The relationship between implied and realized volatility : evidence from the Australian stock index option market

This paper examines the relationship between the volatility implied in option prices and the subsequently realized volatility by using the S&P/ASX 200 index options (XJO) traded on the Australian Stock Exchange (ASX) during a period of 5 years. Unlike stock index options such as the S&P 100 index options in the US market, the S&P/ASX 200 index options are traded infrequently and in low volumes, and have a long maturity cycle. Thus an errors-in-variables problem for measurement of implied volatility is more likely to exist. After accounting for this problem by instrumental variable method, it is found that both call and put implied volatilities are superior to historical volatility in forecasting future realized volatility. Moreover, implied call volatility is nearly an unbiased forecast of future volatility.

Extending the dynamic range of robotic vision

Conventional cameras have limited dynamic range, and as a result vision-based robots cannot effectively view an environment made up of both sunny outdoor areas and darker indoor areas. This paper presents an approach to extend the effective dynamic range of a camera, achieved by changing the exposure level of the camera in real-time to form a sequence of images which collectively cover a wide range of radiance. Individual control algorithms for each image have been developed to maximize the viewable area across the sequence. Spatial discrepancies between images, caused by the moving robot, are improved by a real-time image registration process. The sequence is then combined by merging color and contour information. By integrating these techniques it becomes possible to operate a vision-based robot in wide radiance range scenes.

High dynamic range stereo vision for outdoor mobile robotics

We present a technique for high-dynamic range stereo for outdoor mobile robot applications. Stereo pairs are captured at a number of different exposures (exposure bracketing), and combined by projecting the 3D points into a common coordinate frame, and building a 3D occupancy map. We present experimental results for static scenes with constant and dynamic lighting as well as outdoor operation with variable and high contrast lighting conditions.

Further results with localization and mapping using range from radio

In this paper, we present recent results with using range from radio for mobile robot localization. In previous work we have shown how range readings from radio tags placed in the environment can be used to localize a robot. We have extended previous work to consider robustness. Specifically, we are interested in the case where range readings are very noisy and available intermittently. Also, we consider the case where the location of the radio tags is not known at all ahead of time and must be solved for simultaneously along with the position of the moving robot. We present results from a mobile robot that is equipped with GPS for ground truth, operating over several km.

Adaptive instantaneous frequency estimation: Techniques and algorithms

This thesis deals with the problem of the instantaneous frequency (IF) estimation of sinusoidal signals. This topic plays significant role in signal processing and communications. Depending on the type of the signal, two major approaches are considered. For IF estimation of single-tone or digitally-modulated sinusoidal signals (like frequency shift keying signals) the approach of digital phase-locked loops (DPLLs) is considered, and this is Part-I of this thesis. For FM signals the approach of time-frequency analysis is considered, and this is Part-II of the thesis. In part-I we have utilized sinusoidal DPLLs with non-uniform sampling scheme as this type is widely used in communication systems. The digital tanlock loop (DTL) has introduced significant advantages over other existing DPLLs. In the last 10 years many efforts have been made to improve DTL performance. However, this loop and all of its modifications utilizes Hilbert transformer (HT) to produce a signal-independent 90-degree phase-shifted version of the input signal. Hilbert transformer can be realized approximately using a finite impulse response (FIR) digital filter. This realization introduces further complexity in the loop in addition to approximations and frequency limitations on the input signal. We have tried to avoid practical difficulties associated with the conventional tanlock scheme while keeping its advantages. A time-delay is utilized in the tanlock scheme of DTL to produce a signal-dependent phase shift. This gave rise to the time-delay digital tanlock loop (TDTL). Fixed point theorems are used to analyze the behavior of the new loop. As such TDTL combines the two major approaches in DPLLs: the non-linear approach of sinusoidal DPLL based on fixed point analysis, and the linear tanlock approach based on the arctan phase detection. TDTL preserves the main advantages of the DTL despite its reduced structure. An application of TDTL in FSK demodulation is also considered. This idea of replacing HT by a time-delay may be of interest in other signal processing systems. Hence we have analyzed and compared the behaviors of the HT and the time-delay in the presence of additive Gaussian noise. Based on the above analysis, the behavior of the first and second-order TDTLs has been analyzed in additive Gaussian noise. Since DPLLs need time for locking, they are normally not efficient in tracking the continuously changing frequencies of non-stationary signals, i.e. signals with time-varying spectra. Nonstationary signals are of importance in synthetic and real life applications. An example is the frequency-modulated (FM) signals widely used in communication systems. Part-II of this thesis is dedicated for the IF estimation of non-stationary signals. For such signals the classical spectral techniques break down, due to the time-varying nature of their spectra, and more advanced techniques should be utilized. For the purpose of instantaneous frequency estimation of non-stationary signals there are two major approaches: parametric and non-parametric. We chose the non-parametric approach which is based on time-frequency analysis. This approach is computationally less expensive and more effective in dealing with multicomponent signals, which are the main aim of this part of the thesis. A time-frequency distribution (TFD) of a signal is a two-dimensional transformation of the signal to the time-frequency domain. Multicomponent signals can be identified by multiple energy peaks in the time-frequency domain. Many real life and synthetic signals are of multicomponent nature and there is little in the literature concerning IF estimation of such signals. This is why we have concentrated on multicomponent signals in Part-H. An adaptive algorithm for IF estimation using the quadratic time-frequency distributions has been analyzed. A class of time-frequency distributions that are more suitable for this purpose has been proposed. The kernels of this class are time-only or one-dimensional, rather than the time-lag (two-dimensional) kernels. Hence this class has been named as the T -class. If the parameters of these TFDs are properly chosen, they are more efficient than the existing fixed-kernel TFDs in terms of resolution (energy concentration around the IF) and artifacts reduction. The T-distributions has been used in the IF adaptive algorithm and proved to be efficient in tracking rapidly changing frequencies. They also enables direct amplitude estimation for the components of a multicomponent

Obstacle-free range determination for rail track maintenance vehicles

Maintenance trains travel in convoy. In Australia, only the first train of the convoy pays attention to the track sig- nalization (the other convoy vehicles simply follow the preceding vehicle). Because of human errors, collisions can happen between the maintenance vehicles. Although an anti-collision system based on a laser distance meter is already in operation, the existing system has a limited range due to the curvature of the tracks. In this paper, we introduce an anti-collision system based on vision. The two main ideas are, (1) to warp the camera image into an image where the rails are parallel through a projective transform, and (2) to track the two rail curves simultaneously by evaluating small parallel segments. The performance of the system is demonstrated on an image dataset.

A comparative study of the effect of calibration conditions on the water equivalence of a range of gel dosimeters

Gel dosimeters are of increasing interest in the field of radiation oncology as the only truly three-dimensional integrating radiation dosimeter. There are a range of ferrous-sulphate and polymer gel dosimeters. To be of use, they must be water-equivalent. On their own, this relates to their radiological properties as determined by their composition. In the context of calibration of gel dosimeters, there is the added complexity of the calibration geometry; the presence of containment vessels may influence the dose absorbed. Five such methods of calibration are modelled here using the Monte Carlo method. It is found that the Fricke gel best matches water for most of the calibration methods, and that the best calibration method involves the use of a large tub into which multiple fields of different dose are directed. The least accurate calibration method involves the use of a long test tube along which a depth dose curve yields multiple calibration points.

A comparative study of the effect of calibration conditions on the water equivalence of a range of gel dosimeters

Gel dosimeters are of increasing interest in the field of radiation oncology as the only truly three-dimensional integrating radiation dosimeter. There are a range of ferrous-sulphate and polymer gel dosimeters. To be of use, they must be water-equivalent. On their own, this relates to their radiological properties as determined by their composition. In the context of calibration of gel dosimeters, there is the added complexity of the calibration geometry; the presence of containment vessels may influence the dose absorbed. Five such methods of calibration are modelled here using the Monte Carlo method. It is found that the Fricke gel best matches water for most of the calibration methods, and that the best calibration method involves the use of a large tub into which multiple fields of different dose are directed. The least accurate calibration method involves the use of a long test tube along which a depth dose curve yields multiple calibration points.

The potential to mitigate global warming with no-tillage management is only realized when practised in the long term

No-tillage (NT) management has been promoted as a practice capable of offsetting greenhouse gas (GHG) emissions because of its ability to sequester carbon in soils. However, true mitigation is only possible if the overall impact of NT adoption reduces the net global warming potential (GWP) determined by fluxes of the three major biogenic GHGs (i.e. CO2, N2O, and CH4). We compiled all available data of soil-derived GHG emission comparisons between conventional tilled (CT) and NT systems for humid and dry temperate climates. Newly converted NT systems increase GWP relative to CT practices, in both humid and dry climate regimes, and longer-term adoption (>10 years) only significantly reduces GWP in humid climates. Mean cumulative GWP over a 20-year period is also reduced under continuous NT in dry areas, but with a high degree of uncertainty. Emissions of N2O drive much of the trend in net GWP, suggesting improved nitrogen management is essential to realize the full benefit from carbon storage in the soil for purposes of global warming mitigation. Our results indicate a strong time dependency in the GHG mitigation potential of NT agriculture, demonstrating that GHG mitigation by adoption of NT is much more variable and complex than previously considered, and policy plans to reduce global warming through this land management practice need further scrutiny to ensure success.

Broad Bean Mottle Virus: Identification, Serology, Host Range, and Occurrence on Faba Bean (Vicia Faba) in West Asia and Norm Africa

One of the faba bean viruses found in West Asia and North Africa was identified as broad bean mottle virus (BBMV) by host reactions, particle morphology and size, serology, and granular, often vesiculated cytoplasmic inclusions. Detailed research on four isolates, one each from Morocco, Tunisia, Sudan and Syria, provided new information on the virus. The isolates, though indistinguishable in ELISA or gel-diffusion tests, differed slightly in host range and symptoms. Twenty-one species (12 legumes and 9 non-legumes) out of 27 tested were systemically infected, and 14 of these by all four isolates. Infection in several species was symptomless, but major legumes such as chickpea, lentil and especially pea, suffered severely from infection. All 23 genotypes of faba bean, 2 of chickpea, 4 of lentil, 11 out of 21 of Phaseolus bean, and 16 out of 17 of pea were systemically sensitive to the virus. Twelve plant species were found to be new potential hosts and cucumber a new local-lesion test plant of the virus. BBMV particles occurred in faba bean plants in very high concentrations and seed transmission in this species (1.37%) was confirmed. An isolate from Syria was purified and two antisera were produced, one of which was used in ELISA to detect BBMV in faba bean field samples. Two hundred and three out of the 789 samples with symptoms suggestive of virus infection collected in 1985, 1986 and 1987, were found infected with BBMV: 4 out of 70 (4/70) tested samples from Egypt, 0/44 from Lebanon, 1/15 from Morocco, 46/254 from Sudan, 72/269 from Syria and 80/137 from Tunisia. This is the first report on its occurrence in Egypt, Syria and Tunisia. The virus is a potential threat to crop improvement in the region.

Range sensor pose estimation

This paper presents a method of recovering the 6 DoF pose (Cartesian position and angular rotation) of a range sensor mounted on a mobile platform. The method utilises point targets in a local scene and optimises over the error between their absolute position and their apparent position as observed by the range sensor. The analysis includes an investigation into the sensitivity and robustness of the method. Practical results were collected using a SICK LRS2100 mounted on a P&H electric mining shovel and present the errors in scan data relative to an independent 3D scan of the scene. A comparison to directly measuring the sensor pose is presented and shows the significant accuracy improvements in scene reconstruction using this pose estimation method.

Secure data aggregation in wireless sensor networks

A Wireless Sensor Network (WSN) is a set of sensors that are integrated with a physical environment. These sensors are small in size, and capable of sensing physical phenomena and processing them. They communicate in a multihop manner, due to a short radio range, to form an Ad Hoc network capable of reporting network activities to a data collection sink. Recent advances in WSNs have led to several new promising applications, including habitat monitoring, military target tracking, natural disaster relief, and health monitoring. The current version of sensor node, such as MICA2, uses a 16 bit, 8 MHz Texas Instruments MSP430 micro-controller with only 10 KB RAM, 128 KB program space, 512 KB external ash memory to store measurement data, and is powered by two AA batteries. Due to these unique specifications and a lack of tamper-resistant hardware, devising security protocols for WSNs is complex. Previous studies show that data transmission consumes much more energy than computation. Data aggregation can greatly help to reduce this consumption by eliminating redundant data. However, aggregators are under the threat of various types of attacks. Among them, node compromise is usually considered as one of the most challenging for the security of WSNs. In a node compromise attack, an adversary physically tampers with a node in order to extract the cryptographic secrets. This attack can be very harmful depending on the security architecture of the network. For example, when an aggregator node is compromised, it is easy for the adversary to change the aggregation result and inject false data into the WSN. The contributions of this thesis to the area of secure data aggregation are manifold. We firstly define the security for data aggregation in WSNs. In contrast with existing secure data aggregation definitions, the proposed definition covers the unique characteristics that WSNs have. Secondly, we analyze the relationship between security services and adversarial models considered in existing secure data aggregation in order to provide a general framework of required security services. Thirdly, we analyze existing cryptographic-based and reputationbased secure data aggregation schemes. This analysis covers security services provided by these schemes and their robustness against attacks. Fourthly, we propose a robust reputationbased secure data aggregation scheme for WSNs. This scheme minimizes the use of heavy cryptographic mechanisms. The security advantages provided by this scheme are realized by integrating aggregation functionalities with: (i) a reputation system, (ii) an estimation theory, and (iii) a change detection mechanism. We have shown that this addition helps defend against most of the security attacks discussed in this thesis, including the On-Off attack. Finally, we propose a secure key management scheme in order to distribute essential pairwise and group keys among the sensor nodes. The design idea of the proposed scheme is the combination between Lamport's reverse hash chain as well as the usual hash chain to provide both past and future key secrecy. The proposal avoids the delivery of the whole value of a new group key for group key update; instead only the half of the value is transmitted from the network manager to the sensor nodes. This way, the compromise of a pairwise key alone does not lead to the compromise of the group key. The new pairwise key in our scheme is determined by Diffie-Hellman based key agreement.