Scaling the volatility of credit spreads: evidence from Australian dollar eurobonds

The linear rescaling of the variance of an asset's return is used by many asset pricing models when an annualised risk coefficient is required. However, this approach may not be appropriate for time series, which are not independent and identically distributed (IID). This paper investigates the scaling relationships for daily credit spreads, from January 1995 to May 1998, between AAA-, AA-, and A-rated Australian dollar denominated Eurobonds with maturities of 2, 5, 7, and 10 years. The credit spread return all display similar scaling properties with the estimated standard deviation, based upon a scaling at the square root of time, significantly underestimating the actual level of risk predicted from a normal distribution. These results have implications for risk managers and trading of credit spread instruments.

Monitoring urea levels during haemodialysis with a pulsed-flow chemiluminescence analyser

We have developed a rapid and robust method for the determination of urea in spent haemodialysis fluid as a measure of the efficiency of haemodialysis treatments. A novel flow analysis instrument (which generates a pulsed solution flow) was coupled with a chemiluminescence detection system, based on the oxidation of urea with hypobromite. The ‘pulsed-flow chemiluminescence analyser’ exhibited high precision (1.6% relative standard deviation (R.S.D.) for a 1×10−5 M urea standard, n=10) and good limit of detection (9×10−7 M, S/N=3) as a result of the rapid and reproducible mixing of small volumes of reagent and sample at the point of detection. The proposed chemiluminescence technique and an established urease-based laboratory procedure were compared, and showed a very similar trend for the change in urea concentration during a typical haemodialysis treatment. The relative chemiluminescence response from the oxidation of species with similar structure has revealed the inherent selectivity of the light producing pathway, but a positive interference was obtained from protein when this technique was applied to the determination of urea in serum samples. Arginine was identified as the predominant source of this interference.

Synthesis and preliminary analytical evaluation of the chemiluminescence from (4-[4-(dichloromethylsilanyl)-butyl]-4`-methyl-2,2`-bipyridyl)bis(2,2`-bipyridyl)ruthenium(II) covalently bonded to silica particles

This paper describes, for the first time, a simple and effective synthetic route for covalently bonding the chemiluminescence reagent, (4-[4-(dichloromethylsilanyl)-butyl]-4’-methyl-2,2’-bipyridyl)bis(2,2’-bipyridyl)ruthenium(II) onto silica particles. The subsequent preparation of chemically regeneratable detection cells and their preliminary analytical evaluation with both sequential injection analysis and flow injection analysis are also reported. Unoptimised analytical figures of merit were established for standard solutions of codeine and sodium oxalate with detection limits calculated from three times the standard deviation of the blank signal, of 1 × 10^–8 M and 3 × 10^–7 M respectively. The chemically immobilised reagent exhibited some intriguing solvent and kinetic effects, which are also briefly discussed.

Design of LabVIEW® - based software for the control of sequential injection analysis instrumentation for the determination of morphine.

LabVIEW^®-based software for the automation of a sequential injection analysis instrument for the determination of morphine is presented. Detection was based on its chemiluminescence reaction with acidic potassium permanganate in the presence of sodium polyphosphate. The calibration function approximated linearity (range 5 × 10 ^-10 to 5 × 10 ^-6M) with a line of best fit of y = 1.05 x + 8.9164 (R² = 0.9959), where y is the log₁₀ signal (mV) and x is the log₁₀ morphine concentration (M). Precision, as measured by relative standard deviation, was 0.7% for five replicate analyses of morphine standard (5 × 10^-8_M). The limit of detection (3 σ) was determined as 5 × 10^-11 M morphine.

Patterns and demographic predictors of 5-year weight change in a multi-ethnic cohort of men and women in Australia

Objective: This study investigated 5-year trends in body weight, overweight and obesity and their association with sociodemographic variables in a large, multi-ethnic community sample of Australian adults.  Design: This prospective population study used baseline and 5-year follow-up data from participants in the Melbourne Collaborative Cohort Study (MCCS). Setting: Population study in Melbourne, Australia. Subjects: In total, 12 125 men and 17 674 women aged 35–69 years at baseline. Results: Mean 5-year weight change in this sample was +1.58 (standard deviation (SD) 4.82) kg for men and +2.42 (SD 5.17) kg for women. Younger (35–44 years) men and, in particular, women gained more weight than older adults and were at highest risk of major weight gain ($5 kg) and becoming overweight. Risk of major weight gain and associations between demographic variables and weight change did not vary greatly by ethnicity. Education level showed complex associations with weight outcomes that differed by sex and ethnicity. Multivariate analyses showed that, among men, higher initial body weight was associated with decreased likelihood of major weight gain, whereas among women, those initially overweight or obese were about 20% more likely to experience major weight gain than underweight or healthy weight women. Conclusions: Findings of widespread weight gain across this entire population sample, and particularly among younger women and women who were already overweight, are a cause for alarm. The prevention of weight gain and obesity across the entire population should be an urgent public health priority. Young-to-mid adulthood appears to be a critical time to intervene to prevent future weight gain.

Evaluation of three daily rainfall generation models for SWAT

The Soil and Water Assessment Tool (SWAT) is a hydrologic model that was developed to predict the long-term impacts of land use change on the water balance of large catchments. Stochastic models are used to generate the daily rainfall sequences needed to conduct long-term, continuous simulations with SWAT. The objective of this study was to evaluate the performances of three daily rainfall generation models. The models evaluated were the modified Daily and Monthly Mixed (DMMm) model, skewed normal distribution (SKWD) model and modified exponential distribution (EXPD) model. The study area was the Woady Yaloak River catchment (306 km2) located in southwest Victoria, Australia. The models were assessed on their ability to preserve annual, monthly and daily statistical characteristics of the historical rainfall and runoff. The mean annual, monthly, and daily rainfall was preserved satisfactorily by the models. The DMMm model reproduced the standard deviation of annual and monthly rainfall better than the SKWD and EXPD models. Overall, the DMMm model performed marginally better than the SKWD model at reproducing the statistical characteristics of the historical rainfall record at the various time scales. The performance of the EXPD model was found to be inferior to the performances of the DMMm and SKWD models. The models reproduced the mean annual, monthly, and daily runoff relatively well, although the DMMm and SKWD models were found to preserve these statistics marginally better than the EXPD model. None of the models managed to reproduce the standard deviation of annual, monthly, and daily runoff adequately.

Characterization and application of objective pilling classification to patterned fabrics

Previously, the authors proposed a new, simple method of frequency domain analysis based on the two-dimensional discrete wavelet transform to objectively measure the pilling intensity in sample fabric images. The method was further characterized, and the results obtained indicate that standard deviation and variance are the most appropriate measures of the dispersion of wavelet details coefficients for analysis, that the relationship between wavelet analysis scale and fabric inter-yarn pitch was empirically confirmed, and, that fabrics with random patterns do not appear to impact on the effectiveness of the analysis method.

The use of injury surveillance databases to identify emerging injury hazards

Among the many valuable uses of injury surveillance is the potential to alert health authorities and societies in general to emerging injury trends, facilitating earlier development of prevention measures. Other than road safety, to date, few attempts to forecast injury data have been made, although forecasts have been made of other public health issues. This may in part be due to the complex pattern of variance displayed by injury data. The profile of many injury types displays seasonality and diurnal variance, as well as stochastic variance. The authors undertook development of a simple model to forecast injury into the near term. In recognition of the large numbers of possible predictions, the variable nature of injury profiles and the diversity of dependent variables, it became apparent that manual forecasting was impractical. Therefore, it was decided to evaluate a commercially available forecasting software package for prediction accuracy against actual data for a set of predictions. Injury data for a 4-year period (1996 to 1999) were extracted from the Victorian Emergency Minimum Dataset and were used to develop forecasts for the year 2000, for which data was also held. The forecasts for 2000 were compared to the actual data for 2000 by independent t-tests, and the standard errors of the predictions were modelled by stepwise hierarchical multiple regression using the independent variables of the standard deviation, seasonality, mean monthly frequency and slope of the base data (R = 0.93, R² = 0.86, F_{(3, 27)} = 55.2, p < 0.0001). Significant contributions to the model included the SD (β = 1.60, p < 0.001), mean monthly frequency (β =  - 0.72, p < 0.002), and the seasonality of the data (β = 0.16, p < 0.02). It was concluded that injury data could be reliably forecast and that commercial software was adequate for the task. Variance in the data was found to be the most important determinant of prediction accuracy. Importantly, automated forecasting may provide a vehicle for identifying emerging trends.

Dynamical systems for discovering protein complexes and functional modules from biological networks

Recent advances in high throughput experiments and annotations via published literature have provided a wealth of interaction maps of several biomolecular networks, including metabolic, protein-protein, and protein-DNA interaction networks. The architecture of these molecular networks reveals important principles of cellular organization and molecular functions. Analyzing such networks, i.e., discovering dense regions in the network, is an important way to identify protein complexes and functional modules. This task has been formulated as the problem of finding heavy subgraphs, the Heaviest k-Subgraph Problem (k-HSP), which itself is NPhard. However, any method based on the k-HSP requires the parameter k and an exact solution of k-HSP may still end up as a “spurious” heavy subgraph, thus reducing its practicability in analyzing large scale biological networks. We proposed a new formulation, called the rank-HSP, and two dynamical systems to approximate its results. In addition, a novel metric, called the Standard deviation and Mean Ratio (SMR), is proposed for use in “spurious” heavy subgraphs to automate the discovery by setting a fixed threshold. Empirical results on both the simulated graphs and biological networks have demonstrated the efficiency and effectiveness of our proposal.

The normative distribution of chest tube drainage volume after coronary artery bypass grafting

Background
Little evidence exists to describe expected volumes of chest tube (CT) drainage after coronary artery bypass grafting (CABG).

Objectives
The study objective was to map the trajectory of CT drainage volumes from insertion to removal after CABG.

Design

This was a retrospective, descriptive study.
Patients
The study included 239 patients who underwent CABG at a single metropolitan hospital in Melbourne, Australia.

Results
The sample (N = 234), aged 68.7 years (standard deviation [SD] 9.9), was predominantly male (N = 185, 79.1%). The mean duration of CT insertion was 45.2 hours (SD 26.7), and total drainage volume was 1300.6 mL (SD 763.8). Drainage volumes plateau to 31 mL per hour, 8 hours after surgery. From 24 to 48 hours, the mean drainage was 21 mL per hour. Drainage volumes varied between genders.

Conclusions
Evidence of similar drainage patterns in other populations is difficult to locate. If the pattern of drainage shown in this study is consistent, experimental intervention studies comparing standard removal time and earlier removal are recommended. If not, prospective collection of relevant preoperative, intraoperative, and postoperative factors across multiple sites is necessary to determine which patient or practice variations influence CT drainage patterns after CABG.

Estimating mean exposures from censored data: exposure to benzene in the Australian petroleum industry

A retrospective assessment of exposure to benzene was carried out for a nested case control study of lympho-haematopoietic cancers, including leukaemia, in the Australian petroleum industry. Each job or task in the industry was assigned a Base Estimate (BE) of exposure derived from task-based personal exposure assessments carried out by the company occupational hygienists. The BEs corresponded to the estimated arithmetic mean exposure to benzene for each job or task and were used in a deterministic algorithm to estimate the exposure of subjects in the study. Nearly all of the data sets underlying the BEs were found to contain some values below the limit of detection (LOD) of the sampling and analytical methods and some were very heavily censored; up to 95% of the data were below the LOD in some data sets. It was necessary, therefore, to use a method of calculating the arithmetic mean exposures that took into account the censored data. Three different methods were employed in an attempt to select the most appropriate method for the particular data in the study. A common method is to replace the missing (censored) values with half the detection limit. This method has been recommended for data sets where much of the data are below the limit of detection or where the data are highly skewed; with a geometric standard deviation of 3 or more. Another method, involving replacing the censored data with the limit of detection divided by the square root of 2, has been recommended when relatively few data are below the detection limit or where data are not highly skewed. A third method that was examined is Cohen's method. This involves mathematical extrapolation of the left-hand tail of the distribution, based on the distribution of the uncensored data, and calculation of the maximum likelihood estimate of the arithmetic mean. When these three methods were applied to the data in this study it was found that the first two simple methods give similar results in most cases. Cohen's method on the other hand, gave results that were generally, but not always, higher than simpler methods and in some cases gave extremely high and even implausible estimates of the mean. It appears that if the data deviate substantially from a simple log-normal distribution, particularly if high outliers are present, then Cohen's method produces erratic and unreliable estimates. After examining these results, and both the distributions and proportions of censored data, it was decided that the half limit of detection method was most suitable in this particular study.

Print versus website physical activity programs: a randomized trial.

Background: Mediated physical activity interventions can reach large numbers of people at low cost. Programs delivered through the mail that target the stage of motivational readiness have been shown to increase activity. Communication technology (websites and e-mail) might provide a means for delivering similar programs. Methods: Randomized trial conducted between August and October 2001. Participants included staff at an Australian university (n=655; mean AGE=43, standard deviation, 10 years). Participants were randomized to either an 8-week, stage-targeted print program (Print) or 8-week, stage-targeted website (Web) program. The main outcome was change in self-reported physical activity. Results: There was no significant increase in total reported physical activity within or between groups when analyzed by intention to treat (F [1,653]=0.41, p=0.52). There was a significant increase in total physical activity reported by the Print participants who were inactive at baseline (t [1,173]=−2.21, p=0.04), and a significant decrease in the average time spent sitting on a weekday in the Web group (t [1,326]=2.2, p=0.03). Conclusions: There were no differences between the Print and Web program effects on reported physical activity. The Print group demonstrated slightly larger effects and a higher level of recognition of program materials.

Coronary artery stenoses: detection with calcium scoring, CT angiography, and both methods combined

PURPOSE: To investigate prospectively the relative accuracy of computed tomographic (CT) angiography, calcium scoring (CS), and both methods combined in demonstrating coronary artery stenoses by using conventional angiography as the reference standard. MATERIALS AND METHODS: The study was approved by the institutional review board Human Research Ethics Committee, and all patients completed written informed consent. Fifty patients (40 men, 10 women) aged 62 years ± 11 (± standard deviation) who were suspected of having coronary artery disease underwent both conventional coronary angiography and multisection coronary CT angiography with CS. Sensitivity and specificity of CS, CT angiography, and both methods combined in demonstrating luminal stenosis greater than or equal to 50% were determined for each arterial segment, coronary vessel, and patient. Receiver operating characteristic (ROC) curves were generated for CS prediction of significant stenosis, and the Mann-Whitney U test was used for comparison of CS between groups. RESULTS: When used with segment-specific electrocardiographic phase reconstructions, CT angiography demonstrated stenosed segments with 79% sensitivity and 95% specificity. Mean calcium score was greater in segments, vessels, and patients with stenoses than in segments, vessels, and patients without stenoses (P < .001 for all); nine (16%) of 56 stenosed segments, however, had a calcium score of 0. The patient calcium score correlated strongly with the number of stenosed arteries (Spearman {rho} = 0.75, P < .001). CS was more accurate in demonstrating stenosis in patients than in segments (areas under ROC curve were 0.88 and 0.74, respectively). CT angiography, however, was more accurate than CS in demonstrating stenosis in patients, vessels, and segments. The sensitivity and specificity of CS varied according to the threshold used, but when the calcium score cutoff (ie, >150) matched the specificity of CT angiography (95%), the sensitivity of CS in demonstrating stenosed segments was 29% (compared with 79% for CT angiography). Combining CT angiography with CS (at threshold of 400) improved the sensitivity of CT angiography (from 93% to 100%) in demonstrating significant coronary disease in patients, without a loss of specificity (85%); this finding, however, was not statistically significant. CONCLUSION: CT angiography is more accurate than CS in demonstrating coronary stenoses. A patient calcium score of greater than or equal to 400, however, can be used to potentially identify patients with significant coronary stenoses not detected at CT angiography.

Patients' experiences of cardiology procedures using minimal conscous sedation

Aim: The study's purpose was to describe patients' experiences of minimal conscious sedation during diagnostic and interventional cardiology procedures.

Methods: Over a 6-week period, 119 consecutive patients (10% of annual throughput) from a major metropolitan hospital in Melbourne, Australia, were interviewed using a modified version of the American Pain Society Patient Outcome Questionnaire. Patients identified pain severity using a 10-point visual analogue scale and rated their overall comfort on a 6-point Likert scale ranging from very comfortable to very uncomfortable.

Results: Patients were aged 67.6 years (standard deviation 11.1), 70.8% were male, and the mean body mass index was 27.7 (standard deviation 4.8). Patients underwent diagnostic coronary angiography (67.5%), percutaneous coronary interventions (13.3%), or combined procedures (19.2%). Most patients (65%) were comfortable in the context of low-dose conscious sedation. Slight discomfort was reported by 26% of patients; 9% reported feeling uncomfortable primarily as a result of a combination of musculoskeletal pain, angina, and vasovagal symptoms experienced during the procedure. There was significant correlation (rho = .25, P = .01) between procedure length and patients' report of overall comfort, suggesting longer procedures were less comfortable for patients.

Conclusions: The minimal sedation protocol was effective for the majority of patients; however, 9% of patients experienced significant discomfort related to preexisting conditions, highlighting the need for individual patient assessment before, during, and after the procedure.