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.

Gail Sorronda - New York, Paris, London, Sydney

QUT Fine Arts Fashion Design graduate Gail Reid is making a name for herself nationally and internationally. As one of the first QUT graduates to establish and sustain her own label, it begs the question how, why and what's next for her career aspirations.

Book review : Frew, A.J., (Ed). Information and Communication Technologies in Tourism 2005. New York: Springer Wien

This volume represents the proceedings of the 12th ENTER conference held at Innsbruck in 2005. While the conference also accepts work-in-progress papers and includes a Ph.D. workshop, the proceedings contain 51 research papers by 102 authors. The general theme of the conference was eBusiness is here—what is next? and the papers cover a diverse range of topics across nine tracks. This reviewer has adopted the approach of succinctly summarising the contribution of each of the papers, in the order they appear....

Review of "Violence, Prejudice and Sexuality" by Stephen Tomsen (Routledge, New York and London, 2009)

Tomsen’s book Violence, Prejudice and Sexuality engages with important questions about sexuality and anti homosexual sentiment that criminologists have grappled with for some time. Tomsen’s work refines these questions in the context of essentialism, and notes how this concept has enabled only very specific ways of thinking about and analysing violence, prejudice, and sexuality. Indeed, thinking about the nexus between these three concepts are now almost taken for granted. As Tomsen demonstrates in his discussion of historical understandings of sexual desire, although social constructionism and queer perspectives have challenged essentialist notions of sexuality, research has in many respects upheld a binary understanding of heterosexuality as normal and homosexuality as abnormal. Interestingly, essentialist binaries like this have been conveniently employed in more recent times when activists align with minority status to gain basic human rights. While no one could deny the importance of access to rights and justice, Tomsen notes the danger inherent in arguments like this that draw on essentialism. He argues we are working through similar dichotomies of heterosexuality as normal and homosexuality as abnormal set up in very early research on sexual desire. The key difference now is that, in the rush towards public and political citizenship, ‘heterosexuals are recast as “perpetrators” and homosexuals as “victims”’ (Tomsen 2009: 16). Violence, Prejudice and Sexuality importantly notes this is no less an essentialist dichotomy and no less divisive....

Book review: "Ideologies of Breast Cancer : Feminist Perspectives" Edited by Laura K. Potts. New York: St. Martin’s Press

Laura K. Potts’s edited collection of research on the meanings of breast cancer includes authors from the United Kingdom, the United States, and Canada whose perspectives draw on literary criticism, sociology, psychology, and cultural studies among others. The research employs various methodological approaches—for example, media analysis (Saywell et al.), autobiographical narratives (Potts), and analysis of social activism (Fishman)—to elucidate the multiple dimensions and diversity of breast cancer experiences. The first of two parts, “Meanings of Breast Cancer,” presents the problematical relationship between biomedicine and women’s constructions of breast cancer knowledge, the sexualized and maternalized breast in the print media about breast cancer, environmental risks to women’s health in the Bay Area of San Francisco, and women’s narratives of breast cancer and situating the self. In part 2, “Discourses of Risk and Breast Cancer,” examination of the discourses of prevention and risks to health are taken up in relation to breast cancer screening, the problem of prophylactic mastectomy for hereditary breast cancer, and environmental activism...

Self in the City : Young Adult Fiction about New York City after 9/11

This chapter discusses fictional texts set in New York City soon after Septem- ber 11, 2001 (9/11), or whose characters are affected by the attacks on the World Trade Center. Whereas these texts may not have been directly marketed at young adults, they all address ‘youth issues’. Each of the books discussed here contain or are focalized through the eyes of adolescent protagonists. They are all coming-of-age narratives in that the crises within them are usually a result of a catastrophe, taking the characters on journeys of self-discovery, which, once fulfilled, lead them back home.1 As Jerry Griswold (1992) has suggested, coming-of-age stories are especially well suited to the American psyche, and are already familiar to readers of literature based in New York City (the most familiar work being J.D. Salinger’s The Catcher in the Rye). As with other clas- sic American young adult (YA) literature, the journey and homecoming com- monly associated with coming-of-age are often employed in fiction about 9/11. With the key elements of loss and suffering, self-awareness, introspection, and growth, the coming-of-age novel also fulfils agendas common to both litera- ture and politics: the literary journey becomes the nation’s journey.

The Deleuze Spray, New York 1977 : an Interview with Sanford Kwinter, Professor of Architectural Theory and Criticism at the Harvard Graduate School of Design, on the Architectural Reception of Gilles Deleuze in America

So what do you want to know? I was in Paris between ‘75 and ‘78. But about half way through, Sylvère published the Anti-Oedipus issue of Semiotext(e) and, actually, that was for me one of the deciding events that made me decide to come to the United States, to come study at Columbia University. There appeared to be this little group working at Columbia working around these issues. In 1970, in Paris even, Deleuze was a cult – there was an incredibly small number of people following Deleuze... A transcript of my Interview with Kwinter about the Architectural Reception of Deleuze in America, which took place at Jerry’s,' Soho, New York, 15 January 2003. The transcript appeared as an Appendix at the back of my Masters Thesis undertaken at Yale School of Architecture, printed May 2003.

Review: "Measuring and evaluating sustainability : ethics in sustainability indexes" by Sarah E. Fredericks, New York, Routledge, Routledge Studies in Sustainable Development, 2014

The concept of ‘sustainability’ has been pushed to the forefront of policy-making and politics as the world wakes up to the impacts of climate change and the effects of the rapid urbanisation and modern urban lifestyles (Yigitcanlar and Teriman 2014). Climate change and fossil fuel-based energy policy have emerged as the biggest challenges for our planet, threatening both built and natural systems with long-term consequences. However, the threats are not limited to the impacts of climate change and unsustainable energy system only – e.g., impacts of rapid urbanisation, socioeconomic crises and governance hiccups are just to name a few (Yigitcanlar 2010a). Along with these challenges, successfully coping with the enormous transformations that our cities, societies and the environment have been going through during the last few decades, and their...

Art Spaces, Art Places : Examining Neighborhood Preferences of New York Arts Organizations

This report builds on and extends a diverse literature that examines the location patterns of the arts and creative industries through analysis of a database of arts nonprofit organizations from the New York State Cultural Data Project. We confirm the link between arts organizations and the urban core and creative economy, but challenge the assumption that arts tend to locate in ethnic and disadvantaged neighborhoods. By identifying key neighborhood attributes associated with distinct types of arts organizations, we can better identify potential sites conducive to nurturing additional artistic activity and inform strategies to engage organizations in neighborhoods that are underserved in the arts.

Optimal electricity distribution framework for public space: Assessing renewable energy proposals for Freshkills Park, New York City

Integrating renewable energy into public space is becoming more common as a climate change solution. However, this approach is often guided by the environmental pillar of sustainability, with less focus on the economic and social pillars. The purpose of this paper is to examine this issue in the speculative renewable energy propositions for Freshkills Park in New York City submitted for the 2012 Land Art Generator Initiative (LAGI) competition. This paper first proposes an optimal electricity distribution (OED) framework in and around public spaces based on relevant ecology and energy theory (Odum’s fourth and fifth law of thermodynamics). This framework addresses social engagement related to public interaction, and economic engagement related to the estimated quantity of electricity produced, in conjunction with environmental engagement related to the embodied energy required to construct the renewable energy infrastructure. Next, the study uses the OED framework to analyse the top twenty-five projects submitted for the LAGI 2012 competition. The findings reveal an electricity distribution imbalance and suggest a lack of in-depth understanding about sustainable electricity distribution within public space design. The paper concludes with suggestions for future research.

New York Times Building

Manhattan gains another nocturnal landmark in the form of a new skyscraper, built for the well-established newspaper and featuring an illuminated façade. Architectual historian and lighting journalist Margaret Maile reports for us from New York.