Optimal alarms systems and its application to financial time series

This thesis focuses on the application of optimal alarm systems to non linear time series models. The most common classes of models in the analysis of real-valued and integer-valued time series are described. The construction of optimal alarm systems is covered and its applications explored. Considering models with conditional heteroscedasticity, particular attention is given to the Fractionally Integrated Asymmetric Power ARCH, FIAPARCH(p; d; q) model and an optimal alarm system is implemented, following both classical and Bayesian methodologies. Taking into consideration the particular characteristics of the APARCH(p; q) representation for financial time series, the introduction of a possible counterpart for modelling time series of counts is proposed: the INteger-valued Asymmetric Power ARCH, INAPARCH(p; q). The probabilistic properties of the INAPARCH(1; 1) model are comprehensively studied, the conditional maximum likelihood (ML) estimation method is applied and the asymptotic properties of the conditional ML estimator are obtained. The final part of the work consists on the implementation of an optimal alarm system to the INAPARCH(1; 1) model. An application is presented to real data series.

Integer-valued APARCH processes in the analysis of time series of counts

The Asymmetric Power Arch representation for the volatility was introduced by Ding et al.(1993) in order to account for asymmetric responses in the volatility in the analysis of continuous-valued financial time series like, for instance, the log-return series of foreign exchange rates, stock indices or share prices. As reported by Brannas and Quoreshi (2010), asymmetric responses in volatility are also observed in time series of counts such as the number of intra-day transactions in stocks. In this work, an asymmetric power autoregressive conditional Poisson model is introduced for the analysis of time series of counts exhibiting asymmetric overdispersion. Basic probabilistic and statistical properties are summarized and parameter estimation is discussed. A simulation study is presented to illustrate the proposed model. Finally, an empirical application to a set of data concerning the daily number of stock transactions is also presented to attest for its practical applicability in data analysis.

The Ethical Gold series

A series of five articles, published over six months in 2010, which explained the key ethical issues relating to sourcing gold. The Ethical Gold Series was written for practising jewellers, industrial jewellery manufacturers and the wider design community. The Ethical Gold Series was published in the Benchpeg Newsletter, an online jewellery industry journal, which in 2010 had over 5,500 subscribers. The material for the articles was drawn from a year of ethnographic fieldwork in the UK jewellery sector, funded by the AHRC, and field visits to preserved, operating and proposed gold mining sites in Alaska, California, Sweden, Wales and Scotland. The ethnographic fieldwork included ‘ethical gold’ promotional events, private industry meetings and jewellery trade shows and meetings with jewellery manufacturers and retailers, assayers, gold refiners and traders and environmental and fair trade campaigners.

Case-series Evaluating a Transdiagnostic Cognitive-behavioral Treatment For Co-occurring Anxiety Disorders.

Background. Patients with anxiety disorder diagnoses commonly have more than one anxiety diagnosis. While cognitive-behavioral interventions have proven efficacy in treating single anxiety disorder diagnoses, there has been little investigation of their efficacy in treating cooccurring anxiety disorders. Aims. To evaluate the efficacy of a transdiagnostic cognitive-behavioral intervention for treating co-occurring anxiety disorders. Methods. An A-B single case study design (N = 6) was used to evaluate the efficacy of a 12 to 13 session modular transdiagnostic cognitive-behavioral intervention for treating co-occurring anxiety disorders across patients with at least two of the following diagnoses: GAD, Social Phobia, Panic Disorder and/or OCD. Results. Five of the six participants completed treatment. At post-treatment assessment the five treatment completers achieved diagnostic and symptomatic change with three participants being diagnosis free. All participants who completed treatment no longer met criteria for any DSM-IV-TR Axis-I diagnosis at the three-month follow-up assessment, and demonstrated reliable and clinically-significant improvements in symptoms. Across the participants, statistically significant improvements from pre- to post-intervention were found on measures of anxiety, depression and general well-being, and all improvements were maintained at three-month follow-up. Conclusions. Results suggest that transdiagnostic cognitive behavioral interventions can be of benefit to patients with co-occurring anxiety disorders.

Introduction to the Transforming Dementia Care in Hospitals Series

A short series of articles in Nursing Older People, starting in September, presents case study examples of the positive work achieved by trusts that participated in the RCN’s development programme to improve dementia care in acute hospitals. This introductory article reports on the independent evaluation of the programme. The programme included a launch event, development days, site visits, ongoing support by the RCN lead and carer representatives and a conference to showcase service improvements. The evaluation drew on data from a survey, the site visits, trust action plans and a range of self-assessment tools for dementia care. The findings highlight substantial progress towards programme objectives and learning outcomes and suggest that the programme provided the focus, impetus and structure for trusts to make sustainable changes. It also equipped participants with the strategies and confidence to change practice. Recommendations are made for taking the programme forward.

Music of Today Series, Garth Knox, October 22, 2013

Concert Program for Music of Today, Garth Knox, October 22, 2013

Music of Today Series, UW Modern Ensemble, Inverted Space, "Music by Luigi Nono," February 25, 2014

Concert Program for Music of Today Series, UW Modern Ensemble, Inverted Space, Andre Richard, February 25, 2014

Music of Today Series, UW Modern Ensemble, May 19, 2014

Concert Program for Music of Today Series, UW Modern Ensemble, May 19, 2014

Jazz Innovations Series, November 18, 2003

Concert Program for Jazz Innovations Series, November 18 2003

Concert Program for Mallet Head Series, Mallet Jazz October 19, 2012

Concert Program

Twelve Cosmological Leaps - series 01

An archive of 12 electronic files, visualised as colourful air grid lattice structures.

Twelve Cosmological Leaps - series 02

An archive of 12 electronic files, visualised as colourful air grid lattice structures.