Self excitation in equity indices

A "self-exciting" market is one in which the probability of observing a crash increases in response to the occurrence of a crash. It essentially describes cases where the initial crash serves to weaken the system to some extent, making subsequent crashes more likely. This thesis investigates if equity markets possess this property. A self-exciting extension of the well-known jump-based Bates (1996) model is used as the workhorse model for this thesis, and a particle-filtering algorithm is used to facilitate estimation by means of maximum likelihood. The estimation method is developed so that option prices are easily included in the dataset, leading to higher quality estimates. Equilibrium arguments are used to price the risks associated with the time-varying crash probability, and in turn to motivate a risk-neutral system for use in option pricing. The option pricing function for the model is obtained via the application of widely-used Fourier techniques. An application to S&P500 index returns and a panel of S&P500 index option prices reveals evidence of self excitation.

Real - time prediction of rainfall induced instability of residual soil slopes associated with deep cracks

The early warning based on real-time prediction of rain-induced instability of natural residual slopes helps to minimise human casualties due to such slope failures. Slope instability prediction is complicated, as it is influenced by many factors, including soil properties, soil behaviour, slope geometry, and the location and size of deep cracks in the slope. These deep cracks can facilitate rainwater infiltration into the deep soil layers and reduce the unsaturated shear strength of residual soil. Subsequently, it can form a slip surface, triggering a landslide even in partially saturated soil slopes. Although past research has shown the effects of surface-cracks on soil stability, research examining the influence of deep-cracks on soil stability is very limited. This study aimed to develop methodologies for predicting the real-time rain-induced instability of natural residual soil slopes with deep cracks. The results can be used to warn against potential rain-induced slope failures. The literature review conducted on rain induced slope instability of unsaturated residual soil associated with soil crack, reveals that only limited studies have been done in the following areas related to this topic: - Methods for detecting deep cracks in residual soil slopes. - Practical application of unsaturated soil theory in slope stability analysis. - Mechanistic methods for real-time prediction of rain induced residual soil slope instability in critical slopes with deep cracks. Two natural residual soil slopes at Jombok Village, Ngantang City, Indonesia, which are located near a residential area, were investigated to obtain the parameters required for the stability analysis of the slope. A survey first identified all related field geometrical information including slope, roads, rivers, buildings, and boundaries of the slope. Second, the electrical resistivity tomography (ERT) method was used on the slope to identify the location and geometrical characteristics of deep cracks. The two ERT array models employed in this research are: Dipole-dipole and Azimuthal. Next, bore-hole tests were conducted at different locations in the slope to identify soil layers and to collect undisturbed soil samples for laboratory measurement of the soil parameters required for the stability analysis. At the same bore hole locations, Standard Penetration Test (SPT) was undertaken. Undisturbed soil samples taken from the bore-holes were tested in a laboratory to determine the variation of the following soil properties with the depth: - Classification and physical properties such as grain size distribution, atterberg limits, water content, dry density and specific gravity. - Saturated and unsaturated shear strength properties using direct shear apparatus. - Soil water characteristic curves (SWCC) using filter paper method. - Saturated hydraulic conductivity. The following three methods were used to detect and simulate the location and orientation of cracks in the investigated slope: (1) The electrical resistivity distribution of sub-soil obtained from ERT. (2) The profile of classification and physical properties of the soil, based on laboratory testing of soil samples collected from bore-holes and visual observations of the cracks on the slope surface. (3) The results of stress distribution obtained from 2D dynamic analysis of the slope using QUAKE/W software, together with the laboratory measured soil parameters and earthquake records of the area. It was assumed that the deep crack in the slope under investigation was generated by earthquakes. A good agreement was obtained when comparing the location and the orientation of the cracks detected by Method-1 and Method-2. However, the simulated cracks in Method-3 were not in good agreement with the output of Method-1 and Method-2. This may have been due to the material properties used and the assumptions made, for the analysis. From Method-1 and Method-2, it can be concluded that the ERT method can be used to detect the location and orientation of a crack in a soil slope, when the ERT is conducted in very dry or very wet soil conditions. In this study, the cracks detected by the ERT were used for stability analysis of the slope. The stability of the slope was determined using the factor of safety (FOS) of a critical slip surface obtained by SLOPE/W using the limit equilibrium method. Pore-water pressure values for the stability analysis were obtained by coupling the transient seepage analysis of the slope using finite element based software, called SEEP/W. A parametric study conducted on the stability of an investigated slope revealed that the existence of deep cracks and their location in the soil slope are critical for its stability. The following two steps are proposed to predict the rain-induced instability of a residual soil slope with cracks. (a) Step-1: The transient stability analysis of the slope is conducted from the date of the investigation (initial conditions are based on the investigation) to the preferred date (current date), using measured rainfall data. Then, the stability analyses are continued for the next 12 months using the predicted annual rainfall that will be based on the previous five years rainfall data for the area. (b) Step-2: The stability of the slope is calculated in real-time using real-time measured rainfall. In this calculation, rainfall is predicted for the next hour or 24 hours and the stability of the slope is calculated one hour or 24 hours in advance using real time rainfall data. If Step-1 analysis shows critical stability for the forthcoming year, it is recommended that Step-2 be used for more accurate warning against the future failure of the slope. In this research, the results of the application of the Step-1 on an investigated slope (Slope-1) showed that its stability was not approaching a critical value for year 2012 (until 31st December 2012) and therefore, the application of Step-2 was not necessary for the year 2012. A case study (Slope-2) was used to verify the applicability of the complete proposed predictive method. A landslide event at Slope-2 occurred on 31st October 2010. The transient seepage and stability analyses of the slope using data obtained from field tests such as Bore-hole, SPT, ERT and Laboratory tests, were conducted on 12th June 2010 following the Step-1 and found that the slope in critical condition on that current date. It was then showing that the application of the Step-2 could have predicted this failure by giving sufficient warning time.

Age-dependence of the average and equivalent refractive indices of the crystalline lens

Lens average and equivalent refractive indices are required for purposes such as lens thickness estimation and optical modeling. We modeled the refractive index gradient as a power function of the normalized distance from lens center. Average index along the lens axis was estimated by integration. Equivalent index was estimated by raytracing through a model eye to establish ocular refraction, and then backward raytracing to determine the constant refractive index yielding the same refraction. Assuming center and edge indices remained constant with age, at 1.415 and 1.37 respectively, average axial refractive index increased (1.408 to 1.411) and equivalent index decreased (1.425 to 1.420) with age increase from 20 to 70 years. These values agree well with experimental estimates based on different techniques, although the latter show considerable scatter. The simple model of index gradient gives reasonable estimates of average and equivalent lens indices, although refinements in modeling and measurements are required.

The use of acoustic indices to determine avian species richness in audio-recordings of the environment

Interpreting acoustic recordings of the natural environment is an increasingly important technique for ecologists wishing to monitor terrestrial ecosystems. Technological advances make it possible to accumulate many more recordings than can be listened to or interpreted, thereby necessitating automated assistance to identify elements in the soundscape. In this paper we examine the problem of estimating avian species richness by sampling from very long acoustic recordings. We work with data recorded under natural conditions and with all the attendant problems of undefined and unconstrained acoustic content (such as wind, rain, traffic, etc.) which can mask content of interest (in our case, bird calls). We describe 14 acoustic indices calculated at one minute resolution for the duration of a 24 hour recording. An acoustic index is a statistic that summarizes some aspect of the structure and distribution of acoustic energy and information in a recording. Some of the indices we calculate are standard (e.g. signal-to-noise ratio), some have been reported useful for the detection of bioacoustic activity (e.g. temporal and spectral entropies) and some are directed to avian sources (spectral persistence of whistles). We rank the one minute segments of a 24 hour recording in descending order according to an "acoustic richness" score which is derived from a single index or a weighted combination of two or more. We describe combinations of indices which lead to more efficient estimates of species richness than random sampling from the same recording, where efficiency is defined as total species identified for given listening effort. Using random sampling, we achieve a 53% increase in species recognized over traditional field surveys and an increase of 87% using combinations of indices to direct the sampling. We also demonstrate how combinations of the same indices can be used to detect long duration acoustic events (such as heavy rain and cicada chorus) and to construct long duration (24 h) spectrograms.

Plasmodium vivax malaria incidence over time and its association with temperature and rainfall in four counties of Yunnan Province, China

Background Transmission of Plasmodium vivax malaria is dependent on vector availability, biting rates and parasite development. In turn, each of these is influenced by climatic conditions. Correlations have previously been detected between seasonal rainfall, temperature and malaria incidence patterns in various settings. An understanding of seasonal patterns of malaria, and their weather drivers, can provide vital information for control and elimination activities. This research aimed to describe temporal patterns in malaria, rainfall and temperature, and to examine the relationships between these variables within four counties of Yunnan Province, China. Methods Plasmodium vivax malaria surveillance data (1991–2006), and average monthly temperature and rainfall were acquired. Seasonal trend decomposition was used to examine secular trends and seasonal patterns in malaria. Distributed lag non-linear models were used to estimate the weather drivers of malaria seasonality, including the lag periods between weather conditions and malaria incidence. Results There was a declining trend in malaria incidence in all four counties. Increasing temperature resulted in increased malaria risk in all four areas and increasing rainfall resulted in increased malaria risk in one area and decreased malaria risk in one area. The lag times for these associations varied between areas. Conclusions The differences detected between the four counties highlight the need for local understanding of seasonal patterns of malaria and its climatic drivers.

Time as the critical factor in the investigation of the relationship between pollutant wash-off and rainfall characteristics

The approach adopted for investigating the relationship between rainfall characteristics and pollutant wash-off process is commonly based on the use of parameters which represent the entire rainfall event. This does not permit the investigation of the influence of rainfall characteristics on different sectors of the wash-off process such as first flush where there is a high pollutant wash-off load at the initial stage of the runoff event. This research study analysed the influence of rainfall characteristics on the pollutant wash-off process using two sets of innovative parameters by partitioning wash-off and rainfall characteristics. It was found that the initial 10% of the wash-off process is closely linked to runoff volume related rainfall parameters including rainfall depth and rainfall duration while the remaining part of the wash-off process is primarily influenced by kinetic energy related rainfall parameters, namely, rainfall intensity. These outcomes prove that different sectors of the wash-off process are influenced by different segments of a rainfall event.

An efficient scheme of common secure indices for conjunctive keyword-based retrieval on encrypted data

We consider the following problem: members in a dynamic group retrieve their encrypted data from an untrusted server based on keywords and without any loss of data confidentiality and member’s privacy. In this paper, we investigate common secure indices for conjunctive keyword-based retrieval over encrypted data, and construct an efficient scheme from Wang et al. dynamic accumulator, Nyberg combinatorial accumulator and Kiayias et al. public-key encryption system. The proposed scheme is trapdoorless and keyword-field free. The security is proved under the random oracle, decisional composite residuosity and extended strong RSA assumptions.

Water Quality Indices from Unbalanced Spatio-Temporal Monitoring Designs

This chapter investigates a variety of water quality assessment tools for reservoirs with balanced/unbalanced monitoring designs and focuses on providing informative water quality assessments to ensure decision-makers are able to make risk-informed management decisions about reservoir health. In particular, two water quality assessment methods are described: non-compliance (probability of the number of times the indicator exceeds the recommended guideline) and amplitude (degree of departure from the guideline). Strengths and weaknesses of current and alternative water quality methods will be discussed. The proposed methodology is particularly applicable to unbalanced designs with/without missing values and reflects the general conditions and is not swayed too heavily by the occasional extreme value (very high or very low quality). To investigate the issues in greater detail, we use as a case study, a reservoir within South-East Queensland (SEQ), Australia. The purpose here is to obtain an annual score that reflected the overall water quality, temporally, spatially and across water quality indicators for each reservoir.

Relationship of lightning ground flashes to rainfall and wet bulb temperature

The close relationship between rain and lightning is well known. However, there are numerous documented observations of heavy rain accompanied by little or no lightning activity (Williams et al, 1992; Jayaratne, 1993). Kuleshov et al (2002) studied thunderstorm distribution and frequency in Australia and concluded that thunderstorm frequency (as expressed by number of thunder-days) in Australia does not, in general, appear to vary in any consistent way with rainfall. However, thunder-days describe occurrence of thunderstorms as heard by an observer, and therefore could be only proxy data to evaluate actual lightning activity (i.e. number of total or cloud-to-ground flashes). Field experiments have demonstrated a strong increase in lightning activity with convective available potential energy (CAPE). It has also been shown that CAPE increases linearly with potential wet bulb temperature, Tw (Williams et al, 1992). In this study, we examine the relationship between lightning ground flash incidence and the two parameters – surface rainfall and surface wet bulb maximum temperature for selected localities around Australia...

Does the housing market respond to information disclosure? : Effects of toxicity indices in Japan

The policy instruments that provide information on a firm's or facility's environmental performance, such as the U.S. Toxic Release Inventory (TRI) and the Pollutant Release and Transfer Register system (PRTRs) used in some European countries and Japan, play an important role in encouraging firms or facilities to improve their environmental performance, if investors, consumers and residents recognize their environmental performance. This study uses a hedonic approach to explore how the Japanese rental housing market responds to carcinogenic risk arising from releases and transfers of chemical substances produced and used at close facilities. We found that residents do not perceive carcinogenic risk generated more than 1.0 km away from their residence and that they seem to recognize the increased carcinogenic risk at distances from 0.5 km to 1.0 km away; a 1% increase in carcinogenic risk reduces the average rent by 0.0007%. The distance at which residents perceive the risk arising from such facilities is less than in previous studies. This suggests that the risk perception recognized in previous studies may capture the other externalities in addition to the chemical risk because the risk is measured by the distance.

Refractive indices with Haag-Streit Lenstar biometer

Purpose: To estimate refractive indices used with the Lenstar biometer. Methods: Axial lengths of model eyes were determined using an IOLMaster biometer and a Lenstar; comparing these lengths gave an overall eye index for the Lenstar. Using the Lenstar Graphical User interface, we determined that boundaries between media could be manipulated so that there were opposite changes in optical pathlength on either side of the boundary and specified changes in distances determined the ratios of media indices. These ratios were combined with the overall eye index to estimate indices. Results: The IOLMaster and Lenstar produced axial length estimates to within ±0.01 mm. Estimations of group refractive indices were 1.340, 1.341, 1.415 and 1.354 for cornea, aqueous, lens and overall eye, respectively. The aqueous and lens indices, but not those for the cornea, are similar to schematic eye indices and reasonable lens indices. Conclusion: The Lenstar appears to use different refractive indices for different ocular media.

Nutrient discharge to groundwater at the Kaharoa rainfall recharge site, Rotorua [GNS Science Consultancy Report 2008/320]

Environment Bay of Plenty Commissioned GNS Science to measure nitrogen and phosphorus concentrations in rainfalla nd rainfall recharge to groundwater at the Kaharoa rainfall recharge site. The aim of this work is to determine nutrient concentrations in rainfall recharge to groundwater and rainfall under pasoral land use.