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.

Negative mood, implicit alcohol-related memory, and alcohol use in young adults: The moderating effect of alcohol expectancy

Objective Alcohol-related implicit (preconscious) cognitive processes are established and unique predictors of alcohol use, but most research in this area has focused on alcohol-related implicit cognition and anxiety. This study extends this work into the area of depressed mood by testing a cognitive model that combines traditional explicit (conscious and considered) beliefs, implicit alcohol-related memory associations (AMAs), and self-reported drinking behavior. Method Using a sample of 106 university students, depressed mood was manipulated using a musical mood induction procedure immediately prior to completion of implicit then explicit alcohol-related cognition measures. A bootstrapped two-group (weak/strong expectancies of negative affect and tension reduction) structural equation model was used to examine how mood changes and alcohol-related memory associations varied across groups. Results Expectancies of negative affect moderated the association of depressed mood and AMAs, but there was no such association for tension reduction expectancy. Conclusion Subtle mood changes may unconsciously trigger alcohol-related memories in vulnerable individuals. Results have implications for addressing subtle fluctuations in depressed mood among young adults at risk of alcohol problems.

Working on the edge : Exploring the creative tensions experienced by practitioners facilitating participatory media projects with refugees and asylum seekers in Australia

This paper aims to provide a contextualised and embedded exploration of how the notions of "practice" and "participation", key concepts in the study of culture and media, are manifest in an example of a complex creative project. This project aimed to engage with refugees and asylum seekers through the co-creation of cultural material and is an outcome of an? ethnographic action research (Tacchi et al. 2003) partnership involving a community development worker in a settlement support agency and a storytelling/community media researcher (the author), along with other project collaborators. The discussion of this project focuses on the role of the facilitator and illustrates the processes of orchestrating a complex project involving a series of linked stages with cumulative effect. As practitioners at this site we are working in the space where personal narratives, participatory arts and media, and the staging of intercultural, civic dialogue events, intersect. Co-creative media facilitation in these contexts involves both managing hybrid communicative spaces and (re)combining the "integrative practices" (Schatzki 1996) of a range of professional approaches and creative roles. This is liminal work, located on the boundaries of several disciplines and practices. Drawing on reflections gathered from collaborative ethnographic descriptions (Bhattacharya 2008), this paper traces moments of practitioner uncertainty that can be linked to the way "practice" and “participation” is problematised within the community cultural development field in a way that is at times an uneasy fit with conventional ways of operating in social service roles. These moments of tension also indicate where this project pushed practitioners into spaces of improvisation and new learning. Keywords: Youth, refugees, community cultural development, co-creative media facilitation, ethnographic action research, intercultural dialogue.

EGFR expression : associations with outcome and clinicopathological variables in malignant pleural mesothelioma

Malignant mesothelioma (MM) is a fatal tumour of increasing incidence which is related to asbestos exposure. This work evaluated expression in MM of Epidermal Growth Factor Receptor (EGFR) by immunohistochemistry in 168 tumour sections and its correlations with clinicopathological and biological factors. The microvessel density (MVD) was derived from CD34 immunostained sections. Hematoxylin and eosin stained sections were examined for intratumoural necrosis. COX-2 protein expression was evaluated with semi-quantitative Western blotting of homogenised tumour supernatants (n = 45). EGFR expression was correlated with survival by Kaplan-Meier and log rank analysis. Univariate and multivariate Cox proportional hazards models were used to compare the effects of EGFR with clinicopathological and biological prognostic factors and prognostic scoring systems. EGFR expression was identified in 74 cases (44%) and correlated with epithelioid cell type (p < 0.0001), good performance status (p < 0.0001), the absence of chest pain (p < 0.0001) and the presence of TN (p = 0.004), but not MVD or COX-2. EGFR expression was a good prognostic factor in univariate analysis (p = 0.01). Independent indicators of poor prognosis in multivariate analysis were non-epithelioid cell type (p = 0.0001), weight loss, performance status and WBC > 8.3 × 10 9 L -1. EGFR status was not an independent prognostic factor. EGFR expression in MM correlates with epithelioid histology and TN. EGFR may be a target for selective therapies in MM. © 2006 Elsevier Ireland Ltd. All rights reserved.

Perception Quality Evaluation with Visual and Infrared Cameras in Challenging Environmental Conditions

This work aims to contribute to the reliability and integrity of perceptual systems of unmanned ground vehicles (UGV). A method is proposed to evaluate the quality of sensor data prior to its use in a perception system by utilising a quality metric applied to heterogeneous sensor data such as visual and infrared camera images. The concept is illustrated specifically with sensor data that is evaluated prior to the use of the data in a standard SIFT feature extraction and matching technique. The method is then evaluated using various experimental data sets that were collected from a UGV in challenging environmental conditions, represented by the presence of airborne dust and smoke. In the first series of experiments, a motionless vehicle is observing a ’reference’ scene, then the method is extended to the case of a moving vehicle by compensating for its motion. This paper shows that it is possible to anticipate degradation of a perception algorithm by evaluating the input data prior to any actual execution of the algorithm.

Working with Behavioural and Emotional Problems in Young People

This chapter outlines specific issues relating to behavioural and emotional problems in Aboriginal and Torres Strait Islander young people. It describes the most common disorders and their consequences, and how young Aboriginal people are at higher risk for developing such problems than other young Australians. The chapter also discusses the importance of psychosocial, cultural and environmental issues that need to be recognised in assessing and treating Aboriginal young people with behavioural and emotional problems. Issues concerning the delivery of both universal and culturally responsive prevention and intervention programs to address social and emotional wellbeing and mental health are discussed and possible interventions to enhance student engagement at school are provided. Finally, a range of mental health services for Aboriginal families which offer a culturally responsive approach to mental health treatment are listed.

Cooperative game play with avatars and agents: Differences in brain activity and the experience of play

The current study sought to identify the impact of whether teammates in a cooperative videogame were controlled by other humans (avatars) or by the game (agents). The impact on player experience was explored through both subjective questionnaire measures and brain wave activity measurement (electroencephalography). Play with human teammates was associated with a greater sense of relatedness, but less competence and flow than play with other computer-controlled teammates. In terms of brain activity, play with human teammates was associated with greater activity in the alpha, theta and beta power bands than play with computer-controlled teammates. Overall, the results suggest that play with human teammates involves greater cognitive activity in terms of 'mentalising' than play with computer-controlled teammates. Additionally, the associations between subjective measures of player experience and brain activity are described. Limitations of the current study are identified and key directions for future research are discussed.

The role of bricolage and resource constraints in high potential sustainability ventures

Sustainability decisions and their impacts may be among the greatest challenges facing the world in the 21st century (Davos 2000). Apart from adaptation on the part of established organizations these challenges are arguably going to require solutions developed by new actors However, young ventures have only recently begun generating research interest within sustainability literature (Shepherd et al. 2009). In particular, little is known about resource behaviours of these ventures and how they adapt to substantial resource constraints. One promising theory that has been identified as a way that some entrepreneurs manage constraints is bricolage: a construct defined as “making do by applying combinations of the resources at hand to new problems and opportunities” (Baker and Nelson 2005: 333). Bricolage may be critical as the means of continued venture success as these ventures are frequently developed in severe resource constraint, owing to higher levels of technical sophistication (Rothaermel and Deeds 2006). Further, they are often developed by entrepreneurs committed to personal and social goals of resourcefulness, including values that focus on conservation rather than consumption of resources (Shepherd et al. 2009). In this paper, using seven novel cases of high potential sustainability firms from CAUSEE we consider how constraints impact resource behaviours and further illustrate and extend bricolage domains previously developed by Baker and Nelson (2005) with recommendations for theory and practice provided.

Identifying opportunity spaces for design research in South America: Working with grassroots and community groups

As design research continues to gain momentum in South America, design researchers and practitioners in the region have begun to consider how to the field may address regionally-specific issues, including on-going political struggles. By bringing approaches such as Participatory Design and Adversarial Design that consider political aspects of design, local researchers have explored various forms that these two approaches could take that are tailored to the needs and values of different communities across the region. This paper focuses on identifying opportunities for developing design research projects in community-based and grassroots-oriented contexts. The paper presents the findings of our study about the understanding and experience of design researchers and experts who have been working closely with community groups and grassroots organisations in South America. Five themes emerged, highlighting opportunities and challenges related to positioning contemporary design research in the region, integration of adversarial perspectives into design processes, leveraging local obstacles through creativity, and the potential of building capacity within community groups and grassroots organisations for sustainability and autonomy.

MiLK: Transforming everyday places into dynamic learning spaces with mobile and web technologies

This paper explores how game authoring tools can teach processes that transform everyday places into engaging learning spaces. It discusses the motivation inherent in playing games and creating games for others, and how this stimulates an iterative process of creation and reflection and evokes a natural desire to engage in learning. The use of MiLK at the Adelaide Botanic Gardens is offered as a case in point. MiLK is an authoring tool that allows students and teachers to create and share SMS games for mobile phones. A group of South Australian high school students used MiLK to play a game, create their own games and play each other’s games during a day at the gardens. This paper details the learning processes involved in these activities and how the students, without prompting, reflected on their learning, conducted peer assessment, and engaged in a two-way discussion with their teacher about new technologies and their implications for learning. The paper concludes with a discussion of the needs and requirements of 21st century learners and how MiLK can support constructivist and connectivist teaching methods that engage learners and will produce an appropriately skilled future workforce.

Towards self-authorship in child care students : implications for working with children and their families

Using self authorship as a theoretical framework, this chapter examines the relationship between personal epistemology and beliefs about children’s learning for students studying to be child care workers in Australia. Scenario-based interviews were used to investigate how students’ views of knowledge, identity and relationships with others were related to beliefs about how children learn. Implications for vocational education are discussed.

Fibroblast growth factor receptor inhibition synergizes with paclitaxel and doxorubicin in endometrial cancer cells

OBJECTIVE: The fibroblast growth factor (FGF) family of signaling molecules has been associated with chemoresistance and poor prognosis in a number of cancer types, including lung, breast, ovarian, prostate, and head and neck carcinomas. Given the identification of activating mutations in the FGF receptor 2 (FGFR2) receptor tyrosine kinase in a subset of endometrial tumors, agents with activity against FGFRs are currently being tested in clinical trials for recurrent and progressive endometrial cancer. Here, we evaluated the effect of FGFR inhibition on the in vitro efficacy of chemotherapy in endometrial cancer cell lines. METHODS: Human endometrial cancer cell lines with wild-type or activating FGFR2 mutations were used to determine any synergism with concurrent use of the pan-FGFR inhibitor, PD173074, and the chemotherapeutics, doxorubicin and paclitaxel, on cell proliferation and apoptosis. RESULTS: FGFR2 mutation status did not alter sensitivity to either chemotherapeutic agent alone. The combination of PD173074 with paclitaxel or doxorubicin showed synergistic activity in the 3 FGFR2 mutant cell lines evaluated. In addition, although nonmutant cell lines were resistant to FGFR inhibition alone, the addition of PD173074 potentiated the cytostatic effect of paclitaxel and doxorubicin in a subset of FGFR2 wild-type endometrial cancer cell lines. CONCLUSIONS: Together these data suggest a potential therapeutic benefit to combining an FGFR inhibitor with standard chemotherapeutic agents in endometrial cancer therapy particularly in patients with FGFR2 mutation positive tumors.

The role of the Eph and ephrin proteins in prostate cancer

Prostate cancer is the most commonly diagnosed malignancy and the second leading cause of cancer related deaths in Australian men. Treatment in the early stages of the disease involves surgery, radiation and/or hormone therapy. However, in late stages of the disease these treatments are no longer effective and only palliative care is available. Therefore, there is a focus on exploration of novel therapies to increase survival and treatment efficacy. Advanced prostate cancer is characterised by bone or other distant metastasis. Spreading of the primary tumour to a secondary location is a complex process requiring an initial loss in cell-cell adhesion followed by increased cell migration and invasion. One gene family that has been known to affect cell-to-cell contact in other model systems are the Eph receptor tyrosine kinases. They are the largest family of receptor tyrosine kinases made up of 14 vertebrate Eph receptors that bind to nine cell membrane bound ephrin ligands. Eph-ephrin interaction is crucial in regulating cell behaviour in developmental processes and it is now thought that the underlying mechanisms involved in development may also be involved in cancer. Aberrant expression has been reported in many human malignancies including prostate cancer. Furthermore, expression has been linked with metastasis and poor prognosis in other tumour models. This study explores the potential role of the Eph receptor family in prostate cancer, in particular the roles of EphA2, EphA3 and ephrin-A5. Gene expression profiles were established for the Eph family in a series of prostate cancer cell lines using quantitative real time RT-PCR. A smaller subset of the most prominently expressed genes was chosen to screen a cohort of clinical samples. Elevated levels of EphA2, EphA3 and their ligands, ephrin-A1 and ephrin-A5 were observed in individual cell lines. Interestingly high EphA3 expression was observed in the androgen responsive cell lines while EphA2 was more prominent in the androgen independent cell lines. However, studies using 5-dihydrotestosterone suggest that EphA3 expression in not regulated by androgen. Cells expressing EphA2 showed a greater ability for migration and invasion while cells expressing EphA3 showed poor migration and invasion. Forced expression of EphA2 in the LNCaP cell line resulted in a more invasive phenotype while forced expression of EphA3 in the PC-3 cell line suggests a possible negative effect for EphA3 on cell migration and invasion. Cell signalling studies show activation of EphA2 decreases activity of proteins thought to be involved in pathways regulating cell movement including Akt, Src and FAK. Changes to the activation status of Rho family members, including RhoA and Rac1, associated with reorganisation of the actin cytoskeleton, an important part of cell migration was also observed. As a result, activation of EphA2 in PC-3 cells resulted in a less invasive phenotype. A novel finding in this study was the discovery of a combination of two EphA2 Mabs able to activate EphA2. Preliminary results show a potential for this antibody combination to reduce prostate cancer invasion in vitro. A unique aspect of Eph-ephrin interaction is the resulting bi-directional signalling that occurs through both the receptor and ligand. In this study a potential role for ephrin-A5 mediated signalling in prostate cancer was observed. LNCaP cells express high levels of EphA3 and its high affinity ligand ephrin-A5. In stripe assays, used to study guidance cues, LNCaP cells show strong attraction/migration to EphA3-Fc stripes but not ephrin-A5-Fc stripes suggesting ephrin-A5 mediated reverse cell signalling is involved. Knockdown of ephrin-A5 using shRNA resulted in a decrease in attraction/migration to EphA3-Fc stripes. Furthermore a reduction in proliferation was also observed in vitro. A subcutaneous xenograft model using ephrin-A5 shRNA cells versus controls showed a decrease in tumour formation. This study demonstrates a difference in EphA2 and EphA3 function in prostate cancer migration/invasion and a potential role for ephrin-A5 in prostate cancer cell adhesion and growth.

Executive function and postural instability in people with Parkinson’s disease

The specific aspects of cognition contributing to balance and gait have not been clarified in people with Parkinson’s disease (PD). Twenty PD participants and twenty age- and gender-matched healthy controls were assessed on cognition and clinical mobility tests. General cognition was assessed with the Mini Mental State Exam and the Addenbrooke’s Cognitive Exam. Executive function was evaluated using the Trail Making Tests (TMT-A and TMT-B) and a computerized cognitive battery which included a series of choice reaction time (CRT) tests. Clinical gait and balance measures included the Tinetti, Timed Up & Go, Berg Balance and Functional Reach tests. PD participants performed significantly worse than the controls on the tests of cognitive and executive function, balance and gait. PD participants took longer on Trail Making Tests, CRT-Location and CRT-Colour (inhibition response). Furthermore, executive function, particularly longer times on CRT-Distracter and greater errors on the TMT-B were associated with worse balance and gait performance in the PD group. Measures of general cognition were not associated with balance and gait measures in either group. For PD participants, attention and executive function were impaired. Components of executive function, particularly those involving inhibition response and distracters, were associated with poorer balance and gait performance in PD.