Forecasting the term structure when short-term rates are near zero

This paper compares the experience of forecasting the UK government bond yield curve before and after the dramatic lowering of short-term interest rates from October 2008. Out-of-sample forecasts for 1, 6 and 12 months are generated from each of a dynamic Nelson-Siegel model, autoregressive models for both yields and the principal components extracted from those yields, a slope regression and a random walk model. At short forecasting horizons, there is little difference in the performance of the models both prior to and after 2008. However, for medium- to longer-term horizons, the slope regression provided the best forecasts prior to 2008, while the recent experience of near-zero short interest rates coincides with a period of forecasting superiority for the autoregressive and dynamic Nelson-Siegel models. © 2014 John Wiley & Sons, Ltd.

Optimisation of optical regeneration at 40 Gbit/s in dispersion-managed transmission lines with modified synchronous modulators

Numerical optimisation of a 40 Gbit/s dispersion-managed soliton transmission system with in-line synchronous intensity modulation is performed. Using a time-saving numerical approach, superiority of the modified synchronous modulation over conventional synchronous modulation is demonstrated and an optimal operational regime is found.

Pharmaceutical process optimisation of bulk lyophilisates:implications of powder handling

Lyophilisation or freeze drying is the preferred dehydrating method for pharmaceuticals liable to thermal degradation. Most biologics are unstable in aqueous solution and may use freeze drying to prolong their shelf life. Lyophilisation is however expensive and has seen lots of work aimed at reducing cost. This thesis is motivated by the potential cost savings foreseen with the adoption of a cost efficient bulk drying approach for large and small molecules. Initial studies identified ideal formulations that adapted well to bulk drying and further powder handling requirements downstream in production. Low cost techniques were used to disrupt large dried cakes into powder while the effects of carrier agent concentration were investigated for powder flowability using standard pharmacopoeia methods. This revealed superiority of crystalline mannitol over amorphous sucrose matrices and established that the cohesive and very poor flow nature of freeze dried powders were potential barriers to success. Studies from powder characterisation showed increased powder densification was mainly responsible for significant improvements in flow behaviour and an initial bulking agent concentration of 10-15 %w/v was recommended. Further optimisation studies evaluated the effects of freezing rates and thermal treatment on powder flow behaviour. Slow cooling (0.2 °C/min) with a -25°C annealing hold (2hrs) provided adequate mechanical strength and densification at 0.5-1 M mannitol concentrations. Stable bulk powders require powder transfer into either final vials or intermediate storage closures. The targeted dosing of powder formulations using volumetric and gravimetric powder dispensing systems where evaluated using Immunoglobulin G (IgG), Lactate Dehydrogenase (LDH) and Beta Galactosidase models. Final protein content uniformity in dosed vials was assessed using activity and protein recovery assays to draw conclusions from deviations and pharmacopeia acceptance values. A correlation between very poor flowability (p<0.05), solute concentration, dosing time and accuracy was revealed. LDH and IgG lyophilised in 0.5 M and 1 M mannitol passed Pharmacopeia acceptance values criteria with 0.1-4 while formulations with micro collapse showed the best dose accuracy (0.32-0.4% deviation). Bulk mannitol content above 0.5 M provided no additional benefits to dosing accuracy or content uniformity of dosed units. This study identified considerations which included the type of protein, annealing, cake disruption process, physical form of the phases present, humidity control and recommended gravimetric transfer as optimal for dispensing powder. Dosing lyophilised powders from bulk was demonstrated as practical, time efficient, economical and met regulatory requirements in cases. Finally the use of a new non-destructive technique, X-ray microcomputer tomography (MCT), was explored for cake and particle characterisation. Studies demonstrated good correlation with traditional gas porosimetry (R2 = 0.93) and morphology studies using microscopy. Flow characterisation from sample sizes of less than 1 mL was demonstrated using three dimensional X-ray quantitative image analyses. A platinum-mannitol dispersion model used revealed a relationship between freezing rate, ice nucleation sites and variations in homogeneity within the top to bottom segments of a formulation.

Ensuring QoE in contemporary mobile networks for video content distribution

A framework that aims to best utilize the mobile network resources for video applications is presented in this paper. The main contribution of the work proposed is the QoE-driven optimization method that can maintain a desired trade-off between fairness and efficiency in allocating resources in terms of data rates to video streaming users in LTE networks. This method is concerned with the control of the user satisfaction level from the service continuity's point of view and applies appropriate QoE metrics (Pause Intensity and variations) to determine the scheduling strategies in combination with the mechanisms used for adaptive video streaming such as 3GP/MPEG-DASH. The superiority of the proposed algorithms are demonstrated, showing how the resources of a mobile network can be optimally utilized by using quantifiable QoE measurements. This approach can also find the best match between demand and supply in the process of network resource distribution.