireless sensor/actuator network application for use in the cattle breeding industry. Our goal is to prevent fighting between bulls in on-farm breeding paddocks by autonomously applying appropriate stimuli when one bull approaches another bull. This is an important application because fighting between high-value animals such as bulls during breeding seasons causes significant financial loss to producers. Furthermore, there are significant challenges in this type of application because it requires dynamic animal state estimation, real-time actuation and efficient mobile wireless transmissions. We designed and implemented an animal state estimation algorithm based on a state-machine mechanism for each animal. Autonomous actuation is performed based on the estimated states of an animal relative to other animals. A simple, yet effective, wireless communication model has been proposed and implemented to achieve high delivery rates in mobile environments. We evaluated the performance of our design by both simulations and field experiments, which demonstrated the effectiveness of our autonomous animal control system.

An investigation of foot and ankle problems experienced by nurses

Relatively little information has been reported about foot and ankle problems experienced by nurses, despite anecdotal evidence which suggests they are common ailments. The purpose of this study was to improve knowledge about the prevalence of foot and ankle musculoskeletal disorders (MSDs) and to explore relationships between these MSDs and proposed risk factors. A review of the literature relating to work-related MSDs, MSDs in nursing, foot and lower-limb MSDs, screening for work-related MSDs, foot discomfort, footwear and the prevalence of foot problems in the community was undertaken. Based on the review, theoretical risk factors were proposed that pertained to the individual characteristics of the nurses, their work activity or their work environment. Three studies were then undertaken. A cross-sectional survey of 304 nurses, working in a large tertiary paediatric hospital, established the prevalence of foot and ankle MSDs. The survey collected information about self-reported risk factors of interest. The second study involved the clinical examination of a subgroup of 40 nurses, to examine changes in body discomfort, foot discomfort and postural sway over the course of a single work shift. Objective measurements of additional risk factors, such as individual foot posture (arch index) and the hardness of shoe midsoles, were performed. A final study was used to confirm the test-retest reliability of important aspects of the survey and key clinical measurements. Foot and ankle problems were the most common MSDs experienced by nurses in the preceding seven days (42.7% of nurses). They were the second most common MSDs to cause disability in the last 12 months (17.4% of nurses), and the third most common MSDs experienced by nurses in the last 12 months (54% of nurses). Substantial foot discomfort (Visual Analogue Scale (VAS) score of 50mm or more) was experienced by 48.5% of nurses at sometime in the last 12 months. Individual risk factors, such as obesity and the number of self-reported foot conditions (e.g., callouses, curled toes, flat feet) were strongly associated with the likelihood of experiencing foot problems in the last seven days or during the last 12 months. These risk factors showed consistent associations with disabling foot conditions and substantial foot discomfort. Some of these associations were dependent upon work-related risk factors, such as the location within the hospital and the average hours worked per week. Working in the intensive care unit was associated with higher odds of experiencing foot problems within the last seven days, foot problems in the last 12 months and foot problems that impaired activity in the last 12 months. Changes in foot discomfort experienced within a day, showed large individual variability. Fifteen of the forty nurses experienced moderate/substantial foot discomfort at the end of their shift (VAS 25+mm). Analysis of the association between risk factors and moderate/substantial foot discomfort revealed that foot discomfort was less likely for nurses who were older, had greater BMI or had lower foot arches, as indicated by higher arch index scores. The nurses’ postural sway decreased over the course of the work shift, suggesting improved body balance by the end of the day. These findings were unexpected. Further clinical studies examining individual nurses on several work shifts are needed to confirm these results, particularly due to the small sample size and the single measurement occasion. There are more than 280,000 nurses registered to practice in Australia. The nursing workforce is ageing and the prevalence of foot problems will increase. If the prevalence estimates from this study are extrapolated to the profession generally, more than 70,000 hospital nurses have experienced substantial foot discomfort and 25-30,000 hospital nurses have been limited in their activity due to foot problems during the last 12 months. Nurses with underlying foot conditions were more likely to report having foot problems at work. Strategies to prevent or manage foot conditions exist and they should be disseminated to nurses. Obesity is a significant risk factor for foot and ankle MSDs and these nurses may need particular assistance to manage foot problems. The risk of foot problems for particular groups of nurses, e.g. obese nurses, may vary depending upon the location within the hospital. Further research is needed to confirm the findings of this study. Similar studies should be conducted in other occupational groups that require workers to stand for prolonged periods.