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.

How Novices Model Business Processes

In this paper, we examine the design of business process diagrams in contexts where novice analysts only have basic design tools such as paper and pencils available, and little to no understanding of formalized modeling approaches. Based on a quasi-experimental study with 89 BPM students, we identify five distinct process design archetypes ranging from textual to hybrid, and graphical representation forms. We also examine the quality of the designs and identify which representation formats enable an analyst to articulate business rules, states, events, activities, temporal and geospatial information in a process model. We found that the quality of the process designs decreases with the increased use of graphics and that hybrid designs featuring appropriate text labels and abstract graphical forms are well-suited to describe business processes. Our research has implications for practical process design work in industry as well as for academic curricula on process design.

Business Process Model Merging : An Approach to Business Process Consolidation

This paper addresses the problem of constructing consolidated business process models out of collections of process models that share common fragments. The paper considers the construction of unions of multiple models (called merged models) as well as intersections (called digests). Merged models are intended for analysts who wish to create a model that subsumes a collection of process models - typically representing variants of the same underlying process - with the aim of replacing the variants with the merged model. Digests, on the other hand, are intended for analysts who wish to identify the most recurring fragments across a collection of process models, so that they can focus their efforts on optimizing these fragments. The paper presents an algorithm for computing merged models and an algorithm for extracting digests from a merged model. The merging and digest extraction algorithms have been implemented and tested against collections of process models taken from multiple application domains. The tests show that the merging algorithm produces compact models and scales up to process models containing hundreds of nodes. Furthermore, a case study conducted in a large insurance company has demonstrated the usefulness of the merging and digest extraction operators in a practical setting.

Managing process model complexity via concrete syntax modifications

While Business Process Management (BPM) is an established discipline, the increased adoption of BPM technology in recent years has introduced new challenges. One challenge concerns dealing with the ever-growing complexity of business process models. Mechanisms for dealing with this complexity can be classified into two categories: 1) those that are solely concerned with the visual representation of the model and 2) those that change its inner structure. While significant attention is paid to the latter category in the BPM literature, this paper focuses on the former category. It presents a collection of patterns that generalize and conceptualize various existing mechanisms to change the visual representation of a process model. Next, it provides a detailed analysis of the degree of support for these patterns in a number of state-of-the-art languages and tools. This paper concludes with the results of a usability evaluation of the patterns conducted with BPM practitioners.

A socially responsible model of micro-credit delivery to support sustainable community development in emerging economies

Micro-finance, which includes micro-credit as one of its core services, has become an important component of a range of business models – from those that operate on a strictly economic basis to those that come from a philanthropic base, through Non Government Organisations (NGOs). Its success is often measured by the number of loans issued, their size, and the repayment rates. This paper has a dual purpose: to identify whether the models currently used to deliver micro-credit services to the poor are socially responsible and to suggest a new model of delivery that addresses some of the social responsibility issues, while supporting community development. The proposed model is currently being implemented in Beira, the second largest city in Mozambique. Mozambique exhibits many of the characteristics found in other African countries so the model, if successful, may have implications for other poor African nations as well as other developing economies.

History-aware, real-time risk detection in business processes (Extended Version)

This paper proposes a novel approach for identifying risks in executable business processes and detecting them at run time. The approach considers risks in all phases of the business process management lifecycle, and is realized via a distributed, sensor-based architecture. At design-time, sensors are defined to specify risk conditions which when fulfilled, are a likely indicator of faults to occur. Both historical and current execution data can be used to compose such conditions. At run-time, each sensor independently notifies a sensor manager when a risk is detected. In turn, the sensor manager interacts with the monitoring component of a process automation suite to prompt the results to the user who may take remedial actions. The proposed architecture has been implemented in the YAWL system and its performance has been evaluated in practice.

Virtual worlds as a model-view approach to the communication of business processes models

The improvement and optimization of business processes is one of the top priorities in an organization. Although process analysis methods are mature today, business analysts and stakeholders are still hampered by communication issues. That is, analysts cannot effectively obtain accurate business requirements from stakeholders, and stakeholders are often confused about analytic results offered by analysts. We argue that using a virtual world to model a business process can benefit communication activities. We believe that virtual worlds can be used as an efficient model-view approach, increasing the cognition of business requirements and analytic results, as well as the possibility of business plan validation. A healthcare case study is provided as an approach instance, illustrating how intuitive such an approach can be. As an exploration paper, we believe that this promising research can encourage people to investigate more research topics in the interdisciplinary area of information system, visualization and multi-user virtual worlds.

Queensland Business Women Stories

These projects build on the research of Klaebe and Burgess into digital story-telling, specifically variable workshop scenarios, co-creative media, participatory public history, and the development of co-creative production processes for cultural institutions. The projects represented a partnership between QUT and the State Library of Queensland. The Five Senses project focused on the distributed digital storytelling workshop model and the development of audiences for digital storytelling. The team worked with regional artists whose work had been selected for inclusion in the Five Senses exhibition at the State Library of Queensland to produce stories about their work; these works were then integrated into the physical exhibition space. The Queensland Businesswomen project produced four digital stories profiling the lives of leading Queensland businesswomen. The digital story telling workshop model was disbanded and research teams worked individually with participants to create the digital stories. Academic research and oral history interviews were conducted initially to foreground these productions. This pilot led to a larger project, Business Leaders Hall of Fame, which now has a dedicated viewing room in the SLQ sponsored by an annual silver service dinner event. With the Responses to the Apology project, which stimulated similar projects in Mt Isa and Cairns, the research team worked with Indigenous facilitators, and the participants created their digital stories with assistance from these facilitators and the QUT research team using a mix of workshop and individual meetings. The research component of the work relates to the further development of co-creative production processes for cultural institutions, involving a wide range of institutional and individual partners, while authentically representing the intensely personal perspectives of each of the primary participants. The Queensland Business Leaders Hall of Fame was a research project that included interviews with eminent Queenslanders that produced oral history interviews and digital stories about the achievements of both Queensland personalities and businesses. This model was able to test and evaluate the use of oral history and digital storytelling for learning and community heritage purposes. Interviewees include; Sir John and Valmai Pidgeon, Joseph Saragossi, Robert Bryan, Clem Jones, Jim Kennedy, Sr Angela Mary, Castelmaine Perkins, Burns and Philp, Qantas, Don Argus & Steve Irwin All digital stories, oral history interviews and transcripts were accessioned into the library collection – an international first for digital stories. Two publications in refereed journals have resulted, and the digital stories are stored in the SLQ permanent collection for the benefit of national and international scholars and the general public.

Fast detection of exact clones in business process model repositories

As organizations reach higher levels of business process management maturity, they often find themselves maintaining very large process model repositories, representing valuable knowledge about their operations. A common practice within these repositories is to create new process models, or extend existing ones, by copying and merging fragments from other models. We contend that if these duplicate fragments, a.k.a. ex- act clones, can be identified and factored out as shared subprocesses, the repository’s maintainability can be greatly improved. With this purpose in mind, we propose an indexing structure to support fast detection of clones in process model repositories. Moreover, we show how this index can be used to efficiently query a process model repository for fragments. This index, called RPSDAG, is based on a novel combination of a method for process model decomposition (namely the Refined Process Structure Tree), with established graph canonization and string matching techniques. We evaluated the RPSDAG with large process model repositories from industrial practice. The experiments show that a significant number of non-trivial clones can be efficiently found in such repositories, and that fragment queries can be handled efficiently.

A formative measurement model of business process model quality

Business process management (BPM) is becoming the dominant management paradigm. Business process modelling is central to BPM, and the resultant business process model the core artefact guiding subsequent process change. Thus, model quality is at the centre, mediating between the modelling effort and related growing investment in ultimate process improvements. Nonetheless, though research interest in the properties that differentiate high quality process models is longstanding, there have been no past reports of a valid, operationalised, holistic measure of business process model quality. In attention to this gap, this paper reports validation of a Business Process Model Quality measurement model, conceptualised as a single-order, formative index. Such a measurement model has value as the dependent variable in rigorously researching the drivers of model quality; as antecedent of ultimate process improvements; and potentially as an economical comparator and diagnostic for practice.

Real-time risk monitoring in business processes : a sensor-based approach

This article proposes an approach for real-time monitoring of risks in executable business process models. The approach considers risks in all phases of the business process management lifecycle, from process design, where risks are defined on top of process models, through to process diagnosis, where risks are detected during process execution. The approach has been realized via a distributed, sensor-based architecture. At design-time, sensors are defined to specify risk conditions which when fulfilled, are a likely indicator of negative process states (faults) to eventuate. Both historical and current process execution data can be used to compose such conditions. At run-time, each sensor independently notifies a sensor manager when a risk is detected. In turn, the sensor manager interacts with the monitoring component of a business process management system to prompt the results to process administrators who may take remedial actions. The proposed architecture has been implemented on top of the YAWL system, and evaluated through performance measurements and usability tests with students. The results show that risk conditions can be computed efficiently and that the approach is perceived as useful by the participants in the tests.

Integrated configuration of enterprise systems for interoperability : towards process model and business document specification alignment

Enterprise Systems (ES) can be understood as the de facto standard for holistic operational and managerial support within an organization. Most commonly ES are offered as commercial off-the-shelf packages, requiring customization in the user organization. This process is a complex and resource-intensive task, which often prevents small and midsize enterprises (SME) from undertaking configuration projects. Especially in the SME market independent software vendors provide pre-configured ES for a small customer base. The problem of ES configuration is shifted from the customer to the vendor, but remains critical. We argue that the yet unexplored link between process configuration and business document configuration must be closer examined as both types of configuration are closely tied to one another.

Configuring processes and business documents : an integrated approach to enterprise systems collaboration

Enterprise Systems (ES) provide standardized, off-theshelf support for operations and management within organizations. With the advent of ES based on a serviceoriented architecture (SOA) and an increasing demand of IT-supported interorganizational collaboration, implementation projects face paradigmatically new challenges. The configuration of ES is costly and error-prone. Dependencies between business processes and business documents are hardly explicit and foster component proliferation instead of reuse. Configurative modeling can support the problem in two ways: First, conceptual modeling abstracts from technical details and provides more intuitive access and overview. Second, configuration allows the projection of variants from master models providing manageable variants with controlled flexibility. We aim at tackling the problem by proposing an integrated model-based framework for configuring both, processes and business documents, on an equal basis; as together, they constitute the core business components of an ES.

Consolidation of business process model collections

This thesis presents novel techniques for addressing the problems of continuous change and inconsistencies in large process model collections. The developed techniques treat process models as a collection of fragments and facilitate version control, standardization and automated process model discovery using fragment-based concepts. Experimental results show that the presented techniques are beneficial in consolidating large process model collections, specifically when there is a high degree of redundancy.

Business process model abstraction

In order to execute, study, or improve operating procedures, companies document them as business process models. Often, business process analysts capture every single exception handling or alternative task handling scenario within a model. Such a tendency results in large process specifications. The core process logic becomes hidden in numerous modeling constructs. To fulfill different tasks, companies develop several model variants of the same business process at different abstraction levels. Afterwards, maintenance of such model groups involves a lot of synchronization effort and is erroneous. We propose an abstraction technique that allows generalization of process models. Business process model abstraction assumes a detailed model of a process to be available and derives coarse-grained models from it. The task of abstraction is to tell significant model elements from insignificant ones and to reduce the latter. We propose to learn insignificant process elements from supplementary model information, e.g., task execution time or frequency of task occurrence. Finally, we discuss a mechanism for user control of the model abstraction level – an abstraction slider.