The relationship between implied and realized volatility : evidence from the Australian stock index option market

This paper examines the relationship between the volatility implied in option prices and the subsequently realized volatility by using the S&P/ASX 200 index options (XJO) traded on the Australian Stock Exchange (ASX) during a period of 5 years. Unlike stock index options such as the S&P 100 index options in the US market, the S&P/ASX 200 index options are traded infrequently and in low volumes, and have a long maturity cycle. Thus an errors-in-variables problem for measurement of implied volatility is more likely to exist. After accounting for this problem by instrumental variable method, it is found that both call and put implied volatilities are superior to historical volatility in forecasting future realized volatility. Moreover, implied call volatility is nearly an unbiased forecast of future volatility.

A political economy perspective on persistent inequality, inflation, and redistribution

In this paper we examine the dynamics of the link between inequality and inflation from a political economy perspective. We consider a simple dynamic general equilibrium model in which agents vote over the desired inflation rate in each period, and inequality is persistent. Inflation in our model is a mechanism of redistribution, and we find that the link between inequality and inflation within any period or over time depends on institutional and preference related parameters. Furthermore, we find that differences in the initial distributions of wealth can yield a diverse set of patterns for the evolution of the inflation and inequality link. Relative to existing literature, our model leads to more precise predictions about the inflation-inequality correlation. To that end, results in the extant empirical literature on the inflation and inequality link need to be interpreted with caution.

Modelling Wages and Prices in Australia

This paper estimates a simultaneous-equation model of wages and prices for Australia, underpinned by a competing claims framework of imperfect competition. Two separate co-integrating relationships for wages and prices are identified by imposing the economic hypotheses implied by the theory. The steady-state relationships for wages and prices are then embedded in a parsimonious, dynamic wage-price model. The final model is both simple and parsimonious and able to describe the process of wage and price inflation in Australia

Toothless tiger, sleeping dragon : implied freedoms, internet filters and the growing culture of internet censorship in Australia

The internet by its very nature challenges an individual’s notions of propriety, moral acuity and social correctness. A tension will always exist between the censorship of obscene and sensitive information and the freedom to publish and/or access such information. Freedom of expression and communication on the internet is not a static concept: ‘Its continual regeneration is the product of particular combinations of political, legal, cultural and philosophical conditions’.

Forecasting volatility and correlation : the role of option implied measures

Forecasts of volatility and correlation are important inputs into many practical financial problems. Broadly speaking, there are two ways of generating forecasts of these variables. Firstly, time-series models apply a statistical weighting scheme to historical measurements of the variable of interest. The alternative methodology extracts forecasts from the market traded value of option contracts. An efficient options market should be able to produce superior forecasts as it utilises a larger information set of not only historical information but also the market equilibrium expectation of options market participants. While much research has been conducted into the relative merits of these approaches, this thesis extends the literature along several lines through three empirical studies. Firstly, it is demonstrated that there exist statistically significant benefits to taking the volatility risk premium into account for the implied volatility for the purposes of univariate volatility forecasting. Secondly, high-frequency option implied measures are shown to lead to superior forecasts of the intraday stochastic component of intraday volatility and that these then lead on to superior forecasts of intraday total volatility. Finally, the use of realised and option implied measures of equicorrelation are shown to dominate measures based on daily returns.

Genomic inflation factors under polygenic inheritance

Population structure, including population stratification and cryptic relatedness, can cause spurious associations in genome-wide association studies (GWAS). Usually, the scaled median or mean test statistic for association calculated from multiple single-nucleotide-polymorphisms across the genome is used to assess such effects, and 'genomic control' can be applied subsequently to adjust test statistics at individual loci by a genomic inflation factor. Published GWAS have clearly shown that there are many loci underlying genetic variation for a wide range of complex diseases and traits, implying that a substantial proportion of the genome should show inflation of the test statistic. Here, we show by theory, simulation and analysis of data that in the absence of population structure and other technical artefacts, but in the presence of polygenic inheritance, substantial genomic inflation is expected. Its magnitude depends on sample size, heritability, linkage disequilibrium structure and the number of causal variants. Our predictions are consistent with empirical observations on height in independent samples of ~4000 and ~133,000 individuals.

Knowmore (House of Commons)

Knowmore (House of Commons) is a large scale generative interactive installation that incorporates embodied interaction, dynamic image creation, new furniture forms, touch sensitivity, innovative collaborative processes and multichannel generative sound creation. A large circular table spun by hand and a computer-controlled video projection falls on its top, creating an uncanny blend of physical object and virtual media. Participants’ presence around the table and how they touch it is registered, allowing up to five people to collaboratively ‘play’ this deeply immersive audiovisual work. Set within an ecological context, the work subtly asks what kind of resources and knowledges might be necessary to move us past simply knowing what needs to be changed to instead actually embodying that change, whilst hinting at other deeply relational ways of understanding and knowing the world. The work has successfully operated in two high traffic public environments, generating a subtle form of interactivity that allows different people to interact at different paces and speeds and with differing intentions, each contributing towards dramatic public outcomes. The research field involved developing new interaction and engagement strategies for eco-political media arts practice. The context was the creation of improved embodied, performative and improvisational experiences for participants; further informed by ‘Sustainment’ theory. The central question was, what ontological shifts may be necessary to better envision and align our everyday life choices in ways that respect that which is shared by all - 'The Commons'. The methodology was primarily practice-led and in concert with underlying theories. The work’s knowledge contribution was to question how new media interactive experience and embodied interaction might prompt participants to reflect upon the kind of resources and knowledges required to move past simply knowing what needs to be changed to instead actually embodying that change. This was achieved through focusing on the power of embodied learning implied by the works' strongly physical interface (i.e. the spinning of a full size table) in concert with the complex field of layered imagery and sound. The work was commissioned by the State Library of Queensland and Queensland Artworkers Alliance and significantly funded by The Australia Council for the Arts, Arts Queensland, QUT, RMIT Centre for Animation and Interactive Media and industry partners E2E Visuals. After premiering for 3 months at the State Library of Queensland it was curated into the significant ‘Mediations Biennial of Modern Art’ in Poznan, Poland. The work formed the basis of two papers, was reviewed in Realtime (90), was overviewed at Subtle Technologies (2010) in Toronto and shortlisted for ISEA 2011 Istanbul and included in the edited book/catalogue ‘Art in Spite of Economics’, a collaboration between Leonardo/ISAST (MIT Press); Goldsmiths, University of London; ISEA International; and Sabanci University, Istanbul.

Landscape symphonies : gardening as a source of landscape architecture practice engaged with change

The notion of designing with change constitutes a fundamental and foundational theoretical premise for much of what constitutes landscape architecture, notably through engagement with ecology, particularly since the work of Ian McHarg in the 1960s and his key text Design with Nature. However, while most if not all texts in landscape architecture would cite this engagement of change theoretically, few go any further than citation, and when they do their methods seem fixated on utilising empirical, quantitative scientific tools for doing so, rather than the tools of design, in an architectural sense, as implied by the name of the discipline, landscape architecture.