Forecasting stock index volatility : comparing implied volatility and the intraday high-low price range

The intraday high–low price range offers volatility forecasts similarly efficient to high-quality implied volatility indexes published by the Chicago Board Options Exchange (CBOE) for four stock market indexes: S&P 500, S&P 100, NASDAQ 100, and Dow Jones Industrials. Examination of in-sample and out-of-sample volatility forecasts reveals that neither implied volatility nor intraday high–low range volatility consistently outperforms the other.

International well-being index : the Austrian version

The International Well-being Index (IWI) measures both personal and national well-being. It comprises two subscales: the Personal Well-being Index (PWI) and the National Well-being Index (NWI). The aim of this paper is to test the psychometric properties (validity and reliability) of the translated scale in Austria. Convergent validity is assessed using the Scales of Psychological Well-Being, the Satisfaction with Life Scale and the Positive and Negative Affect Scale. In addition, a Visual–Analog Scales capturing “satisfaction with life as a whole” was applied. The participants were 581 students of the Medical University Innsbruck (female: 47.7%; age: 23.2 ± 3.7). Internal consistency (Cronbach’s α) of the IWI was for both scales > .70 (PWI: .85; NWI: .83). The exploratory factor analysis of the IWI identified a 2-factor-structure identical with the two scales of the IWI explaining 54.2% of the variance. The convergent validity hypotheses were confirmed, construct validity was partly confirmed for the PWI being a deconstruction of a first factor called “satisfaction with life” (38.1% explained variance). Happy participants scored higher on the PWI (84.3 ± 7.9 vs. 68.7 ± 13.7; p < .001) and NWI (64.3 ± 15.8 vs. 57.9 ± 15.1; p < .001) scores than unhappy participants. It is concluded that the Austrian version of the IWI is a reliable and valid instrument to assess personal and national well-being. Further studies including a representative sample should be carried out on a recurring basis to use the IWI as an indicator for social science research in Austria.

Predictors of body mass index change in Australian primary school children

Objective. To assess associations between multiple potential predictors and change in child body mass index (BMI). Methods.In the 1997 Health of Young Victorians Study, children in Grades preparatory to three (aged 510 years) had their height and weight measured. Parents provided information on potential predictors of childhood overweight across six domains (children’s diet, children’s activity level, family composition, sociodemographic factors, prenatal factors and parental adiposity). Measures were repeated three years later in 2000/1. BMI was transformed to standardised (z) scores using the US 2000 Growth Chart data and children were classified as non-overweight or overweight according to international cutpoints.Regression analyses, including baseline BMI z-score as a covariate, assessed the contribution of each potential predictor to change in BMI z-score, development of overweight and spontaneous resolution of overweight in 1 373 children.Results. BMI z-score change was positively associated with frequency of take-away food, food quantity, total weekly screen time, non-Australian paternal country of birth, maternal smoking during pregnancy, and maternal and paternal BMI.Inverse associations were noted for the presence of siblings and rural residence (all pB0.05). Predictors of categorical change (development and resolution of overweight) were less clearly identified, apart from an association between maternal BMI and overweight development (p0.02). Multivariable models suggested individual determinants have a cumulative effect on BMI change. Conclusions. Strong short-term tracking of BMI makes it difficult to identify predictors of change. Nonetheless, putative determinants across all domains assessed were independently associated with adiposity change. Multi-faceted solutions are likely to be required to successfully deal with the complexities of childhood overweight.

Assessing Sleep during Pregnancy - a study across two time points examining the pittsburg sleep quality index and associations with depressive symptoms

Background and Purpose: Sleep quality seems to be an antecedent to depressive symptoms during pregnancy. We sought to 1) examine the psychometrics of the Pittsburgh Sleep Quality Index (PSQI) in pregnancy; 2) examine whether sleep quality predicted increases in depressive symptoms; and 3) compare PSQI scores across 3 or 2 levels of depressive symptoms.

Methods: Each of the 252 participants completed the Beck Depression Inventory (short form) and a sleep quality measure at mid and late pregnancy.

Results: PSQI total scores showed good internal consistency and construct validity. An improved model of the internal structure of the PSQI in pregnancy was found with 1 factor labeled Sleep Efficiency, a second labeled Night and Daytime Disturbances, and an Overall Sleep Quality component associated with, but separate from, both of these 2 factors. Although PSQI scores showed moderate stability over time, sleep disturbance scores increased in late pregnancy. Importantly, PSQI prospectively predicted increases in depressive symptoms.

Conclusions: Findings suggest that the PSQI is useful in pregnancy research. Findings also support the idea that sleep problems are prospective risk factors for increases in depressive symptoms during pregnancy. Practitioners are advised to screen for sleep quality during early pregnancy.

New work ethics? The corporate athlete's back end index and organisational performance

Drawing on Michel Foucault’s later genealogies of the Self the paper will illustrate particular dimensions of the increasingly powerful individualizing and normalizing processes shaping the lifeworlds of worker-citizens in a globalizing risk society. Processes that require those who wish to be positively identified as professional, entrepreneurial, resilient, effective, athletic to do particular sorts of work on themselves. Here the paper argues that we can identify the emergence of what we call New Work Ethics. We illustrate this more general argument via an analysis of the ways in which a large Information Technology (IT) organization seeks to produce—via a workplace health and fitness program—employees who imagine themselves as embodying the behaviours and dispositions that mark the person as a corporate athlete. Knowledge of the Self in these terms can, it is promised, enhance the performance of the Self, and the organization.

Abnormally high optical transmittance of refractive-index modified ZnO / organic hybrid films

Hybrid films consisting of ZnO nanoparticles and organic matrices were fabricated at particle concentration levels of up to 60 wt%. The correlation between the refractive index and optical transmittance in the visible light region was investigated. The refractive index of the hybrid films was modified in a continuous manner in the range from 1.44 to 1.55. The refractive index increased linearly as a function of particle concentration. On the other hand, optical transmittance showed little change above the particle volume fraction of 0.08.

Refractive index tomography of turbid media by bifocal optical coherence refractometry

We demonstrate tomographic imaging of the refractive index of turbid media using bifocal optical coherence refractometry (BOCR). The technique, which is a variant of optical coherence tomography, is based on the measurement of the optical pathlength difference between two foci simultaneously present in a medium of interest. We describe a new method to axially shift the bifocal optical pathlength that avoids the need to physically relocate the objective lens or the sample during an axial scan, and present an experimental realization based on an adaptive liquid-crystal lens. We present experimental results, including video clips, which demonstrate refractive index tomography of a range of turbid liquid phantoms, as well as of human skin in vivo.

Dispersion of information or market behaviour : general public trading in S & P 500 index futures

This paper considers 15 minute records of trading volume and traded prices coinciding with the reporting intervals required by the Commodity Futures Trading Commission. Records are extracted from trade records for two way trade between market makers (CTI1) and the general public (CTI4) from January 1994 to June 2004. Futures price records are matched with S&P500 cash index price records. Simultaneous volatility models are specified and estimated to test trading volume to futures volatility lead/lag effects and also futures volatility to cash index volatility lead/lag effects. There is evidence that existing theoretical models of the general public trading behaviour do not explain such behaviour in these very actively traded markets. These effects can depend more on market conditions than what is suggested in theoretical models.

Victorian index of estuary condition : recommended themes and measures

Deakin University was engaged by the Department of Sustainability and Environment to develop an Index of Estuary Condition (IEC) for evaluating the environmental condition of Victorian estuaries. The Index will ultimately complement the existing Index of Stream Condition (ISC) by providing a consistent statewide assessment of the environmental condition of estuaries. This will better enable:

• Estuarine condition to be reported at regional, state and national levels.

• Prioritisation of resource allocation.

• Strategic evaluation of management interventions in estuaries.

Workshops involving participants with expertise in a variety of disciplines were convened to integrate learnings from assessment programs currently being developed interstate and overseas. This report synthesises and builds on the output from those workshops which:

• Identified key components (themes) of estuaries that contribute to estuarine condition.

• Contributed to development of a broad conceptual model for Victorian estuaries

• Identified possible measures of each theme

In keeping with the sub-indices of the ISC, six themes were identified for use in the IEC: Physical form, Hydrology, Water quality, Sediment, Flora and Fauna. Several measures within each theme are recommended to assess estuary condition.

Implementation of particular measures in the IEC partly depends on the investment required to both collect and interpret the required data. With regard to data collection, each measure was assessed according to whether there is an established sampling procedure, how frequently data need to be collected and the level of expertise required for collection and processing. For interpreting the data, measures were scored on whether baseline condition is established and whether descriptions and scores are developed which reflect the extent of deviation from that condition. These scores were used to indicate which measures are feasible to implement immediately and which require further investigation.

A trial of the recommended IEC measures in a selection of estuaries is recommended as it would provide an opportunity to test the measures and their suitability for application statewide. It is suggested that the trial is conducted in estuaries subject to various levels of threats within each of the four estuary classes described by Barton et al. (2008)

HOMA insulin sensitivity index and the risk of all-cause mortality and cardiovascular disease events in the general population : the Australian diabetes, obesity and lifestyle study (AusDiab) study

Aims/hypothesis We assessed whether the relationships between insulin sensitivity and all-cause mortality as well as fatal or non-fatal cardiovascular disease (CVD) events are independent of elevated blood glucose, high blood pressure, dyslipidaemia and body composition in individuals without diagnosed diabetes.
Methods Between 1999 and 2000, baseline fasting insulin, glucose and lipids, 2 h plasma glucose, HbA1c, anthropometrics, blood pressure, medication use, smoking and history of CVD were collected from 8,533 adults aged >35 years from the population-based Australian Diabetes, Obesity and Lifestyle study. Insulin sensitivity was estimated by HOMA of insulin sensitivity (HOMA-%S). Deaths and fatal or non-fatal CVD events were ascertained through linkage to the National Death Index and medical records adjudication.
Results After a median of 5.0 years there were 277 deaths and 225 CVD events. HOMA-%S was not associated with all-cause mortality. Compared with the most insulin-sensitive quintile, the combined fatal or non-fatal CVD HR (95% CI) for quintiles of decreasing HOMA-%S were 1.1 (0.6–1.9), 1.4 (0.9–2.3), 1.6 (1.0–2.5) and 2.0 (1.3–3.1), adjusting for age and sex. Smoking, CVD history, hypertension, lipid-lowering medication, total cholesterol and waist-to-hip ratio moderately attenuated this relationship. However, the association was rendered non-significant by adding HDL. Fasting plasma glucose, but not HOMA-%S significantly improved the prediction of CVD, beyond that seen with other risk factors.
Conclusions/interpretation In this cohort, HOMA-%S showed no association with all-cause mortality and only a modest association with CVD events, largely explained by its association with HDL. Fasting plasma glucose was a better predictor of CVD than HOMA-%S.

An index of regional sustainability : a GIS-based multiple criteria analysis decision support system for progressing sustainability

GIS (Geographical Information Systems) based decision support tools will be useful in helping guide regions to sustainability. These tools need to be simple but effective at identifying, for regional managers, areas most in need of initiatives to progress sustainability. Multiple criteria analysis (MCA) has been used as a decision support tool for a wide number of applications, as it provides a systematic framework for evaluating various options. It has the potential to be used as a tool for sustainability assessment, because it can bring together the sustainability criteria from all pillars, social, economic and environmental, to give an integrated assessment of sustainability. Furthermore, the use of GIS and MCA together is an emerging addition to conducting sustainability assessments. This paper further develops a sustainability assessment framework developed for the Glenelg Hopkins Catchment Management Authority region of Victoria, Australia by providing a GIS-based decision support system for regional agencies. This tool uses multiple criteria analysis in a GIS framework to assess the sustainability of sub-catchments in the Glenelg Hopkins Catchment. The multiple criteria analysis based on economic, social and environmental indicators developed in previous stages of this project was used as the basis to build a model in ArcGIS1. The GIS-based multiple criteria analysis, called An Index of Regional Sustainability Spatial Decision Support System (AIRS SDSS),
produced maps showing sub-catchment sustainability, and environmental, social and economic condition. As a result, this tool is able to highlight those sub-catchments most in need of assistance with achieving sustainability. It will also be a valuable tool for evaluation and monitoring of strategies for sustainability. This paper shows the usefulness of GIS-based multiple criteria analysis to enhance the monitoring and evaluation of sustainability at the regional to sub-catchment scale.