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.

Designing the information architecture of governmental one-stop portals : on the application and analysis of card sorting

The latest paradigm shift in government, termed Transformational Government, puts the citizen in the centre of attention. Including citizens in the design of online one-stop portals can help governmental organisations to become more customer focussed. This study describes the initial efforts of an Australian state government to develop an information architecture to structure the content of their future one-stop portal. Hereby, card sorting exercises have been conducted and analysed, utilising contemporary approaches found in academic and non-scientific literature. This paper describes the findings of the card sorting exercises in this particular case and discusses the suitability of the applied approaches in general. These are distinguished into non-statistical, statistical, and hybrid approaches. Thus, on the one hand, this paper contributes to academia by describing the application of different card sorting approaches and discussing their strengths and weaknesses. On the other hand, this paper contributes to practice by explaining the approach that has been taken by the authors’ research partner in order to develop a customer-focussed governmental one-stop portal. Thus, they provide decision support for practitioners with regard to different analysis methods that can be used to complement recent approaches in Transformational Government.

Cerebral cortex activation mapping upon electrical muscle stimulation by 32-channel time-domain functional near-infrared spectroscopy

The application of different EMS current thresholds on muscle activates not only the muscle but also peripheral sensory axons that send proprioceptive and pain signals to the cerebral cortex. A 32-channel time-domain fNIRS instrument was employed to map regional cortical activities under varied EMS current intensities applied on the right wrist extensor muscle. Eight healthy volunteers underwent four EMS at different current thresholds based on their individual maximal tolerated intensity (MTI), i.e., 10 % < 50 % < 100 % < over 100 % MTI. Time courses of the absolute oxygenated and deoxygenated hemoglobin concentrations primarily over the bilateral sensorimotor cortical (SMC) regions were extrapolated, and cortical activation maps were determined by general linear model using the NIRS-SPM software. The stimulation-induced wrist extension paradigm significantly increased activation of the contralateral SMC region according to the EMS intensities, while the ipsilateral SMC region showed no significant changes. This could be due in part to a nociceptive response to the higher EMS current intensities and result also from increased sensorimotor integration in these cortical regions.

A discourse on the non-method

In spite of the activism of professional bodies and researchers, empirical evidence shows that project management still does not deliver the expected benefits and promises. Hence, many have questioned the validity of the hegemonic rationalist paradigm anchored in the Enlightenment and Natural Sciences tradition supporting project management research and practice for the last 60 years and the lack of relevance to practice of the current conceptual base of project management. In order to address these limitations many authors, taking a post-modernist stance in social sciences, build on ‘pre-modern’ philosophies such as the Aristotelian one, specially emphasizing the role of praxis (activity), and phronesis (practical wisdom, prudence). Indeed, ‘Praxis … is the central category of the philosophy which is not merely an interpretation of the world, but is also a guide to its transformation …’ (Vazquez, 1977:. 149). Therefore, praxis offers an important focus for practitioners and researchers in social sciences, one in which theory is integrated with practice at the point of intervention. Simply stated, praxis can serve as a common ground for those interested in basic and applied research by providing knowledge of the reality in which action, informed by theory, takes place. Consequently, I suggest a ‘praxeological’ style of reasoning (praxeology being defined as study or science of human actions and conduct, including praxis, practices and phronesis) and to go beyond the ‘Theory-Practice’ divide. Moreover, I argue that we need to move away from the current dichotomy between the two classes ‘scholars experts-researchers’ and ‘managers/workers-practitioners-participants’. Considering one single class of ‘PraXitioner’, becoming a phronimos, may contribute to create new perspectives and open up new ways of thinking and acting in project situations. Thus, I call for a Perestroika in researching and acting in project management situations. My intent is to suggest a balanced praxeological view of the apparent opposition between social and natural science approaches. I explore, in this chapter, three key questions, covering the ontological, epistemological and praxeological dimensions of project management in action. 1. Are the research approaches being currently used appropriate for generating contributions that matter to both theory and practice with regards to what a ‘project’ is or to what we do when we call a specific situation ‘a project’? 2. On the basis of which intellectual virtues is the knowledge generated and what is the impact for theory and practice? 3. Are the modes of action of the practitioners ‘prudent’ and are they differentiating or reconciling formal and abstract rationality from substantive rationality and situated reasoning with regards to the mode of action they adopt in particular project situations? The investigation of the above questions leads me to debate about ‘Project Management-as-Praxis’, and to suggest ‘A’ (not ‘THE’) ‘praxeological’ style of reasoning and mode of inquiry – acknowledging a non-paradigmatic, subjective and kaleidoscopic perspective – for ‘Knowing-as-Practicing’ in project management. In short, this is about making a ‘Projects Science’ that matters.

Combining elicited expert knowledge into Bayesian priors

Information that is elicited from experts can be treated as `data', so can be analysed using a Bayesian statistical model, to formulate a prior model. Typically methods for encoding a single expert's knowledge have been parametric, constrained by the extent of an expert's knowledge and energy regarding a target parameter. Interestingly these methods have often been deterministic, in that all elicited information is treated at `face value', without error. Here we sought a parametric and statistical approach for encoding assessments from multiple experts. Our recent work proposed and demonstrated the use of a flexible hierarchical model for this purpose. In contrast to previous mathematical approaches like linear or geometric pooling, our new approach accounts for several sources of variation: elicitation error, encoding error and expert diversity. Of interest are the practical, mathematical and philosophical interpretations of this form of hierarchical pooling (which is both statistical and parametric), and how it fits within the subjective Bayesian paradigm. Case studies from a bioassay and project management (on PhDs) are used to illustrate the approach.

Monitoring of complex systems of interacting dynamic systems

Increases in functionality, power and intelligence of modern engineered systems led to complex systems with a large number of interconnected dynamic subsystems. In such machines, faults in one subsystem can cascade and affect the behavior of numerous other subsystems. This complicates the traditional fault monitoring procedures because of the need to train models of the faults that the monitoring system needs to detect and recognize. Unavoidable design defects, quality variations and different usage patterns make it infeasible to foresee all possible faults, resulting in limited diagnostic coverage that can only deal with previously anticipated and modeled failures. This leads to missed detections and costly blind swapping of acceptable components because of one’s inability to accurately isolate the source of previously unseen anomalies. To circumvent these difficulties, a new paradigm for diagnostic systems is proposed and discussed in this paper. Its feasibility is demonstrated through application examples in automotive engine diagnostics.

Aboriginal and Torres Strait Islander cookbooks : promoting Indigenous foodways or reinforcing Western traditions?

This article examines the recent emergence of cookbooks written for Aboriginal and Torres Strait Islander people in Australia. The cookbooks are health promotion initiatives, developed through a desire to improve the health status of Indigenous Australians. They focus on nutritious, family meals that can be cooked on a low budget. In this article, the authors argue that the cookbooks designed for Aboriginal and Torres Strait Islander people are developed within a Western paradigm of health and nutrition that subtly reinforces Western approaches to food and disregards traditional diets. While the authors recognize the value of the cookbooks as health promotion tools, they suggest that cookbooks centred around Indigenous foodways – with a focus on traditional ingredients and traditional cooking methods – may be more appropriate for improving the health of Indigenous people and helping Indigenous cultures to thrive. They advocate for a decolonizing approach to food and nutrition, that specifically promotes Indigenous traditions and culture, and incorporates traditional foodways into modern recipes.

Contemporary Australian masculinities and De Certeau’s concept of la perruqe in Christos Tsiolkas’ novel The Slap (2008)

This paper will focus on how Christos Tsiolkas the author of The Slap (2008) invites us to view the complex range of private lives of his male characters living in suburban Melbourne through their daily routines, conversations and innermost thoughts. On the surface most appear to be participating in and achieving a certain level of success in their lives. However, this novel reveals when we agitate and dig below the “practices of everyday life” there is often a disquiet simmering away under the facade of family harmony, male bravado and contentment. This paper will argue that as a result of dissatisfaction with the established order of their lives, each man has managed to create another level of meaning for himself, his own form of la perruque (De Certeau 2011: 29),the concept of living proposed by Michel De Certeau. A treatment of the characters in this article draws on, and is used to illustrate the paradigm.

Knowledge based urban development lessons from a non-western country : the Malaysia experience

Knowledge based urban development (KBUD) is seen as a new paradigm in urban planning and development which is now being implemented across the globe in order to increase the competitiveness of cities and regions. The KBUD concept has been widely applied in western and more developed countries over the last decade, and many have been proven successful. This paper, however, aims to provide an overview of the KBUD exercise in a context of a non western country scenario—Malaysia. Literature suggests that the urban development process in non western countries is different and very much focusing on physical elements. Whether this is the case or otherwise, this paper scrutinises the project of Multimedia Super Corridor (MSC), Malaysia, which is regarded as one of the first large scale manifestations of KBUD exercise in South East Asia. Based on development policies analysis and results of the interviews with the major stakeholders, this paper investigates the application of KBUD concept within the Malaysian context by examining the development and evolution of the city of Cyberjaya—the leading intelligent city of the MSC project. In the light of the literature and case findings, the paper provides recommendations and lessons learned, on the orchestration of KBUD, for other non western cities and regions that are working hard to develop KBUD strategies, strengthening their sustainable socio-spatial policies and seeking a global recognition.

Knowledge-based urban development performance analysis : moving towards an integrated system

Knowledge-based urban development (KBUD) has become the new development paradigm for the cities of the global knowledge economy era. Nevertheless, to date international KBUD performance analysis of prosperous knowledge cities is understudied. This paper, therefore, introduces the methodology and application of a novel performance analysis approach to comprehensively scrutinise the global perspectives on KBUD of cities—i.e., The KBUD Assessment Model (KBUD/AM). This indexing model puts 11 renowned knowledge cities—i.e., Birmingham, Boston, Brisbane, Helsinki, Istanbul, Manchester, Melbourne, San Francisco, Sydney, Toronto, Vancouver—under the KBUD microscope to provide a benchmarked international outlook. The results of the indexing provide internationally benchmarked snapshot of the degree of achievements in various KBUD performance areas. This paper discusses the further development avenues and potentialities of the index to become an integrated system for the policy-making circles of cities to benchmark themselves against their competitors and develop relevant KBUD policies.

Proceedings of the 6th Knowledge Cities World Summit, KCWS 2013

In recent years, with the impact of global knowledge economy, a more comprehensive development approach has gained significant popularity. This new development approach, so called ‘knowledge-based urban development’, is different from its traditional predecessor. With a much more balanced focus on all of the four key development domains – economic, spatial, institutional, and socio-cultural – this contemporary approach, aims to bring economic prosperity, environmental sustainability and local institutional competence with a just socio-spatial order to our cities and regions. The ultimate goal of knowledgebased urban development is to produce a city purposefully designed to encourage the continuous production, circulation and commercialization of social and scientific knowledge – this will in turn establish a ‘knowledge city’. A city following the ‘knowledge city’ concept embarks on a strategic mission to firmly encourage and nurture locally focused innovation, science and creativity within the context of an expanding knowledge economy and society. In this regard a ‘knowledge city’ can be seen as an integrated city, which physically and institutionally combines the functions of a science and technology park with civic and residential functions and urban amenities. It also offers one of the effective paradigms for the sustainable cities of our time. This sixth edition of KCWS – The 6th Knowledge Cities World Summit 2013 – makes an important reminder that the ‘knowledge city’ concept is a key notion in the 21st Century development. Considering this notion, the Summit sheds light on the multifaceted dimensions and various scales of building a ‘knowledge city’ via ‘knowledge-based urban development’ paradigm by particularly focusing on the overall Summit theme of ‘Establishing Bridges’. At this summit, the theoretical and practical maturing of knowledge-based development paradigms are advanced through the interplay between the world’s leading academics’ theories and the practical models and strategies of practitioners’ and policy makers’ drawn from around the world. This summit proceeding is compiled in order to disseminate the knowledge generated and shared in KCWS 2013 with the wider research, governance, and practice communities the knowledge co-created in this summit. All papers of this proceeding have gone through a double-blind peer review process and been reviewed by our summit editorial review and advisory board members. We, organizers of the summit, cordially thank the members of the Summit Proceeding Editorial Review and Advisory Board for their diligent work in the review of the papers. Also we thank Prof.Dr. Ahmet Ademoğlu, Rector of İstanbul Şehir University, for providing all the support for the Summit. We hope the papers in this proceeding will inspire and make a significant contribution to the research, governance, and practice circles.

Immunodeficiency-associated lymphomas

This article covers lymphoproliferative disorders in patients with primary or acquired immunodeficiencies. Primary immunodeficiences include Ataxia Telangiectasia and X-linked disorders such as Wiskott-Aldrich syndrome. Acquired immunodeficiencies predominantly occur in the setting of infection with the Human Immunodeficiency Virus or arise following immunosuppressive therapy administered after organ transplantation. The rising incidence of HIV throughout the world and the dramatic increase in transplant surgery since the 1990's suggest that these lymphomas will remain an important health problem. Evidence for lymphoma developing as a result of treatment with methotrexate or Tumour Necrosis Factor Antagonists for autoimmune entities will also be reviewed. The lymphoproliferations that occur with immunodeficiency are extremely heterogenous. In part this reflects the diversity of the causal immune defect. The most striking clinical characteristic is the high frequency of extranodal disease. Frequently, these lymphomas are driven by viruses such as Epstein-Barr virus (EBV), although the lack of EBV in a proportion indicates that alternate pathways must also be involved in the pathogenesis. Lastly, discussion will centre on mechanisms utilized by lymphomas in the immunodeficient as these may have applications to lymphomas in the "immunocompetent", by serving as a paradigm for the altered immunoregulatory environment present in many lymphoma sub-types.

Assessing testamentary and decision-making competence/capacity in the Australian context

Australia lacks a satisfactory, national paradigm for assessing competence and capacity in the context of testamentary, enduring power of attorney and advance care directive documents. Competence/capacity assessments are currently conducted on an ad hoc basis by legal and/or medical professionals. The reliability of the assessment process is subject to the skill set and mutual understanding of the legal and/or medical professional conducting the assessment. There is a growth in the prevalence of diseases such as dementia. Such diseases impact upon cognition which increasingly necessitates collaboration between the legal and medical professions when assessing the effect of mentally disabling conditions upon competency/capacity. Miscommunication and lack of understanding between legal and medical professionals involved could impede the development of a satisfactory paradigm. A qualitative study seeking the views of legal and medical professionals who practise in this area has been conducted. This incorporated surveys and interviews of 10 legal and 20 medical practitioners. Some of the results are discussed here. Practitioners were asked whether there is a standard approach and whether national guidelines were desirable. There was general agreement that uniform guidelines for the assessment of competence/capacity would be desirable. The interviews also canvassed views as to the state of the relationship between the professions. The results of the empirical research support the hypothesis that relations between the professions could be improved. The development of a national paradigm would promote consistency and transparency of process, helping to improve the professional relationship and maximising the principles of autonomy, participation and dignity.

Competency and capacity : the legal and medical interface

Balancing the competing interests of autonomy and protection of individuals is an escalating challenge confronting an ageing Australian society. Legal and medical professionals are increasingly being asked to determine whether individuals are legally competent/capable to make their own testamentary and substitute decision-making, that is financial and/or personal/health care, decisions. No consistent and transparent competency/capacity assessment paradigm currently exists in Australia. Consequently, assessments are currently being undertaken on an ad hoc basis which is concerning as Australia’s population ages and issues of competency/capacity increase. The absence of nationally accepted competency/capacity assessment guidelines and supporting principles results in legal and medical professionals involved with competency/capacity assessment implementing individual processes tailored to their own abilities. Legal and medical approaches differ both between and within the professions. The terminology used also varies. The legal practitioner is concerned with whether the individual has the legal ability to make the decision. A medical practitioner assesses fluctuations in physical and mental abilities. The problem is that the terms competency and capacity are used interchangeably resulting in confusion about what is actually being assessed. The terminological and methodological differences subsequently create miscommunication and misunderstanding between the professions. Consequently, it is not necessarily a simple solution for a legal professional to seek the opinion of a medical practitioner when assessing testamentary and/or substitute decision-making competency/capacity. This research investigates the effects of the current inadequate testamentary and substitute decision-making assessment paradigm and whether there is a more satisfactory approach. This exploration is undertaken within a framework of therapeutic jurisprudence which promotes principles fundamentally important in this context. Empirical research has been undertaken to first, explore the effects of the current process with practising legal and medical professionals; and second, to determine whether miscommunication and misunderstanding actually exist between the professions such that it gives rise to a tense relationship which is not conducive to satisfactory competency/capacity assessments. The necessity of reviewing the adequacy of the existing competency/capacity assessment methodology in the testamentary and substitute decision-making domain will be demonstrated and recommendations for the development of a suitable process made.

Writing the visible page : a multimodal approach to graphic devices in literary fiction

This practice-led project has two outcomes: a collection of short stories titled 'Corkscrew Section', and an exegesis. The short stories combine written narrative with visual elements such as images and typographic devices, while the exegesis analyses the function of these graphic devices within adult literary fiction. My creative writing explores a variety of genres and literary styles, but almost all of the stories are concerned with fusing verbal and visual modes of communication. The exegesis adopts the interpretive paradigm of multimodal stylistics, which aims to analyse graphic devices with the same level of detail as linguistic analysis. Within this framework, the exegesis compares and extends previous studies to develop a systematic method for analysing how the interactions between language, images and typography create meaning within multimodal literature.