Forecasting trends in the Brisbane central business district office market

The Queensland Department of Public Works (DPW) holds a significant interest in the Brisbane Central Business District (CBD) in controlling approximately 20 percent of the office space within its confines. This comprises a total of 333,903 square metres of space, of which 170,111 square metres is owned and 163,792 square metres is leased from the private sector. The department’s nominal ownership extends to several enduring, landmark buildings as well as several modern office towers. The portfolio includes the oldest building in the CBD, being the former Commissariat Stores building and one of the newest, a 15,000 square metre office tower under construction at 33 Charlotte Street.

Forecasting time-varying value-at-risk

In this thesis we are interested in financial risk and the instrument we want to use is Value-at-Risk (VaR). VaR is the maximum loss over a given period of time at a given confidence level. Many definitions of VaR exist and some will be introduced throughout this thesis. There two main ways to measure risk and VaR: through volatility and through percentiles. Large volatility in financial returns implies greater probability of large losses, but also larger probability of large profits. Percentiles describe tail behaviour. The estimation of VaR is a complex task. It is important to know the main characteristics of financial data to choose the best model. The existing literature is very wide, maybe controversial, but helpful in drawing a picture of the problem. It is commonly recognised that financial data are characterised by heavy tails, time-varying volatility, asymmetric response to bad and good news, and skewness. Ignoring any of these features can lead to underestimating VaR with a possible ultimate consequence being the default of the protagonist (firm, bank or investor). In recent years, skewness has attracted special attention. An open problem is the detection and modelling of time-varying skewness. Is skewness constant or there is some significant variability which in turn can affect the estimation of VaR? This thesis aims to answer this question and to open the way to a new approach to model simultaneously time-varying volatility (conditional variance) and skewness. The new tools are modifications of the Generalised Lambda Distributions (GLDs). They are four-parameter distributions, which allow the first four moments to be modelled nearly independently: in particular we are interested in what we will call para-moments, i.e., mean, variance, skewness and kurtosis. The GLDs will be used in two different ways. Firstly, semi-parametrically, we consider a moving window to estimate the parameters and calculate the percentiles of the GLDs. Secondly, parametrically, we attempt to extend the GLDs to include time-varying dependence in the parameters. We used the local linear regression to estimate semi-parametrically conditional mean and conditional variance. The method is not efficient enough to capture all the dependence structure in the three indices —ASX 200, S&P 500 and FT 30—, however it provides an idea of the DGP underlying the process and helps choosing a good technique to model the data. We find that GLDs suggest that moments up to the fourth order do not always exist, there existence appears to vary over time. This is a very important finding, considering that past papers (see for example Bali et al., 2008; Hashmi and Tay, 2007; Lanne and Pentti, 2007) modelled time-varying skewness, implicitly assuming the existence of the third moment. However, the GLDs suggest that mean, variance, skewness and in general the conditional distribution vary over time, as already suggested by the existing literature. The GLDs give good results in estimating VaR on three real indices, ASX 200, S&P 500 and FT 30, with results very similar to the results provided by historical simulation.

Transforming agriculture through pervasive wireless sensor networks

A large-scale, outdoor, pervasive computing system based on the Fleck hardware platform applies sensor network technology to farming. Comprising static and animal-borne mobile nodes, the system measures the state of a complex, dynamic system comprising climate, soil, pasture, and animals. This data supports prediction of the land's future state and improved management outcomes through closed-loop control. This article is part of a special issue, Building a Sensor-Rich World.

Greenhouse Gas Fluxes in Tropical and Temperae Agriculture: The Need for a Full-Cost Accounting of Global Warming Potentials

Agriculture's contribution to radiative forcing is principally through its historical release of carbon in soil and vegetation to the atmosphere and through its contemporary release of nitrous oxide (N2O) and methane (CHM4). The sequestration of soil carbon in soils now depleted in soil organic matter is a well-known strategy for mitigating the buildup of CO2 in the atmosphere. Less well-recognized are other mitigation potentials. A full-cost accounting of the effects of agriculture on greenhouse gas emissions is necessary to quantify the relative importance of all mitigation options. Such an analysis shows nitrogen fertilizer, agricultural liming, fuel use, N2O emissions, and CH4 fluxes to have additional significant potential for mitigation. By evaluating all sources in terms of their global warming potential it becomes possible to directly evaluate greenhouse policy options for agriculture. A comparison of temperate and tropical systems illustrates some of these options.

Nitrogen fertilizer management for nitrous oxide (N2O) mitigation in intensive corn (Maize) production: an emissions reduction protocol for US Midwest agriculture

Nitrous oxide (N2O) is a major greenhouse gas (GHG) product of intensive agriculture. Fertilizer nitrogen (N) rate is the best single predictor of N2O emissions in row-crop agriculture in the US Midwest. We use this relationship to propose a transparent, scientifically robust protocol that can be utilized by developers of agricultural offset projects for generating fungible GHG emission reduction credits for the emerging US carbon cap and trade market. By coupling predicted N2O flux with the recently developed maximum return to N (MRTN) approach for determining economically profitable N input rates for optimized crop yield, we provide the basis for incentivizing N2O reductions without affecting yields. The protocol, if widely adopted, could reduce N2O from fertilized row-crop agriculture by more than 50%. Although other management and environmental factors can influence N2O emissions, fertilizer N rate can be viewed as a single unambiguous proxy—a transparent, tangible, and readily manageable commodity. Our protocol addresses baseline establishment, additionality, permanence, variability, and leakage, and provides for producers and other stakeholders the economic and environmental incentives necessary for adoption of agricultural N2O reduction offset projects.

Forecasting crashes at the planning level: Simultaneous negative binomial crash model applied in Tucson, Arizona

At least two important transportation planning activities rely on planning-level crash prediction models. One is motivated by the Transportation Equity Act for the 21st Century, which requires departments of transportation and metropolitan planning organizations to consider safety explicitly in the transportation planning process. The second could arise from a need for state agencies to establish incentive programs to reduce injuries and save lives. Both applications require a forecast of safety for a future period. Planning-level crash prediction models for the Tucson, Arizona, metropolitan region are presented to demonstrate the feasibility of such models. Data were separated into fatal, injury, and property-damage crashes. To accommodate overdispersion in the data, negative binomial regression models were applied. To accommodate the simultaneity of fatality and injury crash outcomes, simultaneous estimation of the models was conducted. All models produce crash forecasts at the traffic analysis zone level. Statistically significant (p-values < 0.05) and theoretically meaningful variables for the fatal crash model included population density, persons 17 years old or younger as a percentage of the total population, and intersection density. Significant variables for the injury and property-damage crash models were population density, number of employees, intersections density, percentage of miles of principal arterial, percentage of miles of minor arterials, and percentage of miles of urban collectors. Among several conclusions it is suggested that planning-level safety models are feasible and may play a role in future planning activities. However, caution must be exercised with such models.

Forecasting negative effects of monotony and sensation seeking on performance during a vigilance task

The driving task requires sustained attention during prolonged periods, and can be performed in highly predictable or repetitive environments. Such conditions could create hypovigilance and impair performance towards critical events. Identifying such impairment in monotonous conditions has been a major subject of research, but no research to date has attempted to predict it in real-time. This pilot study aims to show that performance decrements due to monotonous tasks can be predicted through mathematical modelling taking into account sensation seeking levels. A short vigilance task sensitive to short periods of lapses of vigilance called Sustained Attention to Response Task is used to assess participants‟ performance. The framework for prediction developed on this task could be extended to a monotonous driving task. A Hidden Markov Model (HMM) is proposed to predict participants‟ lapses in alertness. Driver‟s vigilance evolution is modelled as a hidden state and is correlated to a surrogate measure: the participant‟s reactions time. This experiment shows that the monotony of the task can lead to an important decline in performance in less than five minutes. This impairment can be predicted four minutes in advance with an 86% accuracy using HMMs. This experiment showed that mathematical models such as HMM can efficiently predict hypovigilance through surrogate measures. The presented model could result in the development of an in-vehicle device that detects driver hypovigilance in advance and warn the driver accordingly, thus offering the potential to enhance road safety and prevent road crashes.