Essays on volatility and liquidity in financial markets

The price formation of financial assets is a complex process. It extends beyond the standard economic paradigm of supply and demand to the understanding of the dynamic behavior of price variability, the price impact of information, and the implications of trading behavior of market participants on prices. In this thesis, I study aggregate market and individual assets volatility, liquidity dimensions, and causes of mispricing for US equities over a recent sample period. How volatility forecasts are modeled, what determines intradaily jumps and causes changes in intradaily volatility and what drives the premium of traded equity indexes? Are they induced, for example, by the information content of lagged volatility and return parameters or by macroeconomic news, changes in liquidity and volatility? Besides satisfying our intellectual curiosity, answers to these questions are of direct importance to investors developing trading strategies, policy makers evaluating macroeconomic policies and to arbitrageurs exploiting mispricing in exchange-traded funds. Results show that the leverage effect and lagged absolute returns improve forecasts of continuous components of daily realized volatility as well as jumps. Implied volatility does not subsume the information content of lagged returns in forecasting realized volatility and its components. The reported results are linked to the heterogeneous market hypothesis and demonstrate the validity of extending the hypothesis to returns. Depth shocks, signed order flow, the number of trades, and resiliency are the most important determinants of intradaily volatility. In contrast, spread shock and resiliency are predictive of signed intradaily jumps. There are fewer macroeconomic news announcement surprises that cause extreme price movements or jumps than those that elevate intradaily volatility. Finally, the premium of exchange-traded funds is significantly associated with momentum in net asset value and a number of liquidity parameters including the spread, traded volume, and illiquidity. The mispricing of industry exchange traded funds suggest that limits to arbitrage are driven by potential illiquidity.

Calibration of the electron volt spectrometer, a deep inelastic neutron scattering spectrometer at the ISIS pulsed neutron spallation source

The electron Volt Spectrometer (eVS) is an inverse geometry filter difference spectrometer that has been optimised to measure the single atom properties of condensed matter systems using a technique known as Neutron Compton Scattering (NCS) or Deep Inelastic Neutron Scattering (DINS). The spectrometer utilises the high flux of epithermal neutrons that are produced by the ISIS neutron spallation source enabling the direct measurement of atomic momentum distributions and ground state kinetic energies. In this paper the procedure that is used to calibrate the spectrometer is described. This includes details of the method used to determine detector positions and neutron flight path lengths as well as the determination of the instrument resolution. Examples of measurements on 3 different samples are shown, ZrH2, 4He and Sn which show the self-consistency of the calibration procedure.

Sharia-compliant financing in Indonesia infrastructure projects

As the adoption of project financing is gaining momentum, there is a concurrent need of innovation in project financing scheme in order to accelerate infrastructure assets provision in Indonesia. As the largest Muslim population in the world, sharia-compliant financing offers tremendous potential as a source for infrastructure financing for Indonesia. To realize this potential, there is a need of a framework to guide its adoption. Hence this paper discusses the potential implementation of Islamic finance to fund infrastructure projects in Indonesia. Through comparative analysis, this paper illustrates how Islamic principles can be incorporated into Indonesian infrastructure project financing.

Improving ecological performance of industrialized building systems in Malaysia

For construction stakeholders to fully embrace sustainability, its long-term benefits and associated risks need to be identified through holistic approaches. Consensus among key stakeholders is very important to the improvement of the ecological performance of industrialized building systems (IBS), a building construction method gaining momentum in Malaysia. A questionnaire survey examines the relative significance of 16 potentially important sustainability factors for IBS applications. To present possible solutions,semi-structured interviews solicit views from experienced IBS practitioners, representing the professions involved. Three most critical factors agreed by key stakeholders are material consumption, waste generation and waste disposal. Using SWOT analysis, the positive and negative aspects of these factors are investigated, with action plans formulated for IBS design practitioners. The SWOT analysis based guidelines have the potential to become part of IBS design briefing documents against which sustainability solutions are contemplated, selected and implemented. Existing knowledge on ecological performance issues is extended by considering the unique characteristics of IBS and identifying not only the benefits, but also the potential risks and challenges of pursuing sustainability. This is largely missing in previous research efforts. Findings to date focus on providing much-needed assistance to IBS designers, who are at the forefront of decision-making with a significant level of project influence. Ongoing work will be directed towards other project development phases and consider the inherent linkage between design decisions and subsequent sustainability deliverables in the project life cycle.

On structural considerations for governing the cloud

In this research, we suggest appropriate information technology (IT) governance structures to manage the cloud computing resources. The interest in acquiring IT resources a utility is gaining momentum. Cloud computing resources present organizations with opportunities to manage their IT expenditure on an ongoing basis, and are providing organizations access to modern IT resources to innovate and manage their continuity. However, cloud computing resources are no silver bullet. Organizations would need to have appropriate governance structures and policies in place to ensure its effective management and fit into existing business processes to leverage the promised opportunities. Using a mixed method design, we identified four possible governance structures for managing the cloud computing resources. These structures are a chief cloud officer, a cloud management committee, a cloud service facilitation centre, and a cloud relationship centre. These governance structures ensure appropriate direction of cloud computing resources from its acquisition to fit into the organizations business processes.

On governance structures for cloud resources and assessing their effectiveness

This research suggests information technology (IT) governance structures to manage cloud computing resources. The interest in acquiring IT resources as a utility from the cloud is gaining momentum. Cloud computing resources present organizations with opportunities to manage their IT expenditure on an ongoing basis, and are providing organizations access to modern IT resources to innovate and manage their continuity. However, cloud computing resources are no silver bullet. Organizations would need to have appropriate governance structures and policies in place to manage the cloud resources. The subsequent decisions from these governance structures will ensure effective management of cloud resources. This management will facilitate a better fit of cloud resources into organizations existing processes to achieve business (process-level) and financial (firm-level) objectives. Using a triangulation approach, we suggest four possible governance structures for managing the cloud computing resources. These structures are a chief cloud officer, a cloud management committee, a cloud service facilitation centre, and a cloud relationship centre. We also propose that these governance structures would relate to organizations cloud-related business objectives directly and indirectly to cloud-related financial objectives. Perceptive field survey data from actual and prospective cloud service adopters confirmed that the suggested structures would contribute directly to cloud-related business objectives and indirectly to cloud-related financial objectives.

An examination of learning design in elite springboard diving

The overarching aim of this programme of work was to evaluate the effectiveness of the existing learning environment within the Australian Institute of Sport (AIS) elite springboard diving programme. Unique to the current research programme, is the application of ideas from an established theory of motor learning, specifically ecological dynamics, to an applied high performance training environment. In this research programme springboard diving is examined as a complex system, where individual, task, and environmental constraints are continually interacting to shape performance. As a consequence, this thesis presents some necessary and unique insights into representative learning design and movement adaptations in a sample of elite athletes. The questions examined in this programme of work relate to how best to structure practice, which is central to developing an effective learning environment in a high performance setting. Specifically, the series of studies reported in the chapters of this doctoral thesis: (i) provide evidence for the importance of designing representative practice tasks in training; (ii) establish that completed and baulked (prematurely terminated) take-offs are not different enough to justify the abortion of a planned dive; and (iii), confirm that elite athletes performing complex skills are able to adapt their movement patterns to achieve consistent performance outcomes from variable dive take-off conditions. Chapters One and Two of the thesis provide an overview of the theoretical ideas framing the programme of work, and include a review of literature pertinent to the research aims and subsequent empirical chapters. Chapter Three examined the representativeness of take-off tasks completed in the two AIS diving training facilities routinely used in springboard diving. Results highlighted differences in the preparatory phase of reverse dive take-offs completed by elite divers during normal training tasks in the dry-land and aquatic training environments. The most noticeable differences in dive take-off between environments began during the hurdle (step, jump, height and flight) where the diver generates the necessary momentum to complete the dive. Consequently, greater step lengths, jump heights and flight times, resulted in greater board depression prior to take-off in the aquatic environment where the dives required greater amounts of rotation. The differences observed between the preparatory phases of reverse dive take-offs completed in the dry-land and aquatic training environments are arguably a consequence of the constraints of the training environment. Specifically, differences in the environmental information available to the athletes, and the need to alter the landing (feet first vs. wrist first landing) from the take-off, resulted in a decoupling of important perception and action information and a decomposition of the dive take-off task. In attempting to only practise high quality dives, many athletes have followed a traditional motor learning approach (Schmidt, 1975) and tried to eliminate take-off variations during training. Chapter Four examined whether observable differences existed between the movement kinematics of elite divers in the preparation phases of baulked (prematurely terminated) and completed take-offs that might justify this approach to training. Qualitative and quantitative analyses of variability within conditions revealed greater consistency and less variability when dives were completed, and greater variability amongst baulked take-offs for all participants. Based on these findings, it is probable that athletes choose to abort a planned take-off when they detect small variations from the movement patterns (e.g., step lengths, jump height, springboard depression) of highly practiced comfortable dives. However, with no major differences in coordination patterns (topology of the angle-angle plots), and the potential for negative performance outcomes in competition, there appears to be no training advantage in baulking on unsatisfactory take-offs during training, except when a threat of injury is perceived by the athlete. Instead, it was considered that enhancing the athletes' movement adaptability would be a more functional motor learning strategy. In Chapter Five, a twelve-week training programme was conducted to determine whether a sample of elite divers were able to adapt their movement patterns and complete dives successfully, regardless of the perceived quality of their preparatory movements on the springboard. The data indeed suggested that elite divers were able to adapt their movements during the preparatory phase of the take-off and complete good quality dives under more varied take-off conditions; displaying greater consistency and stability in the key performance outcome (dive entry). These findings are in line with previous research findings from other sports (e.g., shooting, triple jump and basketball) and demonstrate how functional or compensatory movement variability can afford greater flexibility in task execution. By previously only practising dives with good quality take-offs, it can be argued that divers only developed strong couplings between information and movement under very specific performance circumstances. As a result, this sample was sometimes characterised by poor performance in competition when the athletes experienced a suboptimal take-off. Throughout this training programme, where divers were encouraged to minimise baulking and attempt to complete every dive, they demonstrated that it was possible to strengthen the information and movement coupling in a variety of performance circumstances, widening of the basin of performance solutions and providing alternative couplings to solve a performance problem even when the take-off was not ideal. The results of this programme of research provide theoretical and experimental implications for understanding representative learning design and movement pattern variability in applied sports science research. Theoretically, this PhD programme contributes empirical evidence to demonstrate the importance of representative design in the training environments of high performance sports programmes. Specifically, this thesis advocates for the design of learning environments that effectively capture and enhance functional and flexible movement responses representative of performance contexts. Further, data from this thesis showed that elite athletes performing complex tasks were able to adapt their movements in the preparatory phase and complete good quality dives under more varied take-off conditions. This finding signals some significant practical implications for athletes, coaches and sports scientists. As such, it is recommended that care should be taken by coaches when designing practice tasks since the clear implication is that athletes need to practice adapting movement patterns during ongoing regulation of multi-articular coordination tasks. For example, volleyball servers can adapt to small variations in the ball toss phase, long jumpers can visually regulate gait as they prepare for the take-off, and springboard divers need to continue to practice adapting their take-off from the hurdle step. In summary, the studies of this programme of work have confirmed that the task constraints of training environments in elite sport performance programmes need to provide a faithful simulation of a competitive performance environment in order that performance outcomes may be stabilised with practice. Further, it is apparent that training environments can be enhanced by ensuring the representative design of task constraints, which have high action fidelity with the performance context. Ultimately, this study recommends that the traditional coaching adage 'perfect practice makes perfect", be reconsidered; instead advocating that practice should be, as Bernstein (1967) suggested, "repetition without repetition".

Princess Alexandra Hospital model of comprehensive geriatric assessment of cancer patients : methodological and logistical aspects

There is increasing momentum in cancer care to implement a two stage assessment process that accurately determines the ability of older patients to cope with, and benefit from, chemotherapy. The two-step approach aims to ensure that patients clearly fit for chemotherapy can be accurately identified and referred for treatment without undergoing a time- and resource-intensive comprehensive geriatric assessment (CGA). Ideally, this process removes the uncertainty of how to classify and then appropriately treat the older cancer patient. After trialling a two-stage screen and CGA process in the Division of Cancer Services at Princess Alexandra Hospital (PAH) in 2011-2012, we implemented a model of oncogeriatric care based on our findings. In this paper, we explore the methodological and practical aspects of implementing the PAH model and outline further work needed to refine the process in our treatment context.

A recommendation approach dealing with multiple market segments

A new community and communication type of social networks - online dating - are gaining momentum. With many people joining in the dating network, users become overwhelmed by choices for an ideal partner. A solution to this problem is providing users with partners recommendation based on their interests and activities. Traditional recommendation methods ignore the users’ needs and provide recommendations equally to all users. In this paper, we propose a recommendation approach that employs different recommendation strategies to different groups of members. A segmentation method using the Gaussian Mixture Model (GMM) is proposed to customize users’ needs. Then a targeted recommendation strategy is applied to each identified segment. Empirical results show that the proposed approach outperforms several existing recommendation methods.

Is your IT Green?

The enabling role of Information technology (IT) makes it a critical resource to invest in to achieve higher economic growth. Consequently, the pervasive use of IT amongst organizations in developing countries is gaining rapid momentum. Today, IT is no longer a support tool; it is a strategic asset that fosters sustainable competitive advantage and a driver for improved business performance. At the national level, the effective use of IT drives economic performance and social transformation. This makes IT resources a revolutionizing mechanism that is capable of bringing efficiency to all levels of the economy. But, evolution in IT is occuring at a very rapid pace. Despite the many opportunities that arise from these new developments, there is a growing concern that such rapid innovations can be detrimental to the environment. This situation puts a critical question on the table – Is Your IT Green?

Climate change and financial regulation : challenges for the financial sector post the Global Financial Crisis

Regulation has played a significant role in shaping the financial services sector in Australia over the past few decades. Regulatory changes have included the establishment of the Australian Prudential Regulation Authority (APRA), floating the Australian dollar, allowing foreign financial institutions to operate domestically, the introduction of the superannuation guarantee charge, and the removal of interest rate controls. As the economy emerges from the worst financial crisis since the great depression, a new force of change that is recognised as one of the most significant sources of risk and opportunity facing the business community in the foreseeable future is that of climate change. Climate change is expected to be a significant change agent in the financial services sector as extreme weather patterns, sea level rises, and atmospheric changes impact on asset values (both investment and lending), project finance, and risk products. The financial services industry will be particularly affected by these developments, both as a provider of financial products (capital, credit, investment, advice, and insurance), and also through its powerful influence on the economy in terms of capital allocation. In addition, industry constituents will be heavily impacted by government regulation in this area (reporting, emissions trading and environmental policies), with respect to their own business practices and also those of their clients. This study reports the results of interviews conducted with senior members of the finance sector working in the sustainability area to gauge their perceptions of the challenges facing the sector with respect to climate change. Our results confirm that that regulatory intervention will be critical to climate change response gaining traction and momentum. In particular, regulatory certainty will promote engagement, particularly in relation to the Carbon Pollution Reduction Scheme (CPRS), with other developments needed in terms of information disclosure, performance and remuneration, and incentive programs. Accordingly, the significant potential risks and opportunities that climate change presents to the sector, and the broader economy, will in part be managed/realised only if a swift and significant regulatory response is achieved.

Power buffer with model predictive control for stability of vehicular power systems with constant power loads

Electrification of vehicular systems has gained increased momentum in recent years with particular attention to constant power loads (CPLs). Since a CPL potentially threatens system stability, stability analysis of hybrid electric vehicle with CPLs becomes necessary. A new power buffer configuration with battery is introduced to mitigate the effect of instability caused by CPLs. Model predictive control (MPC) is applied to regulate the power buffer to decouple source and load dynamics. Moreover, MPC provides an optimal tradeoff between modification of load impedance, variation of dc-link voltage and battery current ripples. This is particularly important during transients or starting of system faults, since battery response is not very fast. Optimal tradeoff becomes even more significant when considering low-cost power buffer without battery. This paper analyzes system models for both voltage swell and voltage dip faults. Furthermore, a dual mode MPC algorithm is implemented in real time offering improved stability. A comprehensive set of experimental results is included to verify the efficacy of the proposed power buffer.

The QUT innovation space : a trans-disciplinary learning environment for entrepreneurship education : final report

In the current climate of global economic volatility, there are increasing calls for training in enterprising skills and entrepreneurship to underpin the systemic innovation required for even medium-term business sustainability. The skills long-recognised as the essential for entrepreneurship now appear on the list of employability skills demanded by industry. The QUT Innovation Space (QIS) was an experiment aimed at delivering entrepreneurship education (EE), as an extra-curricular platform across the university, to the undergraduate students of an Australian higher education institute. It was an ambitious project that built on overseas models of EE studied during an Australian Learning and Teaching Council (ALTC) Teaching Fellowship (Collet, 2011) and implemented those approaches across an institute. Such EE approaches have not been attempted in an Australian university. The project tested resonance not only with the student population, from the perspective of what worked and what didn’t work, but also with every level of university operations. Such information is needed to inform the development of EE in the Australian university landscape. The QIS comprised a physical co-working space, virtual sites (web, Twitter and Facebook) and a network of entrepreneurial mentors, colleagues, and students. All facets of the QIS enabled connection between like-minded individuals that underpins the momentum needed for a project of this nature. The QIS became an innovation community within QUT. This report serves two purposes. First, as an account of the QIS project and its evolution, the report serves to identify the student demand for skills and training as well as barriers and facilitators of the activities that promote EE in an Australian university context. Second, the report serves as a how-to manual, in the tradition of many tomes on EE, outlining the QIS activities that worked as well as those that failed. The activities represent one measure of QIS outcomes and are described herein to facilitate implementation in other institutes. The QIS initially aimed to adopt an incubation model for training in EE. The ‘learning by doing’ model for new venture creation is a highly successful and high profile training approach commonly found in overseas contexts. However, the greatest demand of the QUT student population was not for incubation and progression of a developed entrepreneurial intent, but rather for training that instilled enterprising skills in the individual. These two scenarios require different training approaches (Fayolle and Gailly, 2008). The activities of the QIS evolved to meet that student demand. In addressing enterprising skills, the QIS developed the antecedents of entrepreneurialism (i.e., entrepreneurial attitudes, motivation and behaviours) including high-level skills around risk-taking, effective communication, opportunity recognition and action-orientation. In focusing on the would-be entrepreneur and not on the (initial) idea per se, the QIS also fostered entrepreneurial outcomes that would never have gained entry to the rigid stage-gated incubation model proposed for the original QIS framework. Important lessons learned from the project for development of an innovation community include the need to: 1. Evaluate the context of the type of EE program to be delivered and the student demand for the skills training (as noted above). 2. Create a community that builds on three dimensions: a physical space, a virtual environment and a network of mentors and partners. 3. Supplement the community with external partnerships that aid in delivery of skills training materials. 4. Ensure discovery of the community through the use of external IT services to deliver advertising and networking outlets. 5. Manage unrealistic student expectations of billion dollar products. 6. Continuously renew and rebuild simple activities to maintain student engagement. 7. Accommodate the non-university end-user group within the community. 8. Recognise and address the skills bottlenecks that serve as barriers to concept progression; in this case, externally provided IT and programming skills. 9. Use available on-line and published resources rather than engage in constructing project-specific resources that quickly become obsolete. 10. Avoid perceptions of faculty ownership and operate in an increasingly competitive environment. 11. Recognise that the continuum between creativity/innovation and entrepreneurship is complex, non-linear and requires different training regimes during the different phases of the pipeline. One small entity, such as the QIS, cannot address them all. The QIS successfully designed, implemented and delivered activities that included events, workshops, seminars and services to QUT students in the extra-curricular space. That the QIS project can be considered successful derives directly from the outcomes. First, the QIS project changed the lives of emerging QUT student entrepreneurs. Also, the QIS activities developed enterprising skills in students who did not necessarily have a business proposition, at the time. Second, successful outcomes of the QIS project are evidenced as the embedding of most, perhaps all, of the QIS activities in a new Chancellery-sponsored initiative: the Leadership Development and Innovation Program hosted by QUT Student Support Services. During the course of the QIS project, the Brisbane-based innovation ecosystem underwent substantial change. From a dearth of opportunities for the entrepreneurially inclined, there is now a plethora of entities that cater for a diversity of innovation-related activities. While the QIS evolved with the landscape, the demand endpoint of the QIS activities still highlights a gap in the local and national innovation ecosystems. The freedom to experiment and to fail is not catered for by the many new entities seeking to build viable businesses on the back of the innovation push. The onus of teaching the enterprising skills, which are the employability skills now demanded by industry, remains the domain of the higher education sector.

Business process management in small business : a case study

Small Businesses account for a significant portion of the Australian business sector. With Business Process Management (BPM) gaining prominence in recent decades as a means of improving business performance, it would seem to only be a matter of time before it gains momentum within the Small Business sector. One may even question why it has not already achieved more traction within the sector. This case study involves a BPM initiative to develop process infrastructure in an establishing Small Business. It explores whether mainstream BPM tools, techniques and technologies can be applied in a Small Business setting. The chapter provides a background to the case organisation, outlines the activities undertaken in the BPM initiative and distils key observations drawn from participation in the initiative and consultation with stakeholders. Based on the case study experiences, a number of implications are identified for further consideration by the BPM discipline as it continues to address the question of how it can become more widely adopted amongst Small Businesses.

Assessing community resilience to climate change

Settlements and communities in the Great Barrier Reef (GBR) are highly vulnerable to climate change and face an uncertain social, economic and environmental future. The concept of community resilience is gaining momentum as stakeholders and institutions seek to better understand the social, economic and governance factors which affect community capacity to adapt in the face of climate change. This paper defines a framework to benchmark community resilience and applies it to a case study in the Wet Tropics in tropical Queensland within the GBR catchment. It finds that rural, indigenous and some urban populations are highly vulnerable and sensitive to climate change, particularly in terms of economic vitality, community knowledge, aspirations and capacity for adaptation. Without early and substantive action, this could result in declining social and economic wellbeing and natural resource health. Capacity to manage the possible shocks associated with the impacts of climate change and extreme climatic events is emerging and needs to be carefully fostered and further developed to achieve broader community resilience outcomes. Better information about what actions, policies and arrangements build community resilience and mobilise adaptive capacity in the face of climate change is needed.