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.

Plasmodium vivax malaria incidence over time and its association with temperature and rainfall in four counties of Yunnan Province, China

Background Transmission of Plasmodium vivax malaria is dependent on vector availability, biting rates and parasite development. In turn, each of these is influenced by climatic conditions. Correlations have previously been detected between seasonal rainfall, temperature and malaria incidence patterns in various settings. An understanding of seasonal patterns of malaria, and their weather drivers, can provide vital information for control and elimination activities. This research aimed to describe temporal patterns in malaria, rainfall and temperature, and to examine the relationships between these variables within four counties of Yunnan Province, China. Methods Plasmodium vivax malaria surveillance data (1991–2006), and average monthly temperature and rainfall were acquired. Seasonal trend decomposition was used to examine secular trends and seasonal patterns in malaria. Distributed lag non-linear models were used to estimate the weather drivers of malaria seasonality, including the lag periods between weather conditions and malaria incidence. Results There was a declining trend in malaria incidence in all four counties. Increasing temperature resulted in increased malaria risk in all four areas and increasing rainfall resulted in increased malaria risk in one area and decreased malaria risk in one area. The lag times for these associations varied between areas. Conclusions The differences detected between the four counties highlight the need for local understanding of seasonal patterns of malaria and its climatic drivers.

Inventory of pedagogy and practice: Confirmatory factor analysis of multiple facets of teaching

Student perceptions of teaching have often been used in tertiary education for evaluation purposes. However, there is a paucity of research on the validity, reliability, and applicability of instruments that cover a wide range of student perceptions of pedagogies and practices in high school settings for descriptive purposes. The study attempts to validate an inventory of pedagogy and practice (IPP) that provides researchers and practitioners with a psychometrically sound instrument that covers the most salient factors related to teaching. Using a sample of students (N = 1515) from 39 schools in Singapore, 14 factors about teaching in English lessons from the students’ perspective were tested with confirmatory factor analysis (classroom task goal, structure and clarity, curiosity and interest, positive class climate, feedback, questioning, quality homework, review of students’ work, conventional teaching, exam preparation, behaviour management, maximizing learning time, student-centred pedagogy, and subject domain teaching). Two external criterion factors were used to further test the IPP factor structure. The inventory will enable teachers to understand more about their teaching and researchers to examine how teaching may be related to learning outcomes.

A novel approach to increasing inventory with the current panel: Increasing donation frequency by asking for a different blood product

BACKGROUND Ongoing shortages of blood products may be addressed through additional donations. However, donation frequency rates are typically lower than medically possible. This preliminary study aims to determine voluntary nonremunerated whole blood (WB) and plasmapheresis donors' willingness, and subsequent facilitators and barriers, to make additional donations of a different type. STUDY DESIGN AND METHODS Forty individual telephone interviews were conducted posing two additional donation pattern scenarios: first, making a single and, second, making multiple plasmapheresis donations between WB donations. Stratified purposive sampling was conducted for four samples varying in donation experience: no-plasma, new-to-both-WB-and-plasma, new-to-plasma, and plasma donors. Interviews were analyzed yielding excellent (κ values > 0.81) inter-rater reliability. RESULTS Facilitators were more endorsed than barriers for a single but not multiple plasmapheresis donation. More new-to-both donors (n = 5) were willing to make multiple plasma donations between WB donations than others (n = 1 each) and identified fewer barriers (n = 3) than those more experienced in donation (n = 8 no plasma, n = 10 new to both, n = 11 plasma). Donors in the plasma sample were concerned about the subsequent reduced time between plasma donations by adding WB donations (n = 3). The no-plasma and new-to-plasma donors were concerned about the time commitment required (n = 3). CONCLUSION Current donors are willing to add different product donations but donation history influences their willingness to change. Early introduction of multiple donation types, variation in inventory levels, and addressing barriers will provide blood collection agencies with a novel and cost-effective inventory management strategy.

Rank regression for accelerated failure time model with clustered and censored data

For clustered survival data, the traditional Gehan-type estimator is asymptotically equivalent to using only the between-cluster ranks, and the within-cluster ranks are ignored. The contribution of this paper is two fold: - (i) incorporating within-cluster ranks in censored data analysis, and; - (ii) applying the induced smoothing of Brown and Wang (2005, Biometrika) for computational convenience. Asymptotic properties of the resulting estimating functions are given. We also carry out numerical studies to assess the performance of the proposed approach and conclude that the proposed approach can lead to much improved estimators when strong clustering effects exist. A dataset from a litter-matched tumorigenesis experiment is used for illustration.

School students and part-time work: Workplace problems and challenges.

This paper uses data from a large national project on student-working to examine problems and challenges for school students working in part-time jobs. While literature has identified some potential problems and challenges, and some potential difficulties can be extrapolated from the nature of a young teenage workforce and the nature of the workplaces, these were largely absent in the two companies researched because the companies already had policies in place that addressed the potential problems. Some suggestions are made about how problems and challenges could be avoided in a wider range of adolescent workplaces.

Report : enabling team collaboration with pervasive and mobile computing : cost benefit analysis methodology

Construction is an information intensive industry in which the accuracy and timeliness of information is paramount. It observed that the main communication issue in construction is to provide a method to exchange data between the site operation, the site office and the head office. The information needs under consideration are time critical to assist in maintaining or improving the efficiency at the jobsite. Without appropriate computing support this may increase the difficulty of problem solving. Many researchers focus their research on the usage of mobile computing devices in the construction industry and they believe that mobile computers have the potential to solve some construction problems that leads to reduce overall productivity. However, to date very limited observation has been conducted in terms of the deployment of mobile computers for construction workers on-site. By providing field workers with accurate, reliable and timely information at the location where it is needed, it will support the effectiveness and efficiency at the job site. Bringing a new technology into construction industry is not only need a better understanding of the application, but also need a proper preparation of the allocation of the resources such as people, and investment. With this in mind, an accurate analysis is needed to provide clearly idea of the overall costs and benefits of the new technology. A cost benefit analysis is a method of evaluating the relative merits of a proposed investment project in order to achieve efficient allocation of resources. It is a way of identifying, portraying and assessing the factors which need to be considered in making rational economic choices. In principle, a cost benefit analysis is a rigorous, quantitative and data-intensive procedure, which requires identification all potential effects, categorisation of these effects as costs and benefits, quantitative estimation of the extent of each cost and benefit associated with an action, translation of these into a common metric such as dollars, discounting of future costs and benefits into the terms of a given year, and summary of all cost and benefit to see which is greater. Even though many cost benefit analysis methodologies are available for a general assessment, there is no specific methodology can be applied for analysing the cost and benefit of the application of mobile computing devices in the construction site. Hence, the proposed methodology in this document is predominantly adapted from Baker et al. (2000), Department of Finance (1995), and Office of Investment Management (2005). The methodology is divided into four main stages and then detailed into ten steps. The methodology is provided for the CRC CI 2002-057-C Project: Enabling Team Collaboration with Pervasive and Mobile Computing and can be seen in detail in Section 3.

The relationship of loneliness and social anxiety with children’s and adolescents’ online communication

Children and adolescents now communicate online to form and/or maintain relationships with friends, family, and strangers. Relationships in “real life” are important for children’s and adolescents’ psychosocial development; however, they can be difficult for those who experience feelings of loneliness and/or social anxiety. The aim of this study was to investigate differences in usage of online communication patterns between children and adolescents with and without self-reported loneliness and social anxiety. Six hundred and twenty-six students aged between 10-16 years completed a survey on the amount of time they spent communicating online, the topics they discussed, the partners they engaged with, and their purposes for communicating over the Internet. Participants were administered a shortened version of the UCLA Loneliness Scale and an abbreviated sub-scale of the Social Anxiety Scale for Adolescents (SAS-A). Additionally, age and gender differences in usage of the aforementioned online communication patterns were examined across the entire sample. Findings revealed that children and adolescents who self-reported being lonely communicated online significantly more frequently about personal things and intimate topics than did those who did not self-report being lonely. The former were motivated to use online communication significantly more frequently to compensate for their weaker social skills to meet new people. Results suggest that Internet usage allows them to fulfill critical needs of social interactions, self-disclosure, and identity exploration. Future research, however, should explore whether or not the benefits derived from online communication may also facilitate lonely children’s and adolescents’ offline social relationships.

Increased cardio-metabolic risk is associated with increased TV viewing time

Purpose: Television viewing time, independent of leisure-time physical activity, has cross-sectional relationships with the metabolic syndrome and its individual components. We examined whether baseline and five-year changes in self-reported television viewing time are associated with changes in continuous biomarkers of cardio-metabolic risk (waist circumference, triglycerides, high density lipoprotein cholesterol, systolic and diastolic blood pressure, fasting plasma glucose; and a clustered cardio-metabolic risk score) in Australian adults. Methods: AusDiab is a prospective, population-based cohort study with biological, behavioral, and demographic measures collected in 1999–2000 and 2004–2005. Non-institutionalized adults aged ≥ 25 years were measured at baseline (11,247; 55% of those completing an initial household interview); 6,400 took part in the five-year follow-up biomedical examination, and 3,846 met the inclusion criteria for this analysis. Multiple linear regression analysis was used and unstandardized B coefficients (95% CI) are provided. Results: Baseline television viewing time (10 hours/week unit) was not significantly associated with change in any of the biomarkers of cardio-metabolic risk. Increases in television viewing time over five years (10 hours/week unit) were associated with increases in: waist circumference (cm) (men: 0.43 (0.08, 0.78), P = 0.02; women: 0.68 (0.30, 1.05), P <0.001), diastolic blood pressure (mmHg) (women: 0.47 (0.02, 0.92), P = 0.04), and the clustered cardio-metabolic risk score (women: 0.03 (0.01, 0.05), P = 0.007). These associations were independent of baseline television viewing time and baseline and change in physical activity and other potential confounders. Conclusion: These findings indicate that an increase in television viewing time is associated with adverse cardio-metabolic biomarker changes. Further prospective studies using objective measures of several sedentary behaviors are required to confirm causality of the associations found.

Econometric analysis of stuctural systems with permanent and transitory shocks

This paper considers the implications of the permanent/transitory decomposition of shocks for identification of structural models in the general case where the model might contain more than one permanent structural shock. It provides a simple and intuitive generalization of the influential work of Blanchard and Quah [1989. The dynamic effects of aggregate demand and supply disturbances. The American Economic Review 79, 655–673], and shows that structural equations with known permanent shocks cannot contain error correction terms, thereby freeing up the latter to be used as instruments in estimating their parameters. The approach is illustrated by a re-examination of the identification schemes used by Wickens and Motto [2001. Estimating shocks and impulse response functions. Journal of Applied Econometrics 16, 371–387], Shapiro and Watson [1988. Sources of business cycle fluctuations. NBER Macroeconomics Annual 3, 111–148], King et al. [1991. Stochastic trends and economic fluctuations. American Economic Review 81, 819–840], Gali [1992. How well does the ISLM model fit postwar US data? Quarterly Journal of Economics 107, 709–735; 1999. Technology, employment, and the business cycle: Do technology shocks explain aggregate fluctuations? American Economic Review 89, 249–271] and Fisher [2006. The dynamic effects of neutral and investment-specific technology shocks. Journal of Political Economy 114, 413–451].

Further results with localization and mapping using range from radio

In this paper, we present recent results with using range from radio for mobile robot localization. In previous work we have shown how range readings from radio tags placed in the environment can be used to localize a robot. We have extended previous work to consider robustness. Specifically, we are interested in the case where range readings are very noisy and available intermittently. Also, we consider the case where the location of the radio tags is not known at all ahead of time and must be solved for simultaneously along with the position of the moving robot. We present results from a mobile robot that is equipped with GPS for ground truth, operating over several km.

Dwell-time and run-time control for DC mass rapid transit railways

Dwell times at stations and inter-station run times are the two major operational parameters to maintain train schedule in railway service. Current practices on dwell-time and run-time control are that they are only optimal with respect to certain nominal traffic conditions, but not necessarily the current service demand. The advantages of dwell-time and run-time control on trains are therefore not fully considered. The application of a dynamic programming approach, with the aid of an event-based model, to devise an optimal set of dwell times and run times for trains under given operational constraints over a regional level is presented. Since train operation is interactive and of multi-attributes, dwell-time and run-time coordination among trains is a multi-dimensional problem. The computational demand on devising trains' instructions, a prime concern in real-time applications, is excessively high. To properly reduce the computational demand in the provision of appropriate dwell times and run times for trains, a DC railway line is divided into a number of regions and each region is controlled by a dwell- time and run-time controller. The performance and feasibility of the controller in formulating the dwell-time and run-time solutions for real-time applications are demonstrated through simulations.

Household type and structure, time-use pattern, and trip-chaining behavior

In order to examine time allocation patterns within household-level trip-chaining, simultaneous doubly-censored Tobit models are applied to model time-use behavior within the context of household activity participation. Using the entire sample and a sub-sample of worker households from Tucson's Household Travel Survey, two sets of models are developed to better understand the phenomena of trip-chaining behavior among five types of households: single non-worker households, single worker households, couple non-worker households, couple one-worker households, and couple two-worker households. Durations of out-of-home subsistence, maintenance, and discretionary activities within trip chains are examined. Factors found to be associated with trip-chaining behavior include intra-household interactions with the household types and their structure and household head attributes.

Do walking and leisure-time physical activity protect against arthritis in older women?

Objective: To examine the prospective dose–response relationships between both leisure-time physical activity (LTPA) and walking with self-reported arthritis in older women. Design, setting and participants: Data came from women aged 73–78 years who completed mailed surveys in 1999, 2002 and 2005 for the Australian Longitudinal Study on Women’s Health. Women reported their weekly minutes of walking and moderate to vigorous physical activities. They also reported on whether they had been diagnosed with, or treated for, arthritis since the previous survey. General estimating equation analyses were performed to examine the longitudinal relationship between LTPA and arthritis and, for women who reported walking as their only physical activity, the longitudinal relationship between walking and arthritis. Women who reported arthritis or a limited ability to walk in 1999 were excluded, resulting in data from 3613 women eligible for inclusion in these analyses. Main results: ORs for self-reported arthritis were lowest for women who reported “moderate” levels of LTPA (OR 0.78; 95% CI 0.67 to 0.92), equivalent to 75 to <150 minutes of moderate-intensity LTPA per week. Slightly higher odds ratios were found for women who reported “high” (OR 0.81; 95% CI 0.69 to 0.95) or “very high” (OR 0.84; 95% CI 0.72 to 0.98) LTPA levels, indicating no further benefit from increased activity. For women whose only activity was walking, an inverse dose–response relationship between walking and arthritis was seen. Conclusions: The results support an inverse association between both LTPA and walking with self-reported arthritis over 6 years in older women who are able to walk.

Navigating, recognizing and describing urban spaces with vision and lasers

In this paper we describe a body of work aimed at extending the reach of mobile navigation and mapping. We describe how running topological and metric mapping and pose estimation processes concurrently, using vision and laser ranging, has produced a full six-degree-of-freedom outdoor navigation system. It is capable of producing intricate three-dimensional maps over many kilometers and in real time. We consider issues concerning the intrinsic quality of the built maps and describe our progress towards adding semantic labels to maps via scene de-construction and labeling. We show how our choices of representation, inference methods and use of both topological and metric techniques naturally allow us to fuse maps built from multiple sessions with no need for manual frame alignment or data association.