A comparison of linear forecasting models and neural networks:an application to Euro inflation and Euro Divisia

Linear models reach their limitations in applications with nonlinearities in the data. In this paper new empirical evidence is provided on the relative Euro inflation forecasting performance of linear and non-linear models. The well established and widely used univariate ARIMA and multivariate VAR models are used as linear forecasting models whereas neural networks (NN) are used as non-linear forecasting models. It is endeavoured to keep the level of subjectivity in the NN building process to a minimum in an attempt to exploit the full potentials of the NN. It is also investigated whether the historically poor performance of the theoretically superior measure of the monetary services flow, Divisia, relative to the traditional Simple Sum measure could be attributed to a certain extent to the evaluation of these indices within a linear framework. Results obtained suggest that non-linear models provide better within-sample and out-of-sample forecasts and linear models are simply a subset of them. The Divisia index also outperforms the Simple Sum index when evaluated in a non-linear framework. © 2005 Taylor & Francis Group Ltd.

The meaning of implied volatility in pricing stock options traded in options markets

Ph.D. in the Faculty of Business Administration

Multicomponent kinetic spectrophotometric determination of pefloxacin and norfloxacin in pharmaceutical preparations and human plasma samples with the aid of chemometrics

A spectrophotometric method for the simultaneous determination of the important pharmaceuticals, pefloxacin and its structurally similar metabolite, norfloxacin, is described for the first time. The analysis is based on the monitoring of a kinetic spectrophotometric reaction of the two analytes with potassium permanganate as the oxidant. The measurement of the reaction process followed the absorbance decrease of potassium permanganate at 526 nm, and the accompanying increase of the product, potassium manganate, at 608 nm. It was essential to use multivariate calibrations to overcome severe spectral overlaps and similarities in reaction kinetics. Calibration curves for the individual analytes showed linear relationships over the concentration ranges of 1.0–11.5 mg L−1 at 526 and 608 nm for pefloxacin, and 0.15–1.8 mg L−1 at 526 and 608 nm for norfloxacin. Various multivariate calibration models were applied, at the two analytical wavelengths, for the simultaneous prediction of the two analytes including classical least squares (CLS), principal component regression (PCR), partial least squares (PLS), radial basis function-artificial neural network (RBF-ANN) and principal component-radial basis function-artificial neural network (PC-RBF-ANN). PLS and PC-RBF-ANN calibrations with the data collected at 526 nm, were the preferred methods—%RPET not, vert, similar 5, and LODs for pefloxacin and norfloxacin of 0.36 and 0.06 mg L−1, respectively. Then, the proposed method was applied successfully for the simultaneous determination of pefloxacin and norfloxacin present in pharmaceutical and human plasma samples. The results compared well with those from the alternative analysis by HPLC.

Depression, anxiety and body image after treatment for invasive stage one epithelial ovarian cancer

Background: Diagnosis of epithelial ovarian cancer (EOC) in young women has major implications including those to their reproductive potential. We evaluated depression, anxiety and body image in patients with stage I EOC treated with fertility sparing surgery (FSS) or radical surgery (RS). We also investigated fertility outcomes after FSS.----- Methods: A retrospective study was undertaken in which 62 patients completed questionnaires related to anxiety, depression, body image and fertility outcomes. Additional information on adjuvant therapy after FSS and RS and demographic details were abstracted from medical records. Both bi and multivariate regression models were used to assess the relationship between demographic, clinical and pathological results and scores for anxiety, depression and body image.----- Results: Thirty-nine patients underwent RS and the rest, FSS. The percentage of patients reporting elevated anxiety and depression (subscores ≥ 11) were 27 % and 5% respectively. The median (inter quartile range) score for body image scale (BIS) was 6 (3-15). None of the demographic or clinical factors examined showed significant association with anxiety and BIS with the exception of ‘time since diagnosis’. For depression, post-menopausal status was the only independent predictor. Among those 23 patients treated by FSS, 14 patients tried to conceive (7 successful), resulting in 7 live births, one termination of pregnancy and one miscarriage.----- Conclusion: This study shows that psychological issues are common in women treated for stage I EOC. Reproduction after FSS is feasible and lead to the birth of healthy babies in about half of patients who wished to have another child. Further prospective studies with standardised instruments are required.

Prognostic significance of IGF and ECM induced signalling proteins in breast cancer patients

Breast cancer is a leading contributor to the burden of disease in Australia. Fortunately, the recent introduction of diverse therapeutic strategies have improved the survival outcome for many women. Despite this, the clinical management of breast cancer remains problematic as not all approaches are sufficiently sophisticated to take into account the heterogeneity of this disease and are unable to predict disease progression, in particular, metastasis. As such, women with good prognostic outcomes are exposed to the side effects of therapies without added benefit. Furthermore, women with aggressive disease for whom these advanced treatments would deliver benefit cannot be distinguished and opportunities for more intensive or novel treatment are lost. This study is designed to identify novel factors associated with disease progression, and the potential to inform disease prognosis. Frequently overlooked, yet common mediators of disease are the interactions that take place between the insulin-like growth factor (IGF) system and the extracellular matrix (ECM). Our laboratory has previously demonstrated that multiprotein insulin-like growth factor-I (IGF-I): insulin-like growth factor binding protein (IGFBP): vitronectin (VN) complexes stimulate migration of breast cancer cells in vitro, via the cooperative involvement of the insulin-like growth factor type I receptor (IGF-IR) and VN-binding integrins. However, the effects of IGF and ECM protein interactions on the dissemination and progression of breast cancer in vivo are unknown. It was hypothesised that interactions between proteins required for IGF induced signalling events and those within the ECM contribute to breast cancer metastasis and are prognostic and predictive indicators of patient outcome. To address this hypothesis, semiquantitative immunohistochemistry (IHC) analyses were performed to compare the extracellular and subcellular distribution of IGF and ECM induced signalling proteins between matched normal, primary cancer, and metastatic cancer among archival formalin-fixed paraffin-embedded (FFPE) breast tissue samples collected from women attending the Princess Alexandra Hospital, Brisbane. Multivariate Cox proportional hazards (PH) regression survival models in conjunction with a modified „purposeful selection of covariates. method were applied to determine the prognostic potential of these proteins. This study provides the first in-depth, compartmentalised analysis of the distribution of IGF and ECM induced signalling proteins. As protein function and protein localisation are closely correlated, these findings provide novel insights into IGF signalling and ECM protein function during breast cancer development and progression. Distinct IGF signalling and ECM protein immunoreactivity was observed in the stroma and/or in subcellular locations in normal breast, primary cancer and metastatic cancer tissues. Analysis of the presence and location of stratifin (SFN) suggested a causal relationship in ECM remodelling events during breast cancer development and progression. The results of this study have also suggested that fibronectin (FN) and ¥â1 integrin are important for the formation of invadopodia and epithelial-to-mesenchymal transition (EMT) events. Our data also highlighted the importance of the temporal and spatial distribution of IGF induced signalling proteins in breast cancer metastasis; in particular, SFN, enhancer-of-split and hairy-related protein 2 (SHARP-2), total-akt/protein kinase B 1 (Total-AKT1), phosphorylated-akt/protein kinase B (P-AKT), extracellular signal-related kinase-1 and extracellular signal-related kinase-2 (ERK1/2) and phosphorylated-extracellular signal-related kinase-1 and extracellular signal-related kinase-2 (P-ERK1/2). Multivariate survival models were created from the immunohistochemical data. These models were found to fit well with these data with very high statistical confidence. Numerous prognostic confounding effects and effect modifications were identified among elements of the ECM and IGF signalling cascade and corroborate the survival models. This finding provides further evidence for the prognostic potential of IGF and ECM induced signalling proteins. In addition, the adjusted measures of associations obtained in this study have strengthened the validity and utility of the resulting models. The findings from this study provide insights into the biological interactions that occur during the development of breast tissue and contribute to disease progression. Importantly, these multivariate survival models could provide important prognostic and predictive indicators that assist the clinical management of breast disease, namely in the early identification of cancers with a propensity to metastasise, and/or recur following adjuvant therapy. The outcomes of this study further inform the development of new therapeutics to aid patient recovery. The findings from this study have widespread clinical application in the diagnosis of disease and prognosis of disease progression, and inform the most appropriate clinical management of individuals with breast cancer.

A longitudinal study of grieving in family caregivers of people with dementia

A longitudinal study of grieving in family caregivers of people with dementia Recent research into dementia has identified the long term impact that the role of care giving for a relative with dementia has on family members This is largely due to the cognitive decline that characterises dementia and the losses that can be directly attributed to this. These losses include loss of memories, relationships and intimacy, and are often ambiguous so that the grief that accompanies them is commonly not recognised or acknowledged. The role and impact of pre-death or anticipatory grief has not previously been widely considered as a factor influencing health and well-being of family caregivers. Studies of grief in caregivers of a relative with dementia have concluded that grief is one of the greatest barriers to care giving and is a primary determinant of caregiver well-being. The accumulation of losses, in conjunction with experiences unique to dementia care giving, place family caregivers at risk of complicated grief. This occurs when integration of the death does not take place following bereavement and has been associated with a range of negative health outcomes. The aim of this research was to determine the influence of grief, in addition to other factors representing both positive and negative aspects of the role, on the health related quality of life of family caregivers of people with dementia, prior to and following the death of their relative with dementia. An exploratory research project underpinned by a conceptual framework of caregivers’ adaptation in the context of subjective appraisal of the strains and gains in their role was undertaken. The research comprised three studies. Study 1 was a scoping study that involved a series of semi-structured interviews with thirteen participants who were family caregivers of people with severe dementia or whose relative with dementia had died in the previous twelve months. The results of this study in conjunction with factors identified in the literature informed data collection for the further studies. Study 2 was a cross sectional survey of fifty caregivers recruited when their relative was in the moderate to severe stage of dementia. This study provided the baseline data for Study 3, a prospective cohort follow up study. Study 3 consisted of seventeen participants followed up at two time points after the death of their relative with dementia: six weeks and then six months following the death of the relative with dementia. The scoping study indicated that differences in appraisal of the care giving role and encounters with health professionals were related to levels of grief of caregivers prior to and following the death of the relative with dementia. This was supported in the baseline and follow up studies. In the baseline study, after adjusting for all variables in multivariate regression models, subjective appraisal of burden was found to make a significant contribution (p<.05) to mental health related quality of life. The two dependent variables, anticipatory grief and mental health related quality of life, were significantly (p<.01) correlated at a bivariate level. In the follow up study, linear mixed modelling and multiple regression analysis of data found that subjective appraisal of burden and resilience were significantly associated (p<.05 and p<.01, respectively) with mental health related quality of life over time. In addition, bereavement and complicated grief were significantly associated (p<.05) with mental health following the death of the relative. In this study social support and satisfaction with end of life care were found to be statistically associated (p<.05) with physical health related quality of life over time. The strong relationship between grief of caregivers and their health related quality of life over the entire care giving trajectory and period following the death of their relative highlights the urgent need for further research and interventions in this area. Overall results indicate that addressing the risk and protective factors including subjective appraisal of their care giving role, resilience, social support and satisfaction with end of life care of their relative, has the potential to both ameliorate negative health outcomes and to promote improved health for these caregivers. This research provides important information for development of targeted and appropriate interventions that aim to promote resilience and reduce the personal burden on caregivers of people with dementia.

Tumor necrosis correlates with angiogenesis and is a predictor of poor prognosis in malignant mesothelioma

Objectives: Malignant mesothelioma (MM) is a fatal tumor of increasing incidence related to asbestos exposure. Microscopic tumor necrosis (TN) is a poor prognostic factor in solid tumors, but it has not been characterized in MM. We wished to evaluate the incidence of TN in MM and its correlations with clinicopathologic factors, angiogenesis, and survival. Methods: TN was graded in 171 routine formalin-fixed, paraffin-embedded hematoxylin-eosinstained tumor sections by two independent observers. Angiogenesis was assessed by the microvessel count (MVC) of CD34 immunostained sections. TN was correlated with survival by Kaplan-Meier and log-rank analysis, and stepwise, multivariate Cox models were used to compare TN with angiogenesis and established prognostic factors and prognostic scoring systems. Results: TN was identified in 39 cases (22.8%) and correlated with low hemoglobin (p = 0.01), thrombocytosis (p = 0.04), and high MVC (p = 0.02). TN was a poor prognostic factor in univariate analysis (p = 0.008). Patients with TN had a median survival of 5.3 months vs 8.3 months in negative cases. Independent indicators of poor prognosis in multivariate analysis were nonepithelioid cell type (p = 0.0001), performance status > 0 (p = 0.007), and increasing MVC (p = 0.004) but not TN. TN contributed independently to the European Organisation for Research and Treatment of Cancer (EORTC) [p = 0.03] and to the Cancer and Leukemia Group B (CALGB) [p = 0.03] prognostic groups in respective multivariate Cox analyses. Conclusions: TN correlates with angiogenesis and is a poor prognostic factor in MM. TN contributes to the EORTC and CALGB prognostic scoring systems.

A Near-Infrared Reflectance Spectroscopy Method for Direct Analysis of Several Chemical Components and Properties of Fruit, for Example, Chinese Hawthorn

Near-infrared spectroscopy (NIRS) calibrations were developed for the discrimination of Chinese hawthorn (Crataegus pinnatifida Bge. var. major) fruit from three geographical regions as well as for the estimation of the total sugar, total acid, total phenolic content, and total antioxidant activity. Principal component analysis (PCA) was used for the discrimination of the fruit on the basis of their geographical origin. Three pattern recognition methods, linear discriminant analysis, partial least-squares-discriminant analysis, and back-propagation artificial neural networks, were applied to classify and compare these samples. Furthermore, three multivariate calibration models based on the first derivative NIR spectroscopy, partial least-squares regression, back-propagation artificial neural networks, and least-squares-support vector machines, were constructed for quantitative analysis of the four analytes, total sugar, total acid, total phenolic content, and total antioxidant activity, and validated by prediction data sets.

Development and application of a predictive model of freshwater fish assemblage composition to evaluate river health in eastern Australia

Multivariate predictive models are widely used tools for assessment of aquatic ecosystem health and models have been successfully developed for the prediction and assessment of aquatic macroinvertebrates, diatoms, local stream habitat features and fish. We evaluated the ability of a modelling method based on the River InVertebrate Prediction and Classification System (RIVPACS) to accurately predict freshwater fish assemblage composition and assess aquatic ecosystem health in rivers and streams of south-eastern Queensland, Australia. The predictive model was developed, validated and tested in a region of comparatively high environmental variability due to the unpredictable nature of rainfall and river discharge. The model was concluded to provide sufficiently accurate and precise predictions of species composition and was sensitive enough to distinguish test sites impacted by several common types of human disturbance (particularly impacts associated with catchment land use and associated local riparian, in-stream habitat and water quality degradation). The total number of fish species available for prediction was low in comparison to similar applications of multivariate predictive models based on other indicator groups, yet the accuracy and precision of our model was comparable to outcomes from such studies. In addition, our model developed for sites sampled on one occasion and in one season only (winter), was able to accurately predict fish assemblage composition at sites sampled during other seasons and years, provided that they were not subject to unusually extreme environmental conditions (e.g. extended periods of low flow that restricted fish movement or resulted in habitat desiccation and local fish extinctions).

Superstars and disloyal football fans : factors influencing attraction to competition

Purpose – The purpose of this paper is to examine the effect of superstars (and other factors) on football fans’ attraction to competition (i.e. disloyal behavior). Design/methodology/approach – A proprietary data set including archival data on professional German football players and clubs as well as survey data of more than 900 football fans is used. The hypotheses are tested with two-sample mean-comparison t-tests and multivariate probit models. Findings – This study provides evidence that superstars both attract new fans and contribute to the retention of existing fans. While the presence of superstars, team loyalty and team identification prevent football fans from being attracted to competition, the team's recent performance seems to have no effect. Fans who select their favorite player from a competing team rather choose superstars, young players, players who are known for exemplary behavior and defenders. Originality/value – This paper contributes to existing research by expanding the list of antecedents of disloyalty and by being the first to employ independent, quantitative data for the assessment of superstar characteristics in the context of team loyalty.

Assessment of internal quality attributes of mandarin fruit. 2. NIR calibration model robustness

The robustness of multivariate calibration models, based on near infrared spectroscopy, for the assessment of total soluble solids (TSS) and dry matter (DM) of intact mandarin fruit (Citrus reticulata cv. Imperial) was assessed. TSS calibration model performance was validated in terms of prediction of populations of fruit not in the original population (different harvest days from a single tree, different harvest localities, different harvest seasons). Of these, calibration performance was most affected by validation across seasons (signal to noise statistic on root mean squared error of prediction of 3.8, compared with 20 and 13 for locality and harvest day, respectively). Procedures for sample selection from the validation population for addition to the calibration population (‘model updating’) were considered for both TSS and DM models. Random selection from the validation group worked as well as more sophisticated selection procedures, with approximately 20 samples required. Models that were developed using samples at a range of temperatures were robust in validation for TSS and DM.

NIR model development and robustness in prediction of melon fruit total soluble solids

Near infrared spectroscopy (NIRS) can be used for the on-line, non-invasive assessment of fruit for eating quality attributes such as total soluble solids (TSS). The robustness of multivariate calibration models, based on NIRS in a partial transmittance optical geometry, for the assessment of TSS of intact rockmelons (Cucumis melo) was assessed. The mesocarp TSS was highest around the fruit equator and increased towards the seed cavity. Inner mesocarp TSS levels decreased towards both the proximal and distal ends of the fruit, but more so towards the proximal end. The equatorial region of the fruit was chosen as representative of the fruit for near infrared assessment of TSS. The spectral window for model development was optimised at 695-1045 nm, and the data pre-treatment procedure was optimised to second-derivative absorbance without scatter correction. The 'global' modified partial least squares (MPLS) regression modelling procedure of WINISI (ver. 1.04) was found to be superior with respect to root mean squared error of prediction (RMSEP) and bias for model predictions of TSS across seasons, compared with the 'local' MPLS regression procedure. Updating of the model with samples selected randomly from the independent validation population demonstrated improvement in both RMSEP and bias with addition of approximately 15 samples.

The use of genetic correlations to evaluate associations between SNP markers and quantitative traits

Open-pollinated progeny of Corymbia citriodora established in replicated field trials were assessed for stem diameter, wood density, and pulp yield prior to genotyping single nucleotide polymorphisms (SNP) and testing the significance of associations between markers and assessment traits. Multiple individuals within each family were genotyped and phenotyped, which facilitated a comparison of standard association testing methods and an alternative method developed to relate markers to additive genetic effects. Narrow-sense heritability estimates indicated there was significant additive genetic variance within this population for assessment traits ( h ˆ 2 =0.28to0.44 ) and genetic correlations between the three traits were negligible to moderate (r G = 0.08 to 0.50). The significance of association tests (p values) were compared for four different analyses based on two different approaches: (1) two software packages were used to fit standard univariate mixed models that include SNP-fixed effects, (2) bivariate and multivariate mixed models including each SNP as an additional selection trait were used. Within either the univariate or multivariate approach, correlations between the tests of significance approached +1; however, correspondence between the two approaches was less strong, although between-approach correlations remained significantly positive. Similar SNP markers would be selected using multivariate analyses and standard marker-trait association methods, where the former facilitates integration into the existing genetic analysis systems of applied breeding programs and may be used with either single markers or indices of markers created with genomic selection processes.

Mathematical Aspects of Financial Markets with Frictions

Frictions are factors that hinder trading of securities in financial markets. Typical frictions include limited market depth, transaction costs, lack of infinite divisibility of securities, and taxes. Conventional models used in mathematical finance often gloss over these issues, which affect almost all financial markets, by arguing that the impact of frictions is negligible and, consequently, the frictionless models are valid approximations. This dissertation consists of three research papers, which are related to the study of the validity of such approximations in two distinct modeling problems. Models of price dynamics that are based on diffusion processes, i.e., continuous strong Markov processes, are widely used in the frictionless scenario. The first paper establishes that diffusion models can indeed be understood as approximations of price dynamics in markets with frictions. This is achieved by introducing an agent-based model of a financial market where finitely many agents trade a financial security, the price of which evolves according to price impacts generated by trades. It is shown that, if the number of agents is large, then under certain assumptions the price process of security, which is a pure-jump process, can be approximated by a one-dimensional diffusion process. In a slightly extended model, in which agents may exhibit herd behavior, the approximating diffusion model turns out to be a stochastic volatility model. Finally, it is shown that when agents' tendency to herd is strong, logarithmic returns in the approximating stochastic volatility model are heavy-tailed. The remaining papers are related to no-arbitrage criteria and superhedging in continuous-time option pricing models under small-transaction-cost asymptotics. Guasoni, Rásonyi, and Schachermayer have recently shown that, in such a setting, any financial security admits no arbitrage opportunities and there exist no feasible superhedging strategies for European call and put options written on it, as long as its price process is continuous and has the so-called conditional full support (CFS) property. Motivated by this result, CFS is established for certain stochastic integrals and a subclass of Brownian semistationary processes in the two papers. As a consequence, a wide range of possibly non-Markovian local and stochastic volatility models have the CFS property.