The jump component of S&P 500 volatility and the VIX index

Much research has investigated the differences between option implied volatilities and econometric model-based forecasts. Implied volatility is a market determined forecast, in contrast to model-based forecasts that employ some degree of smoothing of past volatility to generate forecasts. Implied volatility has the potential to reflect information that a model-based forecast could not. This paper considers two issues relating to the informational content of the S&P 500 VIX implied volatility index. First, whether it subsumes information on how historical jump activity contributed to the price volatility, followed by whether the VIX reflects any incremental information pertaining to future jump activity relative to model-based forecasts. It is found that the VIX index both subsumes information relating to past jump contributions to total volatility and reflects incremental information pertaining to future jump activity. This issue has not been examined previously and expands our understanding of how option markets form their volatility forecasts.

Modelling Spikes in Electricity Prices

uring periods of market stress, electricity prices can rise dramatically. Electricity retailers cannot pass these extreme prices on to customers because of retail price regulation. Improved prediction of these price spikes therefore is important for risk management. This paper builds a time-varying-probability Markov-switching model of Queensland electricity prices, aimed particularly at forecasting price spikes. Variables capturing demand and weather patterns are used to drive the transition probabilities. Unlike traditional Markov-switching models that assume normality of the prices in each state, the model presented here uses a generalised beta distribution to allow for the skewness in the distribution of electricity prices during high-price episodes.

Facilitating unlearning during implementation of new technology

Purpose – One of the critical issues for change management, particularly in relation to the implementation of new technologies, is the existence of prior knowledge and established mental models which may hinder change efforts. Understanding unlearning and how it might assist during organizational change is a way to address this resistance. The purpose of this paper is to present research designed to identify specific factors that facilitate unlearning. Design/methodology/approach – Drawing together issues identified as potential influencers of unlearning, a survey questionnaire was developed and administered in an Australian corporation undergoing large-scale change due to the implementation of an enterprise information system. The results were analyzed to identify specific factors that impact on unlearning. Findings – Findings from this paper identify factors that hinder or help the unlearning process during times of change including understanding the need for change, the level of organizational support and training, assessment of the change, positive experience and informal support, the organization's history of change, individual's prior outlooks, and individuals' feelings and expectations. Research limitations/implications – The use of only one organization does not allow for comparisons between organizations of different sizes, cultures or industries and therefore extension of this research is recommended. Practical implications – For practitioners, this paper provides specific elements at both the level of individuals and the organization that need to be considered for optimal unlearning during times of change. Originality/value – Previous literature on unlearning has been predominantly conceptual and theoretical. These empirical findings serve to further an earlier model based on qualitative research into potential influencers of unlearning.

Excess deaths during the 2004 heatwave in Brisbane, Australia

The paper examines whether there was an excess of deaths and the relative role of temperature and ozone in a heatwave during 7–26 February 2004 in Brisbane, Australia, a subtropical city accustomed to warm weather. The data on daily counts of deaths from cardiovascular disease and non-external causes, meteorological conditions, and air pollution in Brisbane from 1 January 2001 to 31 October 2004 were supplied by the Australian Bureau of Statistics, Australian Bureau of Meteorology, and Queensland Environmental Protection Agency, respectively. The relationship between temperature and mortality was analysed using a Poisson time series regression model with smoothing splines to control for nonlinear effects of confounding factors. The highest temperature recorded in the 2004 heatwave was 42°C compared with the highest recorded temperature of 34°C during the same periods of 2001–2003. There was a significant relationship between exposure to heat and excess deaths in the 2004 heatwave estimated increase in non-external deaths: 75 [(95% confidence interval, CI: 11–138; cardiovascular deaths: 41 (95% CI: −2 to 84)]. There was no apparent evidence of substantial short-term mortality displacement. The excess deaths were mainly attributed to temperature but exposure to ozone also contributed to these deaths.

The transformation of banana with potential virus resistance genes

One approach to reducing the yield losses caused by banana viral diseases is the use of genetic engineering and pathogen-derived resistance strategies to generate resistant cultivars. The development of transgenic virus resistance requires an efficient banana transformation method, particularly for commercially important 'Cavendish' type cultivars such as 'Grand Nain'. Prior to this study, only two examples of the stable transformation of banana had been reported, both of which demonstrated the principle of transformation but did not characterise transgenic plants in terms of the efficiency at which individual transgenic lines were generated, relative activities of promoters in stably transformed plants, and the stability of transgene expression. The aim of this study was to develop more efficient transformation methods for banana, assess the activity of some commonly used and also novel promoters in stably transformed plants, and transform banana with genes that could potentially confer resistance to banana bunchy top nanovirus (BBTV) and banana bract mosaic potyvirus (BBrMV). A regeneration system using immature male flowers as the explant was established. The frequency of somatic embryogenesis in male flower explants was influenced by the season in which the inflorescences were harvested. Further, the media requirements of various banana cultivars in respect to the 2,4-D concentration in the initiation media also differed. Following the optimisation of these and other parameters, embryogenic cell suspensions of several banana (Musa spp.) cultivars including 'Grand Nain' (AAA), 'Williams' (AAA), 'SH-3362' (AA), 'Goldfinger' (AAAB) and 'Bluggoe' (ABB) were successfully generated. Highly efficient transformation methods were developed for both 'Bluggoe' and 'Grand Nain'; this is the first report of microprojectile bombardment transformation of the commercially important 'Grand Nain' cultivar. Following bombardment of embryogenic suspension cells, regeneration was monitored from single transfom1ed cells to whole plants using a reporter gene encoding the green fluorescent protein (gfp). Selection with kanamycin enabled the regeneration of a greater number of plants than with geneticin, while still preventing the regeneration of non-transformed plants. Southern hybridisation confirmed the neomycin phosphotransferase gene (npt II) was stably integrated into the banana genome and that multiple transgenic lines were derived from single bombardments. The activity, stability and tissue specificity of the cauliflower mosaic virus 358 (CaMV 35S) and maize polyubiquitin-1 (Ubi-1) promoters were examined. In stably transformed banana, the Ubi-1 promoter provided approximately six-fold higher p-glucuronidase (GUS) activity than the CaMV 35S promoter, and both promoters remained active in glasshouse grown plants for the six months they were observed. The intergenic regions ofBBTV DNA-I to -6 were isolated and fused to either the uidA (GUS) or gfjJ reporter genes to assess their promoter activities. BBTV promoter activity was detected in banana embryogenic cells using the gfp reporter gene. Promoters derived from BBTV DNA-4 and -5 generated the highest levels of transient activity, which were greater than that generated by the maize Ubi-1 promoter. In transgenic banana plants, the activity of the BBTV DNA-6 promoter (BT6.1) was restricted to the phloem of leaves and roots, stomata and root meristems. The activity of the BT6.1 promoter was enhanced by the inclusion of intron-containing fragments derived from the maize Ubi-1, rice Act-1, and sugarcane rbcS 5' untranslated regions in GUS reporter gene constructs. In transient assays in banana, the rice Act-1 and maize Ubi-1 introns provided the most significant enhancement, increasing expression levels 300-fold and 100-fold, respectively. The sugarcane rbcS intron increased expression about 10-fold. In stably transformed banana plants, the maize Ubi-1 intron enhanced BT6.1 promoter activity to levels similar to that of the CaMV 35S promoter, but did not appear to alter the tissue specificity of the promoter. Both 'Grand Nain' and 'Bluggoe' were transformed with constructs that could potentially confer resistance to BBTV and BBrMV, including constructs containing BBTV DNA-1 major and internal genes, BBTV DNA-5 gene, and the BBrMV coat protein-coding region all under the control of the Ubi-1 promoter, while the BT6 promoter was used to drive the npt II selectable marker gene. At least 30 transgenic lines containing each construct were identified and replicates of each line are currently being generated by micropropagation in preparation for virus challenge.

Signal authentication and integrity schemes for next generation global navigation satellite systems

This paper describes a number of techniques for GNSS navigation message authentication. A detailed analysis of the security facilitated by navigation message authentication is given. The analysis takes into consideration the risk of critical applications that rely on GPS including transportation, finance and telecommunication networks. We propose a number of cryptographic authentication schemes for navigation data authentication. These authentication schemes provide authenticity and integrity of the navigation data to the receiver. Through software simulation, the performance of the schemes is quantified. The use of software simulation enables the collection of authentication performance data of different data channels, and the impact of various schemes on the infrastructure and receiver. Navigation message authentication schemes have been simulated at the proposed data rates of Galileo and GPS services, for which the resulting performance data is presented. This paper concludes by making recommendations for optimal implementation of navigation message authentication for Galileo and next generation GPS systems.

Secure tracking for critical applications : communications, GPS and future Galileo services

Tracking/remote monitoring systems using GNSS are a proven method to enhance the safety and security of personnel and vehicles carrying precious or hazardous cargo. While GNSS tracking appears to mitigate some of these threats, if not adequately secured, it can be a double-edged sword allowing adversaries to obtain sensitive shipment and vehicle position data to better coordinate their attacks, and to provide a false sense of security to monitoring centers. Tracking systems must be designed with the ability to perform route-compliance and thwart attacks ranging from low-level attacks such as the cutting of antenna cables to medium and high-level attacks involving radio jamming and signal / data-level simulation, especially where the goods transported have a potentially high value to terrorists. This paper discusses the use of GNSS in critical tracking applications, addressing the mitigation of GNSS security issues, augmentation systems and communication systems in order to provide highly robust and survivable tracking systems.

Secure tracking using trusted GNSS receivers and Galileo authentication services

This paper describes a secure framework for tracking applications that use the Galileo signal authentication services. First a number of limitations that affect the trust of critical tracking applications, even in presence of authenticated GNSS signals, are detailed. Requirements for secure tracking are then introduced; detailing how the integrity characteristics of the Galileo authentication could enhance the security of active tracking applications. This paper concludes with a discussion of our existing tracking technology using a Siemens TC45 GSM/GPRS module and future development utilizing our previously proposed trusted GNSS receiver.

Requirements for enhancing trust, security and integrity of GNSS location services

The paper describes a number of requirements for enhancing the trust of location acquisition from Satellite Navigation Systems, particularly for those applications where the location is monitored through a remote GNSS receiver. We discuss how the trust of a location acquisition could be propagated to an application through the use of a proposed tamper-­resistant GNSS receiver which quantifies the trust of a location solution from the signaling used (ie. P(Y) code, Galileo SOL, PRS, CS) and provides a cryptographic proof of this to a remote application. The tamper­-resistance state of the receiver is also included in this cryptographic proof.

Selection-adaption-retention dynamics and variety in organisational routines

The notion of routines as mechanisms for achieving stability and change in organisations is well established in the organisational theory literature (Becker, 2004). However the relationship between the dynamics of selection, adaptation and retention and the increase or decrease in the varieties of routines which are the result of these processes, is not as well established theoretically or empirically. This paper investigates the processes associated with the evolution of an inter-organisational routine over time. The paper contributes to theory by advancing a conceptual clarification between the dynamics of organisational routines which produce variation, and the varieties of routines which are generated as a result of such processes; and an explanation for the relationship between selection, adaptation and retention dynamics and the creation of variety. The research is supported by analysis of empirical data pertaining to the procurement of engineering assets in a large asset intensive organisation.

Profiling HRM in innovative firms

Effective people management is essential to successful innovation, however no single human resource function or practice can facilitate the development of innovation capacity in an organization. Several studies have argued that different bundles or configurations of human resource practices can improve innovation performance, but there is little empirically based research that provides details of the practices utilized by different types of innovative firms. In this exploratory, qualitative study of innovative Danish firms we examine the profiles of human resource practices evident in a sample of firms recognized for their innovative performance. In examining these profiles, we analyze how characteristics of the organizations, namely their size and the nature of industry specific core capabilities, influence the human resource practices used to support innovation. Our initial findings indicate that in this sample of firms size is not a factor but knowledge-intensive firms have notably different profiles of human resource practices to technology-based firms.

A Taxonomy of image matching techniques for stereo vision

Stereo vision is a method of depth perception, in which depth information is inferred from two (or more) images of a scene, taken from different perspectives. Applications of stereo vision include aerial photogrammetry, autonomous vehicle guidance, robotics, industrial automation and stereomicroscopy. A key issue in stereo vision is that of image matching, or identifying corresponding points in a stereo pair. The difference in the positions of corresponding points in image coordinates is termed the parallax or disparity. When the orientation of the two cameras is known, corresponding points may be projected back to find the location of the original object point in world coordinates. Matching techniques are typically categorised according to the nature of the matching primitives they use and the matching strategy they employ. This report provides a detailed taxonomy of image matching techniques, including area based, transform based, feature based, phase based, hybrid, relaxation based, dynamic programming and object space methods. A number of area based matching metrics as well as the rank and census transforms were implemented, in order to investigate their suitability for a real-time stereo sensor for mining automation applications. The requirements of this sensor were speed, robustness, and the ability to produce a dense depth map. The Sum of Absolute Differences matching metric was the least computationally expensive; however, this metric was the most sensitive to radiometric distortion. Metrics such as the Zero Mean Sum of Absolute Differences and Normalised Cross Correlation were the most robust to this type of distortion but introduced additional computational complexity. The rank and census transforms were found to be robust to radiometric distortion, in addition to having low computational complexity. They are therefore prime candidates for a matching algorithm for a stereo sensor for real-time mining applications. A number of issues came to light during this investigation which may merit further work. These include devising a means to evaluate and compare disparity results of different matching algorithms, and finding a method of assigning a level of confidence to a match. Another issue of interest is the possibility of statistically combining the results of different matching algorithms, in order to improve robustness.

Factors affecting somatic embryogenesis and transformation in modern plant breeding

Somatic embryogenesis and transformation systems are indispensable modern plant breeding components since they provide an alternative platform to develop control strategies against the plethora of pests and diseases affecting many agronomic crops. This review discusses some of the factors affecting somatic embryogenesis and transformation, highlights the advantages and limitations of these systems and explores these systems as breeding tools for the development of crops with improved agronomic traits. The regeneration of non-chimeric transgenic crops through somatic embryogenesis with introduced disease and pest-resistant genes for instance, would be of significant benefit to growers worldwide.