The jump component of S&P 500 volatility and the VIX index

Much research has investigated the differences between option implied volatilities and econometric model-based forecasts. Implied volatility is a market determined forecast, in contrast to model-based forecasts that employ some degree of smoothing of past volatility to generate forecasts. Implied volatility has the potential to reflect information that a model-based forecast could not. This paper considers two issues relating to the informational content of the S&P 500 VIX implied volatility index. First, whether it subsumes information on how historical jump activity contributed to the price volatility, followed by whether the VIX reflects any incremental information pertaining to future jump activity relative to model-based forecasts. It is found that the VIX index both subsumes information relating to past jump contributions to total volatility and reflects incremental information pertaining to future jump activity. This issue has not been examined previously and expands our understanding of how option markets form their volatility forecasts.

Alternative explanations of the volatility trend : Are they really that different?

We analyse the puzzling behavior of the volatility of individual stock returns around the turn of the Millennium. There has been much academic interest in this topic, but no convincing explanation has arisen. Our goal is to pull together the many competing explanations currently proposed in the literature to delermine which, if any, are capable of explaining the volatility trend. We find that many of the different explanations capture the same unusual trend around the Millennium. We find that many of the variables are very highly correlated and it is thus difficult to disentangle their relalive ability to exlplain the time-series behavior in volatility. It seems thai all of the variables that track average volatility well do so mainly by capturing changes in the post-1994 period. These variables have no time-series explanatory power in the pre-1995 years, questioning the underlying idea that any of the explanations currently plesented in the literature can track the trend in volatility over long periods.

Low temperature synthesis of zeolite N from kaolinites and montmorillonites

Zeolite N was produced from a variety of kaolinites and montmorillonites at low temperature (b100 °C) in a constantly stirred reactor using potassic and potassic+sodic mother liquors with chloride or hydroxyl anions. Reactions were complete (N95% product) in less than 20 h depending on initial batch composition and type of clay minerals. Zeolite N with 1.0bSi/Alb2.2 was produced under these conditions using KOH in the presence of KCl, NaCl, KCl+NaCl and KCl+NaOH. Zeolite N was also formed under high potassium molarities in the absence of KCl. Zeolite synthesis was more sensitive to water content and temperature when sodium was used in initial batch compositions. Syntheses of zeolite N by these methods were undertaken at bench, pilot and industrial scales.

Demonstration of image compression in a low-bandwidth wireless camera network

This paper presents an overview of our demonstration of a low-bandwidth, wireless camera network where image compression is undertaken at each node. We briefly introduce the Fleck hardware platform we have developed as well as describe the image compression algorithm which runs on individual nodes. The demo will show real-time image data coming back to base as individual camera nodes are added to the network. Copyright 2007 ACM.

Real-time image streaming over a low-bandwidth wireless camera network

In this paper we describe the recent development of a low-bandwidth wireless camera sensor network. We propose a simple, yet effective, network architecture which allows multiple cameras to be connected to the network and synchronize their communication schedules. Image compression of greater than 90% is performed at each node running on a local DSP coprocessor, resulting in nodes using 1/8th the energy compared to streaming uncompressed images. We briefly introduce the Fleck wireless node and the DSP/camera sensor, and then outline the network architecture and compression algorithm. The system is able to stream color QVGA images over the network to a base station at up to 2 frames per second. © 2007 IEEE.

Helicopter automation using a low-cost sensing system

This paper details the design of an autonomous helicopter control system using a low cost sensor suite. Control is maintained using simple nested PID loops. Aircraft attitude, velocity, and height is estimated using an in-house designed IMU and vision system. Information is combined using complimentary filtering. The aircraft is shown to be stabilised and responding to high level demands on all axes, including heading, height, lateral velocity and longitudinal velocity.

Helicopter automation using a low-cost sensing system

This paper details the design of an autonomous helicopter control system using a low cost sensor suite. Control is maintained using simple nested PID loops. Aircraft attitude, velocity, and height is estimated using an in-house designed IMU and vision system. Information is combined using complimentary filtering. The aircraft is shown to be stabilised and responding to high level demands on all axes, including heading, height, lateral velocity and longitudinal velocity.

3D lung and rib cage reconstruction using low dose CT scans of adolescent idiopathic scoliosis pre and post anterior thoracoscopic correction

Adolescent Idiopathic Scoliosis (AIS) has been associated with reduced pulmonary function believed to be due to a restriction of lung volume by the deformed thoracic cavity. A recent study by our group examined the changes in lung volume pre and post anterior thoracoscopic scoliosis correction using pulmonary function testing (1), however the anatomical changes in ribcage shape and left/right lung volume after thoracoscopic surgery which govern overall respiratory capacity are unknown. The aim of this study was to use 3D rendering from CT scan data to compare lung and ribcage anatomical changes from pre to two years post thoracoscopic anterior scoliosis correction. The study concluded that 3D volumetric reconstruction from CT scans is a powerful means of evaluating changes in pulmonary and thoracic anatomy following surgical AIS correction. Most likely, lung volume changes following thoracoscopic scoliosis correction are multifactorial and affected by changes in height (due to residual growth), ribcage shape, diaphragm positioning, Cobb angle correction in the thoracic spine. Further analysis of the 3D reconstructions will be performed to assess how each of these factors affect lung volume in this patient cohort.

Low-dimensional hydrogen-bonded structures in the 1:1 and 1:2 proton-transfer compounds of 4,5-dichlorophthalic acid with the aliphatic Lewis bases triethylamine, diethylamine, n-butylamine and piperidine

The structures of proton-transfer compounds of 4,5-dichlorophthalic acid (DCPA) with the aliphatic Lewis bases triethylamine, diethylamine, n-butylamine and piperidine, namely triethylaminium 2-carboxy-4,5-dichlorobenzoate C~6~H~16~N^+^ C~8~H~3~Cl~2~O~4~^-^ (I), diethylaminium 2-carboxy-4,5-dichlorobenzoate C~4~H~12~N^+^ C~8~H~3~Cl~2~O~4~^-^ (II), bis(n-butylaminium) 4,5-dichlorophthalate monohydrate 2(C~4~H~12~N^+^) C~8~H~2~Cl~2~O~4~^2-^ . H~2~O (III) and bis(piperidinium) 4,5-dichlorophthalate monohydrate 2(C~5~H~12~N^+^) C~8~H~2~Cl~2~O~4~^2-^ . H~2~O (IV)have been determined at 200 K. All compounds have hydrogen-bonding associations giving in (I) discrete cation-anion units, linear chains in (II) while (III) and (IV) both have two-dimensional structures. In (I) a discrete cation-anion unit is formed through an asymmetric R2/1(4) N+-H...O,O' hydrogen-bonding association whereas in (II), one-dimensional chains are formed through linear N-H...O associations by both aminium H donors. In compounds (III) and (IV) the primary N-H...O linked cation-anion units are extended into a two-dimensional sheet structure via amide N-H...O(carboxyl) and ...O(carbonyl) interactions. In the 1:1 salts [(I) and (II)], the hydrogen 4,5-dichlorophthalate anions are essentially planar with short intramolecular carboxylic acid O-H...O(carboxyl) hydrogen bonds [O...O, 2.4223(14) and 2.388(2)A respectively]. This work provides a further example of the uncommon zero-dimensional hydrogen-bonded DCPA-Lewis base salt and the one-dimensional chain structure type, while even with the hydrate structures of the 1:2 salts with the primary and secondary amines, the low dimensionality generally associated with 1:1 DCPA salts is also found.

Comprehension and content : planning literacy curriculum in low socioeconomic and culturally diverse schools

This article reframes comprehension as a social and intellectual practice. It reviews literature on current approaches to reading instruction for linguistically and culturally diverse and low socioeconomic students, noting the current policy emphasis on the teaching of comprehension as autonomous skills and ‘strategies’. The Four Resources model (Freebody & Luke, 1990) is used to situate comprehension instruction with an emphasis on student cultural and community knowledge, and substantive intellectual and sociocultural content in elementary and middle school curricula. Illustrations are drawn from research underway on the teaching of literacy in low socioeconomic schools.

The ultra-low friction of the articular surface is pH-dependent and is built on a hydrophobic underlay including a hypothesis on joint lubrication mechanism

In this study, the influence of pH on interfacial energy distributed over the phospholipids-bilayer surface model and the effect of hydrophobicity on coefficient of friction (f) were investigated by using microelectrophoresis. An important clinical implication of deficiency in hydrophobicity is the loss of phospholipids that is readily observed in osteoarthritis joints. This paper establishes the influence of pH on interfacial energy upon an increase f, which might be associated with a decrease of hydrophobicity of the articular surface.

Chemical functionalities of high and low sulfur Australian coals : a case study using micro attenuated total reflectance–fourier transform infrared (ATR–FTIR) spectrometry

The macerals in bituminous coals with varying organic sulfur content from the Early Permian Greta Coal Measures at three locations (Southland Colliery, Drayton Colliery and the Cranky Corner Basin), in and around the Sydney Basin (Australia), have been studied using light-element electron microprobe (EMP) analysis and micro-ATR–FTIR. Electron microprobe analysis of individual macerals reveals that the vitrinite in both the Cranky Corner Basin and Drayton Colliery (Puxtrees seam) samples have similar carbon contents (ca. 78% C in telocollinite), suggesting that they are of equivalent rank. However, the Cranky Corner coals have anomalously low vitrinite reflectance (down to 0.45%) vs. the Drayton materials (ca. 0.7%). They also have very high organic S content (3–6.5%) and lower O content (ca. 10%) than the equivalent macerals in the Drayton sample (0.7% S and 15.6% O). A study was carried out to investigate the impacts of the high organic S on the functional groups of the macerals in these two otherwise iso-rank, stratigraphically-equivalent seams. An iso-rank low-S coal from the overlying Wittingham Coal Measures near Muswellbrook and coals of slightly higher rank from the Greta Coal Measures at Southland Colliery near Cessnock were also evaluated using the same techniques to extend the data set. Although the telocollinite in the Drayton and Cranky Corner coals have very similar carbon content (ca.78% C), the ATR–FTIR spectra of the vitrinite and inertinite macerals in these respectively low S and high S coals show some distinct differences in IR absorbance from various aliphatic and aromatic functional groups. The differences in absorbance of the aliphatic stretching bands (2800–3000 cm−1) and the aromatic carbon (CC) peak at 1606 cm−1 are very obvious. Compared to that of the Drayton sample (0.7% S and 15% O), the telocollinite of the Cranky Corner coal (6% S and 10% O) clearly shows: (i) less absorbance from OH groups, represented by a broad region around 3553 cm−1, (ii) much stronger aliphatic C–H absorbance (stretching modes around 3000–2800 cm−1 and bending modes around 1442 cm−1) and (iii) less absorbance from aromatic carbon functional groups (peaking at 1606 cm−1). Evaluation of the iso-rank Drayton and Cranky Corner coals shows that: (i) the aliphatic C–H absorbances decrease with increasing oxygen content but increase with increasing organic S content and (ii) the aromatic H to aliphatic H ratio (Har/Hali) for the telocollinite increases with (organic) O%, but decreases progressively with increasing organic S. The high organic S content in the maceral appears to be accompanied by a greater proportion of aliphatic functional groups, possibly as a result of some of the O within maceral ring structures in the high S coal samples being replaced.

In vitro cultivation of adult human chondrocytes : importance of culture system, oxygen and zonal differences

Articular cartilage exhibits limited intrinsic regenerative capacity and focal tissue defects can lead to the development of osteoarthritis (OA), a painful and debilitating loss of cartilage tissue. In Australia, 1.4 million people are affected by OA and its prevalence is increasing in line with current demographics. As treatment options are limited, new therapeutic approaches are being investigated including biological resurfacing of joints with tissue-engineered cartilage. Despite some progress in the field, major challenges remain to be addressed for large scale clinical success. For example, large numbers of chondrogenic cells are required for cartilage formation, but chondrocytes lose their chondrogenic phenotype (dedifferentiate) during in vitro propagation. Additionally, the zonal organization of articular cartilage is critical for normal cartilage function, but development of zonal structure has been largely neglected in cartilage repair strategies. Therefore, we hypothesised that culture conditions for freshly isolated human articular chondrocytes from non-OA and OA sources can be improved by employing microcarrier cultures and a reduced oxygen environment and that oxygen is a critical factor in the maintenance of the zonal chondrocyte phenotype. Microcarriers have successfully been used to cultivate bovine chondrocytes, and offer a potential alternative for clinical expansion of human chondrocytes. We hypothesised that improved yields can be achieved by propagating human chondrocytes on microcarriers. We found that cells on microcarriers acquired a flattened, polygonal morphology and initially proliferated faster than monolayercultivated cells. However, microcarrier cultivation over four weeks did not improve growth rates or the chondrogenic potential of non-OA and OA human articular chondrocytes over conventional monolayer cultivation. Based on these observations, we aimed to optimise culture conditions by modifying oxygen tension, to more closely reflect the in vivo environment. We found that propagation at 5% oxygen tension (moderate hypoxia) did not improve proliferation or redifferentiation capacity of human osteoarthritic chondrocytes. Moderate hypoxia increased the expression of chondrogenic markers during redifferentiation. However, osteoarthritic chondrocytes cultivated on microcarriers exhibited lower expression levels of chondrogenic surface marker proteins and had at best equivalent redifferentiation capacities compared to monolayer-cultured cells. This suggests that monolayer culture with multiple passaging potentially selects for a subpopulation of cells with higher differentiation capacity, which are otherwise rare in osteoarthritic, aged cartilage. However, fibroblastic proteins were found to be highly expressed in all cultures of human osteoarthritic chondrocytes indicating the presence of a high proportion of dedifferentiated, senescent cells with a chondrocytic phenotype that was not rescued by moderate hypoxia. The different zones of cartilage support chondrocyte subpopulations, which exhibit characteristic protein expression and experience varying oxygen tensions. We, therefore, hypothesised that oxygen tension affects the zonal marker expression of human articular chondrocytes isolated from the different cartilage layers. We found that zonal chondrocytes maintained these phenotypic differences during in vitro cultivation. Low oxygen environments favoured the expression of the zonal marker proteoglycan 4 in superficial cells, most likely through the promotion of chondrogenesis. The putative zonal markers clusterin and cartilage intermediate layer protein were found to be expressed by all subpopulations of human osteoarthritic chondrocytes ex vivo and, thus, may not be reliable predictors of in vitro stratification using these clinically relevant cells. The findings in this thesis underline the importance of considering low oxygen conditions and zonal stratification when creating native-like cartilaginous constructs. We have not yet found the right cues to successfully cultivate clinically-relevant human osteoarthritic chondrocytes in vitro. A more thorough understanding of chondrocyte biology and the processes of chondrogenesis are required to ensure the clinical success of cartilage tissue engineering.

Market access of Papua New Guinea bananas (Musa spp.) with particular respect to banana fly (Bactrocera musae (Tryon)) (Diptera: Tephritidae)

International market access for fresh commodities is regulated by international accepted phytosanitary guidelines, the objectives of which are to reduce the biosecurity risk of plant pest and disease movement. Papua New Guinea (PNG) has identified banana as a potential export crop and to help meet international market access requirements, this thesis provides information for the development of a pest risk analysis (PRA) for PNG banana fruit. The PRA is a three step process which first identifies the pests associated with a particular commodity or pathway, then assesses the risk associated with those pests, and finally identifies risk management options for those pests if required. As the first step of the PRA process, I collated a definitive list on the organisms associated with the banana plant in PNG using formal literature, structured interviews with local experts, grey literature and unpublished file material held in PNG field research stations. I identified 112 organisms (invertebrates, vertebrate, pathogens and weeds) associated with banana in PNG, but only 14 of these were reported as commonly requiring management. For these 14 I present detailed information summaries on their known biology and pest impact. A major finding of the review was that of the 14 identified key pests, some research information occurs for 13. The single exception for which information was found to be lacking was Bactrocera musae (Tryon), the banana fly. The lack of information for this widely reported ‘major pest on PNG bananas’ would hinder the development of a PNG banana fruit PRA. For this reason the remainder of the thesis focused on this organism, particularly with respect to generation of information required by the PRA process. Utilising an existing, but previously unanalysed fruit fly trapping database for PNG, I carried out a Geographic Information System analysis of the distribution and abundance of banana in four major regions of PNG. This information is required for a PRA to determine if banana fruit grown in different parts of the country are at different risks from the fly. Results showed that the fly was widespread in all cropping regions and that temperature and rainfall were not significantly correlated with banana fly abundance. Abundance of the fly was significantly correlated (albeit weakly) with host availability. The same analysis was done with four other PNG pest fruit flies and their responses to the environmental factors differed to banana fly and each other. This implies that subsequent PRA analyses for other PNG fresh commodities will need to investigate the risk of each of these flies independently. To quantify the damage to banana fruit caused by banana fly in PNG, local surveys and one national survey of banana fruit infestation were carried out. Contrary to expectations, infestation was found to be very low, particularly in the widely grown commercial cultivar, Cavendish. Infestation of Cavendish fingers was only 0.41% in a structured, national survey of over 2 700 banana fingers. Follow up laboratory studies showed that fingers of Cavendish, and another commercial variety Lady-finger, are very poor hosts for B. musae, with very low host selection rates by female flies and very poor immature survival. An analysis of a recent (within last decade) incursion of B. musae into the Gazelle Peninsula of East New Britain Province, PNG, provided the final set of B. musae data. Surveys of the fly on the peninsular showed that establishment and spread of the fly in the novel environment was very rapid and thus the fly should be regarded as being of high biosecurity concern, at least in tropical areas. Supporting the earlier impact studies, however, banana fly has not become a significant banana fruit problem on the Gazelle, despite bananas being the primary starch staple of the region. The results of the research chapters are combined in the final Discussion in the form of a B. musae focused PRA for PNG banana fruit. Putting the thesis in a broader context, the Discussion also deals with the apparent discrepancy between high local abundance of banana fly and very low infestation rates. This discussion focuses on host utilisation patterns of specialist herbivores and suggests that local pest abundance, as determined by trapping or monitoring, need not be good surrogate for crop damage, despite this linkage being implicit in a number of international phytosanitary protocols.

An empirical study of data collection protocols for wireless sensor networks

In the past few years, numerous data collection protocols have been developed for wireless sensor networks (WSNs). However, there has been no comparison of their relative performance in realistic environments. Here we report the results of an empirical study using a Fleck3 sensor network testbed for four different data collection protocols: One phase pull Directed Diffusion (DD), Expected Number of Transmissions (ETX), ETX with explicit acknowledgment (ETX-eAck), and ETX with implicit acknowledgment (ETX-iAck). Our empirical study provides useful insights for future sensor network deployments. When the required application end-to-end reliability is not strict (e.g., 70%) and link quality is good, DD and ETX are the best options because of their simplicity and low routing overhead. Both ETX-eAck and ETX-iAck achieve more than 90% end-to-end reliability when the link quality is reasonable (less than 25% packet loss). When the link quality is good, ETX-iAck introduces significantly less routing overhead (up to 50%) than ETX-eAck. However, if the radio transceiver supports variable packet length, ETX-eAck can outperform ETX-iAck when the link quality is poor. The important message from this paper is that choice of data collection protocol should come after the operating environment is understood. This understanding must include the characteristics of the radio transceiver, and link loss statistics from a long-term (across seasons and weather variation) radio survey of the site.