Volatility transmission between stock and bond markets

A two-factor no-arbitrage model is used to provide a theoretical link between stock and bond market volatility. While this model suggests that short-term interest rate volatility may, at least in part, drive both stock and bond market volatility, the empirical evidence suggests that past bond market volatility affects both markets and feeds back into short-term yield volatility. The empirical modelling goes on to examine the (time-varying) correlation structure between volatility in the stock and bond markets and finds that the sign of this correlation has reversed over the last 20 years. This has important implications far portfolio selection in financial markets. © 2005 Elsevier B.V. All rights reserved.

Integrated project evaluation and selection using multiple-attribute decision-making technique

The evaluation and selection of industrial projects before investment decision is customarily done using marketing, technical and financial information. Subsequently, environmental impact assessment and social impact assessment are carried out mainly to satisfy the statutory agencies. Because of stricter environment regulations in developed and developing countries, quite often impact assessment suggests alternate sites, technologies, designs, and implementation methods as mitigating measures. This causes considerable delay to complete project feasibility analysis and selection as complete analysis requires to be taken up again and again till the statutory regulatory authority approves the project. Moreover, project analysis through above process often results sub-optimal project as financial analysis may eliminate better options, as more environment friendly alternative will always be cost intensive. In this circumstance, this study proposes a decision support system, which analyses projects with respect to market, technicalities, and social and environmental impact in an integrated framework using analytic hierarchy process, a multiple-attribute decision-making technique. This not only reduces duration of project evaluation and selection, but also helps select optimal project for the organization for sustainable development. The entire methodology has been applied to a cross-country oil pipeline project in India and its effectiveness has been demonstrated. © 2005 Elsevier B.V. All rights reserved.

Decision support system for project selection

The evaluation and selection of industrial projects before investment decision is customarily done using marketing, technical, and financial information. Subsequently, environmental impact assessment and social impact assessment are carried out mainly to satisfy the statutory agencies. Because of stricter environment regulations in developed and developing countries, quite often impact assessment suggests alternate sites, technologies, designs, and implementation methods as mitigating measures. This causes considerable delay to complete project feasibility analysis and selection as complete analysis requires to be taken up again and again until the statutory regulatory authority approves the project. Moreover, project analysis through the above process often results in suboptimal projects as financial analysis may eliminate better options as more environment friendly alternative will always be cost intensive. In this circumstance, this study proposes a decision support system which analyses projects with respect to market, technicalities, and social and environmental impact in an integrated framework using analytic hierarchy process, a multiple attribute decision-making technique. This not only reduces duration of project evaluation and selection, but also helps select an optimal project for the organization for sustainable development. The entire methodology has been applied to a cross-country oil pipeline project in India and its effectiveness has been demonstrated. © 2008, IGI Global.

Selection & development of short-term project team members:developmental stability as an indicator of interpersonal skills

Short-term project teams do not have the advantage of prior performance or long-term membership to facilitate development of effective team performance. Research suggests interpersonal skills are crucial to success but this is under researched longitudinally. Evolutionary psychology can provide a lens to explain how people develop differing levels of interpersonal skills via the relationship between fluctuating asymmetry and pro-social behaviours. This research aims to investigate the relationship between fluctuating asymmetry and interpersonal skills, the impact of training and to further the evolutionary psychology field by embedding research in a real-world context as opposed to solely in laboratory or student settings.

Expert systems for vendor selection

The survival of organisations, especially SMEs, depends, to the greatest extent, on those who supply them with the required material input. This is because if the supplier fails to deliver the right materials at the right time and place, and at the right price, then the recipient organisation is bound to fail in its obligations to satisfy the needs of its customers, and to stay in business. Hence, the task of choosing a supplier(s) from a list of vendors, that an organisation will trust with its very existence, is not an easy one. This project investigated how purchasing personnel in organisations solve the problem of vendor selection. The investigation went further to ascertain whether an Expert Systems model could be developed and used as a plausible solution to the problem. An extensive literature review indicated that very scanty research has been conducted in the area of Expert Systems for Vendor Selection, whereas many research theories in expert systems and in purchasing and supply management chain, respectively, had been reported. A survey questionnaire was designed and circulated to people in the industries who actually perform the vendor selection tasks. Analysis of the collected data confirmed the various factors which are considered during the selection process, and established the order in which those factors are ranked. Five of the factors, namely, Production Methods Used, Vendors Financial Background, Manufacturing Capacity, Size of Vendor Organisations, and Suppliers Position in the Industry; appeared to have similar patterns in the way organisations ranked them. These patterns suggested that the bigger the organisation, the more importantly they regarded the above factors. Further investigations revealed that respondents agreed that the most important factors were: Product Quality, Product Price and Delivery Date. The most apparent pattern was observed for the Vendors Financial Background. This generated curiosity which led to the design and development of a prototype expert system for assessing the financial profile of a potential supplier(s). This prototype was called ESfNS. It determines whether a prospective supplier(s) has good financial background or not. ESNS was tested by the potential users who then confirmed that expert systems have great prospects and commercial viability in the domain for solving vendor selection problems.

Selection and application of risk management tools and techniques for build-operate-transfer projects

Construction projects are risky. However, the characteristics of the risk highly depend on the type of procurement being adopted for managing the project. A build-operate-transfer (BOT) project is recognized as one of the most risky project schemes. There are instances of project failure where a BOT scheme was employed. Ineffective rts are increasingly being managed using various risk management tools and techniques. However, application of those tools depends on the nature of the project, organization's policy, project management strategy, risk attitude of the project team members, and availability of the resources. Understanding of the contents and contexts of BOT projects, together with a thorough understanding of risk management tools and techniques, helps select processes of risk management for effective project implementation in a BOT scheme. This paper studies application of risk management tools and techniques in BOT projects through reviews of relevant literatures and develops a model for selecting risk management process for BOT projects. The application to BOT projects is considered from the viewpoints of the major project participants. Discussion is also made with regard to political risks. This study would contribute to the establishment of a framework for systematic risk management in BOT projects.

Integrated approach to project feasibility analysis:a case study

Feasibility studies of industrial projects consist of multiple analyses carried out sequentially. This is time consuming and each analysis screens out alternatives based solely on the merits of that analysis. In cross-country petroleum pipeline project selection, market analysis determines throughput requirement and supply and demand points. Technical analysis identifies technological options and alternatives for pipe-line routes. Economic and financial analysis derive the least-cost option. The impact assessment addresses environmental issues. The impact assessment often suggests alternative sites, routes, technologies, and/or implementation methodology, necessitating revision of technical and financial analysis. This report suggests an integrated approach to feasibility analysis presented as a case application of a cross-country petroleum pipeline project in India.

Practice report: the role of environmental factors in industrial site selection activities: a case of limestone quarry expansion in Barbados, West Indies

Site selection is a key activity for quarry expansion to support cement production, and is governed by factors such as resource availability, logistics, costs, and socio-environmental factors. Adequate consideration of all factors facilitates both industrial productivity and sustainable economic growth. This study illustrates the site selection process that was undertaken for the expansion of limestone quarry operations to support cement production in Barbados. First, alternate sites with adequate resources to support a 25-year development horizon were identified. Second, socio-environmental conditions were described and potential impacts identified. Third, a comparative matrix was constructed to evaluate relative site characteristics with respect to physical, ecological, socio-cultural and economic factors. The study shows that environmental factors were essential to the final site recommendation.

Development of an e-business selection framework for manufacturing SMEs : a study of the printing industry

The aim of the research is to develop an e-business selection framework for small and medium enterprises (SMEs) by integrating established techniques in planning. The research is case based, comprising four case studies carried out in the printing industry for the purpose of evaluating the framework. Two of the companies are from Singapore, while the other two are from Guangzhou, China and Jinan, China respectively. To determine the need of an e-business selection framework for SMEs, extensive literature reviews were carried out in the area of e-business, business planning frameworks, SMEs and the printing industry. An e-business selection framework is then proposed by integrating the three established techniques of the Balanced Scorecard (BSC), Value Chain Analysis (VCA) and Quality Function Deployment (QFD). The newly developed selection framework is pilot tested using a published case study before actual evaluation is carried out in four case study companies. The case study methodology was chosen because of its ability to integrate diverse data collection techniques required to generate the BSC, VCA and QFD for the selection framework. The findings of the case studies revealed that the three techniques of BSC, VCA and QFD can be integrated seamlessly to complement on each other’s strengths in e-business planning. The eight-step methodology of the selection framework can provide SMEs with a step-by-step approach to e-business through structured planning. Also, the project has also provided better understanding and deeper insights into SMEs in the printing industry.

Fair testing in employment selection

This project represents the collaboration of Charta Mede Ltd and the Interdisciplinary Higher Degrees Scheme at the University of Aston. The aim of the project was to monitor the effects of the Civil Service's Executive Officer Qualifying Test Battery on minority group applicants. Prior to monitoring the EO Test Battery, however, an ethnic classification had to be developed which was reliable, acceptable to respondents and appropriate for monitoring. Three pilot studies were conducted to examine these issues, during which different classifications and different ways of asking the question were trialled. The results indicated that by providing more precise instructions as to the meanings of categories, it was possible to obtain classifications which were acceptable and reliable. However, there were also certain terms and expressions which should be avoided such as those referring to colour and anthropological racial groups. Two classifications were used in the Executive Officer Study - one derived from an Office of Population Censuses and Surveys classification and one developed for this project - the MultiCultural British Classification. The results indicated that some minority groups (Asians, West Indians and Africans in particular) pass the tests in significantly lower proportions than the majority group and also score significantly less well on the tests. Factors which were significantly related to pass/fail and test scores included educational qualifications and age on entering the UK (the latter being negatively correlated). Using variables in this study, however, it was only possible to account for 5% of the variance in pass/fail rates and 11% of the variance in test scores. Analyses of covariance carried out indicated that the differences in test scores still remained even though the effects of significantly correlated variables were removed. Although indirect discrimination could not be inferred from the data, further research into differential validity and fairer methods of select ion is needed.

Liquidity and portfolio optimisation

This thesis presents research within empirical financial economics with focus on liquidity and portfolio optimisation in the stock market. The discussion on liquidity is focused on measurement issues, including TAQ data processing and measurement of systematic liquidity factors (FSO). Furthermore, a framework for treatment of the two topics in combination is provided. The liquidity part of the thesis gives a conceptual background to liquidity and discusses several different approaches to liquidity measurement. It contributes to liquidity measurement by providing detailed guidelines on the data processing needed for applying TAQ data to liquidity research. The main focus, however, is the derivation of systematic liquidity factors. The principal component approach to systematic liquidity measurement is refined by the introduction of moving and expanding estimation windows, allowing for time-varying liquidity co-variances between stocks. Under several liability specifications, this improves the ability to explain stock liquidity and returns, as compared to static window PCA and market average approximations of systematic liquidity. The highest ability to explain stock returns is obtained when using inventory cost as a liquidity measure and a moving window PCA as the systematic liquidity derivation technique. Systematic factors of this setting also have a strong ability in explaining a cross-sectional liquidity variation. Portfolio optimisation in the FSO framework is tested in two empirical studies. These contribute to the assessment of FSO by expanding the applicability to stock indexes and individual stocks, by considering a wide selection of utility function specifications, and by showing explicitly how the full-scale optimum can be identified using either grid search or the heuristic search algorithm of differential evolution. The studies show that relative to mean-variance portfolios, FSO performs well in these settings and that the computational expense can be mitigated dramatically by application of differential evolution.

The selection of biodiversity indicators for business landholdings

Businesses are seen as the next stage in delivering biodiversity improvements linked to local and UK Biodiversity Action Plans. Global discussion of biodiversity continues to grow, with the Millennium Ecosystem Assessment, updates to the Convention on Biological Diversity and The Economics of Ecosystems and Biodiversity being published during the time of this project. These publications and others detail the importance of biodiversity protection and also the lack of strategies to deliver this at an operational level. Pressure on UK landholding businesses is combined with significant business opportunities associated with biodiversity engagement. However, the measurement and reporting of biodiversity by business is currently limited by the complexity of the term and the lack of suitable procedures for the selection of metrics. Literature reviews identified confusion surrounding biodiversity as a term, limited academic literature regarding business and choice of biodiversity indicators. The aim of the project was to develop a methodology to enable companies to identify, quantify and monitor biodiversity. Research case studies interviews were undertaken with 10 collaborating organisations, selected to represent =best practice‘ examples and various situations. Information gained through case studies was combined with that from existing literature. This was used to develop a methodology for the selection of biodiversity indicators for company landholdings. The indicator selection methodology was discussed during a second stage of case study interviews with 4 collaborating companies. The information and opinions gained during this research was used to modify the methodology and provide the final biodiversity indicator selection methodology. The methodology was then tested through implementation at a mineral extraction site operated by a multi-national aggregates company. It was found that the methodology was a suitable process for implementation of global and national systems and conceptual frameworks at the practitioner scale. Further testing of robustness by independent parties is recommended to improve the system.

Helicopter vibration sensor selection using data visualisation

The main objective of the project is to enhance the already effective health-monitoring system (HUMS) for helicopters by analysing structural vibrations to recognise different flight conditions directly from sensor information. The goal of this paper is to develop a new method to select those sensors and frequency bands that are best for detecting changes in flight conditions. We projected frequency information to a 2-dimensional space in order to visualise flight-condition transitions using the Generative Topographic Mapping (GTM) and a variant which supports simultaneous feature selection. We created an objective measure of the separation between different flight conditions in the visualisation space by calculating the Kullback-Leibler (KL) divergence between Gaussian mixture models (GMMs) fitted to each class: the higher the KL-divergence, the better the interclass separation. To find the optimal combination of sensors, they were considered in pairs, triples and groups of four sensors. The sensor triples provided the best result in terms of KL-divergence. We also found that the use of a variational training algorithm for the GMMs gave more reliable results.

Impact of online channel use on customer revenues and costs to serve:considering product portfolios and self-selection

Developing a strategy for online channels requires knowledge of the effects of customers' online use on their revenue and cost to serve, which ultimately influence customer profitability. The authors theoretically discuss and empirically examine these effects. An empirical study of retail banking customers reveals that online use improves customer profitability by increasing customer revenue and decreasing cost to serve. Moreover, the revenue effects of online use are substantially larger than the cost-to-serve effects, although the effects of online use on customer revenue and cost to serve vary by product portfolio. Self-selection effects also emerge and can be even greater than online use effects. Ignoring self-selection effects thus can lead to poor managerial decision-making.

Project risk management using multiple criteria decision-making technique and decision tree analysis:a case study of Indian oil refinery

This study proposes an integrated analytical framework for effective management of project risks using combined multiple criteria decision-making technique and decision tree analysis. First, a conceptual risk management model was developed through thorough literature review. The model was then applied through action research on a petroleum oil refinery construction project in the Central part of India in order to demonstrate its effectiveness. Oil refinery construction projects are risky because of technical complexity, resource unavailability, involvement of many stakeholders and strict environmental requirements. Although project risk management has been researched extensively, practical and easily adoptable framework is missing. In the proposed framework, risks are identified using cause and effect diagram, analysed using the analytic hierarchy process and responses are developed using the risk map. Additionally, decision tree analysis allows modelling various options for risk response development and optimises selection of risk mitigating strategy. The proposed risk management framework could be easily adopted and applied in any project and integrated with other project management knowledge areas.