The jump component of S&P 500 volatility and the VIX index

Much research has investigated the differences between option implied volatilities and econometric model-based forecasts. Implied volatility is a market determined forecast, in contrast to model-based forecasts that employ some degree of smoothing of past volatility to generate forecasts. Implied volatility has the potential to reflect information that a model-based forecast could not. This paper considers two issues relating to the informational content of the S&P 500 VIX implied volatility index. First, whether it subsumes information on how historical jump activity contributed to the price volatility, followed by whether the VIX reflects any incremental information pertaining to future jump activity relative to model-based forecasts. It is found that the VIX index both subsumes information relating to past jump contributions to total volatility and reflects incremental information pertaining to future jump activity. This issue has not been examined previously and expands our understanding of how option markets form their volatility forecasts.

Housing supply in Australia : the impact of the availability of development finance

Before the Global Financial Crisis many providers of finance had growth mandates and actively pursued development finance deals as a way of gaining higher returns on funds with regular capital turnover and re-investment possible. This was able to be achieved through high gearing and low presales in a strong market. As asset prices fell, loan covenants breached and memories of the 1990’s returned, banks rapidly adjusted their risk appetite via retraction of gearing and expansion of presale requirements. Early signs of loosening in bank credit policy are emerging, however parties seeking development finance are faced with a severely reduced number of institutions from which to source funding. The few institutions that are lending are filtering out only the best credit risks by way of constrictive credit conditions including: low loan to value ratios, the corresponding requirement to contribute high levels of equity, lack of support in non-prime locations and the requirement for only borrowers with well established track records. In this risk averse and capital constrained environment, the ability of developers to proceed with real estate developments is still being constrained by their inability to obtain project finance. This paper will examine the pre and post GFC development finance environment. It will identify the key lending criteria relevant to real estate development finance and will detail the related changes to credit policies over this period. The associated impact to real estate development projects will be presented, highlighting the significant constraint to supply that the inability to obtain finance poses.

Room for improvement : hotel giant resorts to Six Sigma to improve operations

Six Sigma provides a framework for quality improvement and business excellence. Introduced in the 1980s in manufacturing, the concept of Six Sigma has gained popularity in service organizations. After initial success in healthcare and banking, Six Sigma has gradually gained traction in other types of service industries, including hotels and lodging. Starwood Hotels and Resorts was the first hospitality giant to embrace Six Sigma. In 2001, Starwood adopted the method to develop innovative, customer-focused solutions and to transfer these solutions throughout the global organization. To analyze Starwood's use of Six Sigma, the authors collected data from articles, interviews, presentations and speeches published in magazines, newspapers and Web sites. This provided details to corroborate information, and they also made inferences from these sources. Financial metrics can explain the success of Six Sigma in any organization. There was no shortage of examples of Starwood's success resulting from Six Sigma project metrics uncovered during the research.

Virtual diasporas and the dilemma of multiple belongings in cyberspace

One of the most celebrated qualities of the Internet is its enabling of simultaneity and multiplicity. By allowing users to open as many windows into the world as they (and their computers) can withstand, the Internet is understood to have brought places and cultures together on a scale and in a manner unprecedented. Yet, while the Internet has enabled many to reconnect with cultures and places long distanced and/or lost, it has also led to the belief that these reconnections are established with little correspondent cost to existent ties of belonging. In this paper, I focus on the dilemma multiple belongings engender for the ties of national belonging and question the sanguinity of multiple belongings as practised online. In particular, I use Lefebvre's notion of lived space to unpack the problems and contradictions of what has been called 'Greater China' for the ethnic Chinese minority in nations like Malaysia, Singapore and Australia.

Automatic speaker recognition under adverse conditions

Speaker verification is the process of verifying the identity of a person by analysing their speech. There are several important applications for automatic speaker verification (ASV) technology including suspect identification, tracking terrorists and detecting a person’s presence at a remote location in the surveillance domain, as well as person authentication for phone banking and credit card transactions in the private sector. Telephones and telephony networks provide a natural medium for these applications. The aim of this work is to improve the usefulness of ASV technology for practical applications in the presence of adverse conditions. In a telephony environment, background noise, handset mismatch, channel distortions, room acoustics and restrictions on the available testing and training data are common sources of errors for ASV systems. Two research themes were pursued to overcome these adverse conditions: Modelling mismatch and modelling uncertainty. To directly address the performance degradation incurred through mismatched conditions it was proposed to directly model this mismatch. Feature mapping was evaluated for combating handset mismatch and was extended through the use of a blind clustering algorithm to remove the need for accurate handset labels for the training data. Mismatch modelling was then generalised by explicitly modelling the session conditions as a constrained offset of the speaker model means. This session variability modelling approach enabled the modelling of arbitrary sources of mismatch, including handset type, and halved the error rates in many cases. Methods to model the uncertainty in speaker model estimates and verification scores were developed to address the difficulties of limited training and testing data. The Bayes factor was introduced to account for the uncertainty of the speaker model estimates in testing by applying Bayesian theory to the verification criterion, with improved performance in matched conditions. Modelling the uncertainty in the verification score itself met with significant success. Estimating a confidence interval for the "true" verification score enabled an order of magnitude reduction in the average quantity of speech required to make a confident verification decision based on a threshold. The confidence measures developed in this work may also have significant applications for forensic speaker verification tasks.

The mobile phone as a multi OTP device using trusted computing

The rapid growth in the number of online services leads to an increasing number of different digital identities each user needs to manage. As a result, many people feel overloaded with credentials, which in turn negatively impact their ability to manage them securely. Passwords are perhaps the most common type of credential used today. To avoid the tedious task of remembering difficult passwords, users often behave less securely by using low entropy and weak passwords. Weak passwords and bad password habits represent security threats to online services. Some solutions have been developed to eliminate the need for users to create and manage passwords. A typical solution is based on giving the user a hardware token that generates one-time-passwords, i.e. passwords for single session or transaction usage. Unfortunately, most of these solutions do not satisfy scalability and/or usability requirements, or they are simply insecure. In this paper, we propose a scalable OTP solution using mobile phones and based on trusted computing technology that combines enhanced usability with strong security.

Information sharing in the 21st century : progress and challenges

With the increasing threat of cyber and other attacks on critical infrastructure, governments throughout the world have been organizing industry to share information on possible threats. In Australia the Office of the Attorney General has formed Trusted Information Sharing Networks (TISN) for the various critical industries such as banking and electricity. Currently the majority of information for a TISN is shared at physical meetings. To meet cyber threats there are clearly limitations to physical meetings. Many of these limitations can be overcome by the creation of a virtual information sharing network (VISN). However there are many challenges to overcome in the design of a VISN both from a policy and technical viewpoint. We shall discuss some of these challenges in this talk.

Vision based control for fixed wing UAVs inspecting locally linear infrastructure using skid-to-turn maneuvers

The following paper proposes a novel application of Skid-to-Turn maneuvers for fixed wing Unmanned Aerial Vehicles (UAVs) inspecting locally linear infrastructure. Fixed wing UAVs, following the design of manned aircraft, commonly employ Bank-to-Turn ma- neuvers to change heading and thus direction of travel. Whilst effective, banking an aircraft during the inspection of ground based features hinders data collection, with body fixed sen- sors angled away from the direction of turn and a panning motion induced through roll rate that can reduce data quality. By adopting Skid-to-Turn maneuvers, the aircraft can change heading whilst maintaining wings level flight, thus allowing body fixed sensors to main- tain a downward facing orientation. An Image-Based Visual Servo controller is developed to directly control the position of features as captured by onboard inspection sensors. This improves on the indirect approach taken by other tracking controllers where a course over ground directly above the feature is assumed to capture it centered in the field of view. Performance of the proposed controller is compared against that of a Bank-to-Turn tracking controller driven by GPS derived cross track error in a simulation environment developed to replicate the field of view of a body fixed camera.

Vitrification as a prospect for cryopreservation of tissue-engineered constructs

Cryopreservation plays a significant function in tissue banking and will presume yet larger value when more and more tissue-engineered products will routinely enter the clinical arena. The most common concept underlying tissue engineering is to combine a scaffold (cellular solids) or matrix (hydrogels) with living cells to form a tissue-engineered construct (TEC) to promote the repair and regeneration of tissues. The scaffold and matrix are expected to support cell colonization, migration, growth and differentiation, and to guide the development of the required tissue. The promises of tissue engineering, however, depend on the ability to physically distribute the products to patients in need. For this reason, the ability to cryogenically preserve not only cells, but also TECs, and one day even whole laboratory-produced organs, may be indispensable. Cryopreservation can be achieved by conventional freezing and vitrification (ice-free cryopreservation). In this publication we try to define the needs versus the desires of vitrifying TECs, with particular emphasis on the cryoprotectant properties, suitable materials and morphology. It is concluded that the formation of ice, through both direct and indirect effects, is probably fundamental to these difficulties, and this is why vitrification seems to be the most promising modality of cryopreservation

The aftermath of the Lehman Brothers collapse in Hong Kong : the saga, regulatory deficiencies and government responses

The paper examines the fallout of the Lehman Brothers collapse in Hong Kong. As an international financial hub in Asia, Hong Kong was profoundly affected by the collapse of this company. As a result, it impacted negatively on the public’s confidence in the Hong Kong’s banking sector. Furthermore, this event has exposed a number of regulatory deficiencies in Hong Kong. In response to this financial crisis, the Hong Kong government had made an unprecedented move to negotiate with local banks to refund the investors. In addition, the government has also sought public consultation on proposal to enhance the regulation of the sale of financial products. This paper argues that there needs to be amendments to the prevailing laws and the inclusions of legal rules to back up those proposed measures so that the disclosed information from the financial institution will not mislead the investors or misrepresent the products offered.

Momentum and seasonality in Chinese stock markets

In this paper, we follow Jegadeesh and Titman's (1993, Journal of Finance) approach to examine 25 momentum/contrarian trading strategies using monthly stock returns in China for the period from 1994 to 2007. Our results suggest that there is no momentum profitability in any of the 25 strategies. In contrast, there is some evidence of reversal effects where the past winners become losers and past losers become winners afterward. The contrarian profit is statistically significant for the strategies using short formation and holding periods, especially for the formation periods of 1 to 3 months and the holding periods of 1 to 3 months. The contrarian strategies can generate about 12% per annum on average. Moreover, we follow Heston and Sadka (2008, Journal of Financial Economics) to investigate where there is any seasonal pattern in the cross-sectional variation of average stock returns in our momentum/contrarian strategies. There is no evidence of any seasonal pattern, and the results are robust to different formation and holding periods.

Striving to realise the European idea : judging the news media’s accounts of how the Berlin Wall gave impetus to a new order across Europe

The 1990 European Community was taken by surprise, by the urgency of demands from the newly-elected Eastern European governments to become member countries. Those governments were honouring the mass social movement of the streets, the year before, demanding free elections and a liberal economic system associated with “Europe”. The mass movement had actually been accompanied by much activity within institutional politics, in Western Europe, the former “satellite” states, the Soviet Union and the United States, to set up new structures – with German reunification and an expanded EC as the centre-piece. This paper draws on the writer’s doctoral dissertation on mass media in the collapse of the Eastern bloc, focused on the Berlin Wall – documenting both public protests and institutional negotiations. For example the writer as a correspondent in Europe from that time, recounts interventions of the German Chancellor, Helmut Kohl, at a European summit in Paris nine days after the “Wall”, and separate negotiations with the French President, Francois Mitterrand -- on the reunification, and EU monetary union after 1992. Through such processes, the “European idea” would receive fresh impetus, though the EU which eventuated, came with many altered expectations. It is argued here that as a result of the shock of 1989, a “social” Europe can be seen emerging, as a shared experience of daily life -- especially among people born during the last two decades of European consolidation. The paper draws on the author’s major research, in four parts: (1) Field observation from the strategic vantage point of a news correspondent. This includes a treatment of evidence at the time, of the wishes and intentions of the mass public (including the unexpected drive to join the European Community), and those of governments, (e.g. thoughts of a “Tienanmen Square solution” in East Berlin, versus the non-intervention policies of the Soviet leader, Mikhail Gorbachev). (2) A review of coverage of the crisis of 1989 by major news media outlets, treated as a history of the process. (3) As a comparison, and a test of accuracy and analysis; a review of conventional histories of the crisis appearing a decade later.(4) A further review, and test, provided by journalists responsible for the coverage of the time, as reflection on practice – obtained from semi-structured interviews.

A site selection process for environmental offsetting purposes in Queensland

A method of selecting land in any region of Queensland for offsetting purposes is devised, employing uniform standards. The procedure first requires that any core natural asset lands, Crown environmental lands, prime urban and agricultural lands, and highly contentious sites in the region be eliminated from consideration. Other land is then sought that is located between existing large reservations and the centre of greatest potential regional development/disturbance. Using the criteria of rehabilitation (rather than preservation) plus proximity to those officially defined Regional Ecosystems that are most threatened, adjacent sites that are described as ‘Cleared’ are identified in terms of agricultural land capability. Class IV lands – defined as those ‘which may be safely used for occasional cultivation with careful management’,2 ‘where it is favourably located for special usage’,3 and where it is ‘helpful to those who are interested in industry or regional planning or in reconstruction’4 – are examined for their appropriate area, for current tenure and for any conditions such as Mining Leases that may exist. The positive impacts from offsets on adjoining lands can then be designed to be significant; examples are also offered in respect of riparian areas and of Marine Parks. Criteria against which to measure performance for trading purposes include functional lift, with other case studies about this matter reported separately in this issue. The procedure takes no account of demand side economics (financial additionality), which requires commercial rather than environmental analysis.

Measurement of the net environmental benefit of offsetting in Queensland

The process of offsetting land against unavoidable disturbance of development sites in Queensland will benefit from a method that allows the best possible selection to be made of alternative lands. With site selection now advocated through a combination of Regional Ecosystem and Land Capability classifications state-wide, a case study has determined methods of assessing the functional lift – that is, measures of net environmental gain – of such action. Outcomes with potentially high functional lift are determined, that offer promise not only for endangered ecosystems but also for managing adjacent conservation reserves.

Carbon financing and the Australian emissions trading scheme : less emissions, more opportunities?

The introduction by the Australian federal government of its Carbon Pollution Reduction Scheme was a decisive step in the transformation of Australia into a low carbon economy. Since the release of the Scheme, however, political discourse relating to environmental sustainability and climate change in Australia has focused primarily on political, scientific and economic issues. Insufficient attention has been paid to the financial opportunities which commoditisation of the carbon market may offer, and little emphasis has been placed on the legal implications for the creation of a "new" asset and market. This article seeks to shed some light on the discernable opportunities which the Scheme should provide to participants in the Australian and international debt markets.