Forecasting volatility and correlation : the role of option implied measures

Forecasts of volatility and correlation are important inputs into many practical financial problems. Broadly speaking, there are two ways of generating forecasts of these variables. Firstly, time-series models apply a statistical weighting scheme to historical measurements of the variable of interest. The alternative methodology extracts forecasts from the market traded value of option contracts. An efficient options market should be able to produce superior forecasts as it utilises a larger information set of not only historical information but also the market equilibrium expectation of options market participants. While much research has been conducted into the relative merits of these approaches, this thesis extends the literature along several lines through three empirical studies. Firstly, it is demonstrated that there exist statistically significant benefits to taking the volatility risk premium into account for the implied volatility for the purposes of univariate volatility forecasting. Secondly, high-frequency option implied measures are shown to lead to superior forecasts of the intraday stochastic component of intraday volatility and that these then lead on to superior forecasts of intraday total volatility. Finally, the use of realised and option implied measures of equicorrelation are shown to dominate measures based on daily returns.

An empirical study of business method patent applications filed in Australia 2000-2009

This article sets out the results of an empirical research study into the uses to which the Australian patent system is being put in the early 21st century. The focus of the study is business method patents, which are of interest because they are a controversial class of patent that are thought to differ significantly from the mechanical, chemical and industrial inventions that have traditionally been the mainstay of the patent system. The purpose of the study is to understand what sort of business method patent applications have been lodged in Australia in the first decade of this century and how the patent office is responding to those applications.

Locomotor activation by theacrine, a purine alkaloid structurally similar to caffeine : involvement of adenosine and dopamine receptors

Purine compounds, such as caffeine, have many health-promoting properties and have proven to be beneficial in treating a number of different conditions. Theacrine, a purine alkaloid structurally similar to caffeine and abundantly present in Camellia kucha, has recently become of interest as a potential therapeutic compound. In the present study, theacrine was tested using a rodent behavioral model to investigate the effects of the drug on locomotor activity. Long Evans rats were injected with theacrine (24 or 48 mg/kg, i.p.) and activity levels were measured. Results showed that the highest dose of theacrine (48 mg/kg, i.p.) significantly increased locomotor activity compared to control animals and activity remained elevated throughout the duration of the session. To test for the involvement of adenosine receptors underlying theacrine's motor-activating properties, rats were administered a cocktail of the adenosine A₁ agonist, N⁶-cyclopentyladenosine (CPA; 0.1 mg/kg, i.p.) and A(2A) receptor agonist 2-p-(2-carboxyethyl)phenethylamino-5'-N-ethylcarboxamidoadenosine (CGS-21680; 0.2 mg/kg, i.p.). Pre-treatment with theacrine significantly attenuated the motor depression induced by the adenosine receptor agonists, indicating that theacrine is likely acting as an adenosine receptor antagonist. Next, we examined the role of DA D₁ and D₂ receptor antagonism on theacrine-induced hyperlocomotion. Both antagonists, D₁R SCH23390 (0.1 or 0.05 mg/kg, i.p.) and D₂R eticlopride (0.1 mg/kg, i.p.), significantly reduced theacrine-stimulated activity indicating that this behavioral response, at least in part, is mediated by DA receptors. In order to investigate the brain region where theacrine may be acting, the drug (10 or 20 μg) was infused bilaterally into nucleus accumbens (NAc). Theacrine enhanced activity levels in a dose-dependent manner, implicating a role of the NAc in modulating theacrine's effects on locomotion. In addition, theacrine did not induce locomotor sensitization or tolerance after chronic exposure. Taken together, these findings demonstrate that theacrine significantly enhances activity; an effect which is mediated by both the adenosinergic and dopaminergic systems.

The social and political underpinnings of the inclusive education movement

In this chapter we look at inclusive education as part of a number of wider social movements for social justice. Inclusive education is thus understood as a transformation of education systems, rather than simply the addition of new groups of students to schools, or the development of new techniques (Slee, 2006). We illustrate the ways movements for social change can occur at many levels. Resistance to social change also occurs at many levels. Movements for social justice often include a goal of changing what happens in education. This is because education is often seen as one of the important social institutions that can reinforce the status quo. Education is also seen as an important means of changing the status quo, giving more people access to a more meaningful education. It’s not uncommon to hear various political parties criticising each other’s educational policies as ‘social engineering.’ Movements for social justice in education understand that education has always been about social engineering. The questions of interest are thus: Social engineering for what?; Who benefits; and At whose expense?

Rate of torque and electromyographic development during anticipated eccentric contraction is lower in previously strained hamstrings

Background: Hamstring strain injuries are prevalent in sport and re-injury rates have been high for many years. Whilst much focus has centred on the impact of previous hamstring strain injury on maximal eccentric strength, high rates of torque development is also of interest, given the important role of the hamstrings during the terminal swing phase of running. The impact of prior strain injury on myoelectrical activity of the hamstrings during tasks requiring high rates of torque development has received little attention. Purpose: To determine if recreational athletes with a history of unilateral hamstring strain injury, who have returned to training and competition, will exhibit lower levels of myoelectrical activity during eccentric contraction, rate of torque development and impulse 30, 50 and 100ms after the onset of myoelectrical activity or torque development in the previously injured limb compared to the uninjured limb. Study design: Case-control study Methods: Twenty-six recreational athletes were recruited. Of these, 13 athletes had a history of unilateral hamstring strain injury (all confined to biceps femoris long head) and 13 had no history of hamstring strain injury. Following familiarisation, all athletes undertook isokinetic dynamometry testing and surface electromyography assessment of the biceps femoris long head and medial hamstrings during eccentric contractions at -60 and -1800.s-1. Results: In the injured limb of the injured group, compared to the contralateral uninjured limb rate of torque development and impulse was lower during -600.s-1 eccentric contractions at 50 (RTD, injured limb = 312.27 ± 191.78Nm.s-1 vs. uninjured limb = 518.54 ± 172.81Nm.s-1, p=0.008; IMP, injured limb = 0.73 ± 0.30 Nm.s vs. uninjured limb = 0.97 ± 0.23 Nm.s, p=0.005) and 100ms (RTD, injured limb = 280.03 ± 131.42Nm.s-1 vs. uninjured limb = 460.54.54 ± 152.94Nm.s-1,p=0.001; IMP, injured limb = 2.15 ± 0.89 Nm.s vs. uninjured limb = 3.07 ± 0.63 Nm.s, p<0.001) after the onset of contraction. Biceps femoris long head muscle activation was lower at 100ms at both contraction speeds (-600.s-1, normalised iEMG activity (x1000), injured limb = 26.25 ± 10.11 vs. uninjured limb 33.57 ± 8.29, p=0.009; -1800.s-1, normalised iEMG activity (x1000), injured limb = 31.16 ± 10.01 vs. uninjured limb 39.64 ± 8.36, p=0.009). Medial hamstring activation did not differ between limbs in the injured group. Comparisons in the uninjured group showed no significant between limbs difference for any variables. Conclusion: Previously injured hamstrings displayed lower rate of torque development and impulse during slow maximal eccentric contraction compared to the contralateral uninjured limb. Lower myoelectrical activity was confined to the biceps femoris long head. Regardless of whether these deficits are the cause of or the result of injury, these findings could have important implications for hamstring strain injury and re-injury. Particularly, given the importance of high levels of muscle activity to bring about specific muscular adaptations, lower levels of myoelectrical activity may limit the adaptive response to rehabilitation interventions and suggest greater attention be given to neural function of the knee flexors following hamstring strain injury.

Impact of previous hamstring strain injury on rate of torque and EMG development during eccentric contraction.

Background: Hamstring strain injuries (HSIs) are prevalent in sport and re-injury rates have been high for many years. Whilst much focus has centred on the impact of previous hamstring strain injury on maximal eccentric strength, high rates of torque development is also of interest, given the important role of the hamstrings during the terminal swing phase of gait. The impact of prior strain injury on neuromuscular function of the hamstrings during tasks requiring high rates of torque development has received little attention. The purpose of this study is to determine if recreational athletes with a history of unilateral hamstring strain injury, who have returned to training and competition, will exhibit lower levels of eccentric muscle activation, rate of torque development and impulse 30, 50 and 100ms after the onset of electromyographical or torque development in the previously injured limb compared to the uninjured limb. Methods: Twenty-six recreational athletes were recruited. Of these, 13 athletes had a history of unilateral hamstring strain injury (all confined to biceps femoris long head) and 13 had no history of hamstring strain injury. Following familiarisation, all athletes undertook isokinetic dynamometry testing and surface electromyography assessment of the biceps femoris long head and medial hamstrings during eccentric contractions at -60 and -1800.s-1. Results: In the injured limb of the injured group, compared to the contralateral uninjured limb rate of torque development and impulse was lower during -600.s-1 eccentric contractions at 50 (RTD, p=0.008; IMP, p=0.005) and 100ms (RTD, p=0.001; IMP p<0.001) after the onset of contraction. There was also a non-significant trend for rate of torque development during -1800.s-1 to be lower 100ms after onset of contraction (p=0.064). Biceps femoris long head muscle activation was lower at 100ms at both contraction speeds (-600.s-1, p=0.009; -1800.s-1, p=0.009). Medial hamstring activation did not differ between limbs in the injured group. Comparisons in the uninjured group showed no significant between limbs difference for any variables. Conclusion: Previously injured hamstrings displayed lower rate of torque development and impulse during eccentric contraction. Lower muscle activation was confined to the biceps femoris long head. Regardless of whether these deficits are the cause of or the result of injury, these findings have important implications for hamstring strain injury and re-injury and suggest greater attention be given to neural function of the knee flexors.

How do allied health professionals evaluate new models of care? What are we measuring and why?

The aim of this study was to identify what outcome measures or quality indicators are being used to evaluate advanced and new roles in nine allied health professions and whether the measures are evaluating outcomes of interest to the patient, the clinician, or the healthcare provider. A systematic search strategy was used. Medical and allied health databases were searched and relevant articles extracted. Relevant studies with at least 1 outcome measure were evaluated. A total of 106 articles were identified that described advanced roles, however, only 23 of these described an outcome measure in sufficient detail to be included for review. The majority of the reported measures fit into the economic and process categories. The most reported outcome related to patients was satisfaction surveys. Measures of patient health outcomes were infrequently reported. It is unclear from the studies evaluated whether new models of allied healthcare can be shown to be as safe and effective as traditional care for a given procedure. Outcome measures chosen to evaluate these services often reflect organizational need and not patient outcomes. Organizations need to ensure that high-quality performance measures are chosen to evaluate the success of new health service innovations. There needs to be a move away from in-house type surveys that add little or no valid evidence as to the effect of a new innovation. More importance needs to be placed on patient outcomes as a measure of the quality of allied health interventions.

Navigating the muddy waters of the research into single sex classrooms in co-educational middle years settings

Establishing single sex classes within co-educational sites is an option that Australian schools are again exploring. To date Australia has experienced three ‘waves’ of interest in establishing single sex classes, the first focused on equitable education opportunities for girls (Alloway & Gilbert, 1997), the second centered on boys’ literacy and engagement (Gilbert & Gilbert, 1998) and this current wave focuses on perceived difference between the sexes in co-educational classrooms (Protheroe, 2009; Gurian, Stevens & Daniels, 2009). With the intersection of middle schooling movement, focusing on learner centered classrooms (Pendergast & Bahr, 2010) and current educational agendas aimed at improving student performance and measurable learning outcomes (Ministerial Council on Education, Employment, Training and Youth Affairs, 2008), it is understandable that schools are exploring such student grouping options. However, after thirty years of international research into the efficacy of single sex classes in co-educational settings, the results still remain unclear. This paper seeks to navigate the ‘muddy waters’ of this body of research and suggests a framework to help guide school communities through the decision-making process associated with considering single sex classes.

The emerging framework of cross-border insolvency in and around Australia : Saad Investments, Japan Airlines and Lehman Brothers – part one

Recent decades have witnessed a global acceleration of legislative and private sector initiatives to deal with Cross-Border insolvency. Legislative institutions include the various national implementations of the Model Law on Cross-Border Insolvency (Model Law) published by the United Nations Commission on International Trade (UNCITRAL).3 Private mechanisms include Cross-Border protocols developed and utilised by insolvency professionals and their advisers (often with the imprimatur of the judiciary), on both general and ad hoc bases. The Asia Pacific region has not escaped the effect of those developments, and the economic turmoil of the past few years has provided an early test for some of the emerging initiatives in that region. This two-part article explores the operation of those institutions through the medium of three recent cases.

The emerging framework of cross-border insolvency in and around Australia : Saad Investments, Japan Airlines and Lehman Brothers – Part Two

Recent decades have witnessed a global acceleration of legislative and private sector initiatives to deal with Cross-Border insolvency. Legislative institutions include the various national implementations of the Model Law on Cross-Border Insolvency (Model Law) published by the United Nations Commission on International Trade (UNCITRAL).3 Private mechanisms include Cross-Border protocols developed and utilised by insolvency professionals and their advisers (often with the imprimatur of the judiciary), on both general and ad hoc bases. The Asia Pacific region has not escaped the effect of those developments, and the economic turmoil of the past few years has provided an early test for some of the emerging initiatives in that region. This two-part article explores the operation of those institutions through the medium of three recent cases.

The impact of malnutrition and decreased food intake on length of stay, readmission, and mortality in acute care patients

Rationale: The Australasian Nutrition Care Day Survey (ANCDS) evaluated if malnutrition and decreased food intake are independent risk factors for negative outcomes in hospitalised patients. Methods: A multicentre (56 hospitals) cross-sectional survey was conducted in two phases. Phase 1 evaluated nutritional status (defined by Subjective Global Assessment) and 24-hour food intake recorded as 0, 25, 50, 75, and 100% intake. Phase 2 data, which included length of stay (LOS), readmissions and mortality, were collected 90 days post-Phase 1. Logistic regression was used to control for confounders: age, gender, disease type and severity (using Patient Clinical Complexity Level scores). Results: Of 3122 participants (53% males, mean age: 65±18 years) 32% were malnourished and 23% consumed�25% of the offered food. Median LOS for malnourished (MN) patients was higher than well-nourished (WN) patients (15 vs. 10 days, p<0.0001). Median LOS for patients consuming �25% of the food was higher than those consuming �50% (13 vs. 11 days, p<0.0001). MN patients had higher readmission rates (36% vs. 30%, p = 0.001). The odds ratios of 90-day in-hospital mortality were 1.8 times greater for MN patients (CI: 1.03 3.22, p = 0.04) and 2.7 times greater for those consuming �25% of the offered food (CI: 1.54 4.68, p = 0.001). Conclusion: The ANCDS demonstrates that malnutrition and/or decreased food intake are associated with longer LOS and readmissions. The survey also establishes that malnutrition and decreased food intake are independent risk factors for in-hospital mortality in acute care patients; and highlights the need for appropriate nutritional screening and support during hospitalisation. Disclosure of Interest: None Declared.

Design of open source framework for traffic and travel simulation

For the evaluation, design, and planning of traffic facilities and measures, traffic simulation packages are the de facto tools for consultants, policy makers, and researchers. However, the available commercial simulation packages do not always offer the desired work flow and flexibility for academic research. In many cases, researchers resort to designing and building their own dedicated models, without an intrinsic incentive (or the practical means) to make the results available in the public domain. To make matters worse, a substantial part of these efforts pertains to rebuilding basic functionality and, in many respects, reinventing the wheel. This problem not only affects the research community but adversely affects the entire traffic simulation community and frustrates the development of traffic simulation in general. For this problem to be addressed, this paper describes an open source approach, OpenTraffic, which is being developed as a collaborative effort between the Queensland University of Technology, Australia; the National Institute of Informatics, Tokyo; and the Technical University of Delft, the Netherlands. The OpenTraffic simulation framework enables academies from geographic areas and disciplines within the traffic domain to work together and contribute to a specific topic of interest, ranging from travel choice behavior to car following, and from response to intelligent transportation systems to activity planning. The modular approach enables users of the software to focus on their area of interest, whereas other functional modules can be regarded as black boxes. Specific attention is paid to a standardization of data inputs and outputs for traffic simulations. Such standardization will allow the sharing of data with many existing commercial simulation packages.

Protection of Refugees and Displaced Persons in the Asia Pacific Region

The chapters in this book explore the impact of recent shifts in global and regional power and the subsequent development and enforcement of international refugee protection standards in the Asia Pacific region. Drawing on their expertise across a number of jurisdictions, the contributors assess the challenges confronting the implementation of international law in the region, as well as new opportunities for extending protection norms into national and regional dialogues. The case studies span key jurisdictions across the region and include a comparative analysis with China, Indonesia, Thailand, Myanmar, Malaysia, Bangladesh and Australia. This topical and important book raises critical questions for the Asia Pacific region and sheds light on the challenges confronting the protection of refugees and displaced persons in this area. Interdisciplinary in its approach, it will be of interest to academics, researchers, students and policy-makers concerned with the rights and protection of refugees.

The development of a model to measure destination brand performance across travel contexts

The field of destination image has been widely discussed in the destination literature since the early 1970s (see Mayo, 1973). However the extent to which travel context impacts on an individual’s destination image evaluation, and therefore destination choice, has received scant attention (Hu & Ritchie, 1993). This study, utilising expectancy-value theory, sought to elicit salient destination attributes from consumers across two travel contexts: short-break holidays and longer getaways. Using the Repertory Test technique, attributes elicited as being salient for short-break holidays were consistent with those elicited for longer getaways. While this study was limited to Brisbane’s near-home destinations, the results will be of interest to destination marketers and researchers interested in the challenge of positioning a destination in diverse markets.

Nurse staffing levels and the incidence of mortality and morbidity in the adult intensive care unit : a literature review

BACKGROUND: Studies have shown that nurse staffing levels, among many other factors in the hospital setting, contribute to adverse patient outcomes. Concerns about patient safety and quality of care have resulted in numerous studies being conducted to examine the relationship between nurse staffing levels and the incidence of adverse patient events in both general wards and intensive care units. AIM: The aim of this paper is to review literature published in the previous 10 years which examines the relationship between nurse staffing levels and the incidence of mortality and morbidity in adult intensive care unit patients. METHODS: A literature search from 2002 to 2011 using the MEDLINE, Cumulative Index to Nursing and Allied Health Literature (CINAHL), PsycINFO, and Australian digital thesis databases was undertaken. The keywords used were: intensive care; critical care; staffing; nurse staffing; understaffing; nurse-patient ratios; adverse outcomes; mortality; ventilator-associated pneumonia; ventilator-acquired pneumonia; infection; length of stay; pressure ulcer/injury; unplanned extubation; medication error; readmission; myocardial infarction; and renal failure. A total of 19 articles were included in the review. Outcomes of interest are patient mortality and morbidity, particularly infection and pressure ulcers. RESULTS: Most of the studies were observational in nature with variables obtained retrospectively from large hospital databases. Nurse staffing measures and patient outcomes varied widely across the studies. While an overall statistical association between increased nurse staffing levels and decreased adverse patient outcomes was not found in this review, most studies concluded that a trend exists between increased nurse staffing levels and decreased adverse events. CONCLUSION: While an overall statistical association between increased nurse staffing levels and decreased adverse patient outcomes was not found in this review, most studies demonstrated a trend between increased nurse staffing levels and decreased adverse patient outcomes in the intensive care unit which is consistent with previous literature. While further more robust research methodologies need to be tested in order to more confidently demonstrate this association and decrease the influence of the many other confounders to patient outcomes; this would be difficult to achieve in this field of research.