Bands width, credibility and exchange risk: Lessons from the EMS experience

This paper presents an analysis of the credibility of the EMScurrencies that covers the period before and after the increase in thebands of fluctuation. Our credibility indicator is based on the inferredprobabilities derived from the estimation of a Markov-switching model(Hamilton (1989)) applied to the expected rate of depreciation. Theresults show that, for most of the currencies, credibility has improved,at least transitorily, after the increase in the bands. However, for allcurrencies, the credibility measured by the indicator proposed in thispaper has been eroded recently even with the widened bands.

Australian Asian options

We study European options on the ratio of the stock price to its averageand viceversa. Some of these options are traded in the Australian StockExchange since 1992, thus we call them Australian Asian options. Forgeometric averages, we obtain closed-form expressions for option prices.For arithmetic means, we use dierent approximations that produce verysimilar results.

Diagnosis of Alzheimer’s Disease from EEG by Means of Synchrony Measures in Optimized Frequency Bands

Several clinical studies have reported that EEG synchrony is affected by Alzheimer’s disease (AD). In this paper a frequency band analysis of AD EEG signals is presented, with the aim of improving the diagnosis of AD using EEG signals. In this paper, multiple synchrony measures are assessed through statistical tests (Mann–Whitney U test), including correlation, phase synchrony and Granger causality measures. Moreover, linear discriminant analysis (LDA) is conducted with those synchrony measures as features. For the data set at hand, the frequency range (5-6Hz) yields the best accuracy for diagnosing AD, which lies within the classical theta band (4-8Hz). The corresponding classification error is 4.88% for directed transfer function (DTF) Granger causality measure. Interestingly, results show that EEG of AD patients is more synchronous than in healthy subjects within the optimized range 5-6Hz, which is in sharp contrast with the loss of synchrony in AD EEG reported in many earlier studies. This new finding may provide new insights about the neurophysiology of AD. Additional testing on larger AD datasets is required to verify the effectiveness of the proposed approach.

Simulating fuel consumption and vehicle emissions in an Australian context

Road transport is a major source of air pollution and greenhouse gas emissions around the world. There is an increasing interest in accurate information on local vehicle emission levels for policy development and sustainable traffic management. Previous studies have shown that emission predictions for the Australian situation need to reflect both the Australian fleet and driving behaviour to avoid unreliable outcomes. This paper discusses a new Australian vehicle emission software (PΔP) and a case-study where traffic simulation software (Aimsun) is combined with PΔP to demonstrate how consistent results can be achieved for the Australian situation. The case-study is an Australian city modelled using the microscopic simulator to generate the required trajectory data of each individual vehicle for the emission model. The simulation results are used in a number of ways: to assess the impacts of urban driving behaviour on fuel consumption, to create maps showing where and when elevated emission levels occur and to compare results with another program (COPERT Australia). The paper will also discuss where further research is required.

Compositional data analysis of vote shares in the 2001 Australian Federal election

First application of compositional data analysis techniques to Australian election data