Return distribution predictability and its implications for portfolio selection

The inquiries to return predictability are traditionally limited to conditional mean, while literature on portfolio selection is replete with moment-based analysis with up to the fourth moment being considered. This paper develops a distribution-based framework for both return prediction and portfolio selection. More specifically, a time-varying return distribution is modeled through quantile regressions and copulas, using quantile regressions to extract information in marginal distributions and copulas to capture dependence structure. A preference function which captures higher moments is proposed for portfolio selection. An empirical application highlights the additional information provided by the distributional approach which cannot be captured by the traditional moment-based methods.

Patterns of query reformulation during web searching

Query reformulation is a key user behavior during Web search. Our research goal is to develop predictive models of query reformulation during Web searching. This article reports results from a study in which we automatically classified the query-reformulation patterns for 964,780 Web searching sessions, composed of 1,523,072 queries, to predict the next query reformulation. We employed an n-gram modeling approach to describe the probability of users transitioning from one query-reformulation state to another to predict their next state. We developed first-, second-, third-, and fourth-order models and evaluated each model for accuracy of prediction, coverage of the dataset, and complexity of the possible pattern set. The results show that Reformulation and Assistance account for approximately 45% of all query reformulations; furthermore, the results demonstrate that the first- and second-order models provide the best predictability, between 28 and 40% overall and higher than 70% for some patterns. Implications are that the n-gram approach can be used for improving searching systems and searching assistance.

Predicting query reformulation during web searching

This paper reports results from a study in which we automatically classified the query reformulation patterns for 964,780 Web searching sessions (composed of 1,523,072 queries) in order to predict what the next query reformulation would be. We employed an n-gram modeling approach to describe the probability of searchers transitioning from one query reformulation state to another and predict their next state. We developed first, second, third, and fourth order models and evaluated each model for accuracy of prediction. Findings show that Reformulation and Assistance account for approximately 45 percent of all query reformulations. Searchers seem to seek system searching assistant early in the session or after a content change. The results of our evaluations show that the first and second order models provided the best predictability, between 28 and 40 percent overall, and higher than 70 percent for some patterns. Implications are that the n-gram approach can be used for improving searching systems and searching assistance in real time.

An apprehensive aesthetic : the legacy of modernist culture

Art continues to bemuse and confuse many people today. Yet, its critical analyses are saturated with daunting analyses of contemporary art's exhaustion, its predictability or its absorption into global commercial culture. In this book, the author seeks to clarify this apprehensive perception of art. He argues it is a consequence not only of confounding art-works, but also of the paradoxical impetus of a culture of modernity. By positively reassessing the perplexing or apprehensive features of cultural modernity as well as of aesthetic inquiry, this book redefines the ambitions of art in the wake of this legacy. In the process, it challenges many familiar approaches to art inquiry in order to offer a new understanding of the aesthetic, social and cultural aspirations of art in our time.

Near real-time prediction of Zenith Tropospheric Delays for position estimation over long-baseline CORS network

This paper presents the preliminary results in establishing a strategy for predicting Zenith Tropospheric Delay (ZTD) and relative ZTD (rZTD) between Continuous Operating Reference Stations (CORS) in near real-time. It is anticipated that the predicted ZTD or rZTD can assist the network-based Real-Time Kinematic (RTK) performance over long inter-station distances, ultimately, enabling a cost effective method of delivering precise positioning services to sparsely populated regional areas, such as Queensland. This research firstly investigates two ZTD solutions: 1) the post-processed IGS ZTD solution and 2) the near Real-Time ZTD solution. The near Real-Time solution is obtained through the GNSS processing software package (Bernese) that has been deployed for this project. The predictability of the near Real-Time Bernese solution is analyzed and compared to the post-processed IGS solution where it acts as the benchmark solution. The predictability analyses were conducted with various prediction time of 15, 30, 45, and 60 minutes to determine the error with respect to timeliness. The predictability of ZTD and relative ZTD is determined (or characterized) by using the previously estimated ZTD as the predicted ZTD of current epoch. This research has shown that both the ZTD and relative ZTD predicted errors are random in nature; the STD grows from a few millimeters to sub-centimeters while the predicted delay interval ranges from 15 to 60 minutes. Additionally, the RZTD predictability shows very little dependency on the length of tested baselines of up to 1000 kilometers. Finally, the comparison of near Real-Time Bernese solution with IGS solution has shown a slight degradation in the prediction accuracy. The less accurate NRT solution has an STD error of 1cm within the delay of 50 minutes. However, some larger errors of up to 10cm are observed.

A practical approach for reliability prediction of pipeline systems

Pipelines play an important role in the modern society. Failures of pipelines can have great impacts on economy, environment and community. Preventive maintenance (PM) is often conducted to improve the reliability of pipelines. Modern asset management practice requires accurate predictability of the reliability of pipelines with multiple PM actions, especially when these PM actions involve imperfect repairs. To address this issue, a split system approach (SSA) based model is developed in this paper through an industrial case study. This new model enables maintenance personnel to predict the reliability of pipelines with different PM strategies and hence effectively assists them in making optimal PM decisions.

The appropriateness of default investment options in defined contribution plans : Australian evidence

For participants in defined contribution (DC) plans who refrain from exercising investment choice, plan contributions are invested following the default investment option of their respective plans. Since default investment options of different plans vary widely in terms of their benchmark asset allocation, the most important determinant of investment performance, participants enrolled in these options face significantly different wealth outcomes at retirement. This paper simulates the terminal wealth outcomes under different static asset allocation strategies to evaluate their relative appeal as default investment choice in DC plans. We find that strategies with low or moderate allocation to stocks are consistently outperformed in terms of upside potential of exceeding the participant’s wealth accumulation target at retirement as well as downside risk of falling below that target outcome by aggressive strategies whose allocation to stocks approach 100%. The risk of extremely adverse wealth outcomes for plan participants also does not appear to be very sensitive to asset allocation. Our evidence suggests the appropriateness of strategies heavily tilted towards stocks to be nominated as default investment options in DC plans unless plan providers emphasize predictability of wealth outcomes over adequacy of retirement wealth.

Flexible high-power multi DC-DC converters for train systems

This thesis reports on the investigations, simulations and analyses of novel power electronics topologies and control strategies. The research is financed by an Australian Research Council (ARC) Linkage (07-09) grant. Therefore, in addition to developing original research and contributing to the available knowledge of power electronics, it also contributes to the design of a DC-DC converter for specific application to the auxiliary power supply in electric trains. Specifically, in this regard, it contributes to the design of a 7.5 kW DC-DC converter for the industrial partner (Schaffler and Associates Ltd) who supported this project. As the thesis is formatted as a ‘thesis by publication’, the contents are organized around published papers. The research has resulted in eleven papers, including seven peer reviewed and published conference papers, one published journal paper, two journal papers accepted for publication and one submitted journal paper (provisionally accepted subject to few changes). In this research, several novel DC-DC converter topologies are introduced, analysed, and tested. The similarity of all of the topologies devised lies in their ‘current circulating’ switching state, which allows them to store some energy in the inductor, as extra inductor current. The stored energy may be applied to enhance the performance of the converter in the occurrence of load current or input voltage disturbances. In addition, when there is an alternating load current, the ability to store energy allows the converter to perform satisfactorily despite frequently and highly varying load current. In this research, the capability of current storage has been utilised to design topologies for specific applications, and the enhancement of the performance of the considered applications has been illustrated. The simplest DC-DC converter topology, which has a ‘current circulating’ switching state, is the Positive Buck-Boost (PBB) converter (also known as the non-inverting Buck-Boost converter). Usually, the topology of the PBB converter is operating as a Buck or a Boost converter in applications with widely varying input voltage or output reference voltage. For example, in electric railways (the application of our industrial partner), the overhead line voltage alternates from 1000VDC to 500VDC and the required regulated voltage is 600VDC. In the course of this research, our industrial partner (Schaffler and Associates Ltd) industrialized a PBB converter–the ‘Mudo converter’–operating at 7.5 kW. Programming the onboard DSP and testing the PBB converter in experimental and nominal power and voltage was part of this research program. In the earlier stages of this research, the advantages and drawbacks of utilization of the ‘current circulating’ switching state in the positive Buck-Boost converter were investigated. In brief, the advantages were found to be robustness against input voltage and current load disturbances, and the drawback was extra conduction and switching loss. Although the robustness against disturbances is desirable for many applications, the price of energy loss must be minimized to attract attention to the utilization of the PBB converter. In further stages of this research, two novel control strategies for different applications were devised to minimise the extra energy loss while the advantages of the positive Buck-Boost converter were fully utilized. The first strategy is Smart Load Controller (SLC) for applications with pre-knowledge or predictability of input voltage and/or load current disturbances. A convenient example of these applications is electric/hybrid cars where a master controller commands all changes in loads and voltage sources. Therefore, the master controller has a pre-knowledge of the load and input voltage disturbances so it can apply the SLC strategy to utilize robustness of the PBB converter. Another strategy aiming to minimise energy loss and maximise the robustness in the face of disturbance is developed to cover applications with unexpected disturbances. This strategy is named Dynamic Hysteresis Band (DHB), and is used to manipulate the hysteresis band height after occurrence of disturbance to reduce dynamics of the output voltage. When no disturbance has occurred, the PBB converter works with minimum inductor current and minimum energy loss. New topologies based on the PBB converter have been introduced to address input voltage disturbances for different onboard applications. The research shows that the performance of applications of symmetrical/asymmetrical multi-level diode-clamped inverters, DC-networks, and linear-assisted RF amplifiers may be enhanced by the utilization of topologies based on the PBB converter. Multi-level diode-clamped inverters have the problem of DC-link voltage balancing when the power factor of their load closes to unity. This research has shown that this problem may be solved with a suitable multi-output DC-DC converter supplying DClink capacitors. Furthermore, the multi-level diode-clamped inverters supplied with asymmetrical DC-link voltages may improve the quality of load voltage and reduce the level of Electromagnetic Interference (EMI). Mathematical analyses and experiments on supplying symmetrical and asymmetrical multi-level inverters by specifically designed multi-output DC-DC converters have been reported in two journal papers. Another application in which the system performance can be improved by utilization of the ‘current circulating’ switching state is linear-assisted RF amplifiers in communicational receivers. The concept of ‘linear-assisted’ is to divide the signal into two frequency domains: low frequency, which should be amplified by a switching circuit; and the high frequency domain, which should be amplified by a linear amplifier. The objective is to minimize the overall power loss. This research suggests using the current storage capacity of a PBB based converter to increase its bandwidth, and to increase the domain of the switching converter. The PBB converter addresses the industrial demand for a DC-DC converter for the application of auxiliary power supply of a typical electric train. However, after testing the industrial prototype of the PBB converter, there were some voltage and current spikes because of switching. To attenuate this problem without significantly increasing the switching loss, the idea of Active Gate Signalling (AGS) is presented. AGS suggests a smart gate driver that selectively controls the switching process to reduce voltage/current spikes, without unacceptable reduction in the efficiency of switching.

"Silly hours" : facilitating more effective part-time work arrangements through job design

Part-time employment presents a conundrum in that it facilitates work-life priorities, while also, compared to equivalent full-time roles, attracting penalties such as diminished career prospects and lower commensurate remuneration. Recently, some promising theoretical developments in the job/work design literature suggest that consideration of work design may redress some of the penalties associated with part-time work. Adopting the framework of the Elaborated Model of Work Design by Parker and colleagues (2001), we examined this possibility through interviews with part-time professional service employees and their supervisors. The findings revealed that in organizations characterised by cultural norms of extended working hours and a singular-focused commitment to work, part-time roles were often inadequately re-designed when adapted from full-time arrangements. The findings also demonstrated that certain work design characteristics (e.g. predictability of work-flow, interdependencies with co-workers) render some roles more suitable for part-time arrangements than others. The research provides insights into gaps between policy objectives and outcomes associated with part-time work, challenges assumptions about the limitations of part-time roles, and suggests re-design strategies for more effective part-time arrangements.

Fundraising and philanthropy : engaging research and practice

The social and corporate trends over five years (1996 - 2000) in Australia clearly demonstrate the need for the nonprofit sector to engage in predictability forecasting to build viable philanthropic partnerships. As business and private enterprise practices have become more common in the management of fundraising effectiveness, nonprofits are in danger of reducing the value of their cause and likewise the cause or need of corporate and individual donors. Shortterm partnerships with short-term objectives do not achieve an outcome of sustainability. This paper analyses the theories of fundraising and philanthropy in the context of the changing Australian environment, and proposes a value measurement approach to the inputs and outputs of nonprofit organisations. By engaging in research, nonprofits are more likely to achieve productivity in fundraising and philanthropic practice.

Jackknife for bias reduction in predictive regressions

One of the fundamental econometric models in finance is predictive regression. The standard least squares method produces biased coefficient estimates when the regressor is persistent and its innovations are correlated with those of the dependent variable. This article proposes a general and convenient method based on the jackknife technique to tackle the estimation problem. The proposed method reduces the bias for both single- and multiple-regressor models and for both short- and long-horizon regressions. The effectiveness of the proposed method is demonstrated by simulations. An empirical application to equity premium prediction using the dividend yield and the short rate highlights the differences between the results by the standard approach and those by the bias-reduced estimator. The significant predictive variables under the ordinary least squares become insignificant after adjusting for the finite-sample bias. These discrepancies suggest that bias reduction in predictive regressions is important in practical applications.