Stochastic modelling of financial time series with memory and multifractal scaling

Financial processes may possess long memory and their probability densities may display heavy tails. Many models have been developed to deal with this tail behaviour, which reflects the jumps in the sample paths. On the other hand, the presence of long memory, which contradicts the efficient market hypothesis, is still an issue for further debates. These difficulties present challenges with the problems of memory detection and modelling the co-presence of long memory and heavy tails. This PhD project aims to respond to these challenges. The first part aims to detect memory in a large number of financial time series on stock prices and exchange rates using their scaling properties. Since financial time series often exhibit stochastic trends, a common form of nonstationarity, strong trends in the data can lead to false detection of memory. We will take advantage of a technique known as multifractal detrended fluctuation analysis (MF-DFA) that can systematically eliminate trends of different orders. This method is based on the identification of scaling of the q-th-order moments and is a generalisation of the standard detrended fluctuation analysis (DFA) which uses only the second moment; that is, q = 2. We also consider the rescaled range R/S analysis and the periodogram method to detect memory in financial time series and compare their results with the MF-DFA. An interesting finding is that short memory is detected for stock prices of the American Stock Exchange (AMEX) and long memory is found present in the time series of two exchange rates, namely the French franc and the Deutsche mark. Electricity price series of the five states of Australia are also found to possess long memory. For these electricity price series, heavy tails are also pronounced in their probability densities. The second part of the thesis develops models to represent short-memory and longmemory financial processes as detected in Part I. These models take the form of continuous-time AR(∞) -type equations whose kernel is the Laplace transform of a finite Borel measure. By imposing appropriate conditions on this measure, short memory or long memory in the dynamics of the solution will result. A specific form of the models, which has a good MA(∞) -type representation, is presented for the short memory case. Parameter estimation of this type of models is performed via least squares, and the models are applied to the stock prices in the AMEX, which have been established in Part I to possess short memory. By selecting the kernel in the continuous-time AR(∞) -type equations to have the form of Riemann-Liouville fractional derivative, we obtain a fractional stochastic differential equation driven by Brownian motion. This type of equations is used to represent financial processes with long memory, whose dynamics is described by the fractional derivative in the equation. These models are estimated via quasi-likelihood, namely via a continuoustime version of the Gauss-Whittle method. The models are applied to the exchange rates and the electricity prices of Part I with the aim of confirming their possible long-range dependence established by MF-DFA. The third part of the thesis provides an application of the results established in Parts I and II to characterise and classify financial markets. We will pay attention to the New York Stock Exchange (NYSE), the American Stock Exchange (AMEX), the NASDAQ Stock Exchange (NASDAQ) and the Toronto Stock Exchange (TSX). The parameters from MF-DFA and those of the short-memory AR(∞) -type models will be employed in this classification. We propose the Fisher discriminant algorithm to find a classifier in the two and three-dimensional spaces of data sets and then provide cross-validation to verify discriminant accuracies. This classification is useful for understanding and predicting the behaviour of different processes within the same market. The fourth part of the thesis investigates the heavy-tailed behaviour of financial processes which may also possess long memory. We consider fractional stochastic differential equations driven by stable noise to model financial processes such as electricity prices. The long memory of electricity prices is represented by a fractional derivative, while the stable noise input models their non-Gaussianity via the tails of their probability density. A method using the empirical densities and MF-DFA will be provided to estimate all the parameters of the model and simulate sample paths of the equation. The method is then applied to analyse daily spot prices for five states of Australia. Comparison with the results obtained from the R/S analysis, periodogram method and MF-DFA are provided. The results from fractional SDEs agree with those from MF-DFA, which are based on multifractal scaling, while those from the periodograms, which are based on the second order, seem to underestimate the long memory dynamics of the process. This highlights the need and usefulness of fractal methods in modelling non-Gaussian financial processes with long memory.

The development and validation of Australian indices of child development - Part II : validity support

The two outcome indices described in a companion paper (Sanson et al., Child Indicators Research, 2009) were developed using data from the Longitudinal Study of Australian Children (LSAC). These indices, one for infants and the other for 4 year to 5 year old children, were designed to fill the need for parsimonious measures of children’s developmental status to be used in analyses by a broad range of data users and to guide government policy and interventions to support young children’s optimal development. This paper presents evidence from Wave 1data from LSAC to support the validity of these indices and their three domain scores of Physical, Social/Emotional, and Learning. Relationships between the indices and child, maternal, family, and neighborhood factors which are known to relate concurrently to child outcomes were examined. Meaningful associations were found with the selected variables, thereby demonstrating the usefulness of the outcome indices as tools for understanding children’s development in their family and socio-cultural contexts. It is concluded that the outcome indices are valuable tools for increasing understanding of influences on children’s development, and for guiding policy and practice to optimize children’s life chances.

Extraction of road lanes from high-resolution stereo aerial imagery based on maximum likelihood segmentation and texture enhancement

Accurate road lane information is crucial for advanced vehicle navigation and safety applications. With the increasing of very high resolution (VHR) imagery of astonishing quality provided by digital airborne sources, it will greatly facilitate the data acquisition and also significantly reduce the cost of data collection and updates if the road details can be automatically extracted from the aerial images. In this paper, we proposed an effective approach to detect road lanes from aerial images with employment of the image analysis procedures. This algorithm starts with constructing the (Digital Surface Model) DSM and true orthophotos from the stereo images. Next, a maximum likelihood clustering algorithm is used to separate road from other ground objects. After the detection of road surface, the road traffic and lane lines are further detected using texture enhancement and morphological operations. Finally, the generated road network is evaluated to test the performance of the proposed approach, in which the datasets provided by Queensland department of Main Roads are used. The experiment result proves the effectiveness of our approach.

Young children's early modelling with data

An educational priority of many nations is to enhance mathematical learning in early childhood. One area in need of special attention is that of statistics. This paper argues for a renewed focus on statistical reasoning in the beginning school years, with opportunities for children to engage in data modelling activities. Such modelling involves investigations of meaningful phenomena, deciding what is worthy of attention (i.e., identifying complex attributes), and then progressing to organising, structuring, visualising, and representing data. Results are reported from the first year of a three-year longitudinal study in which three classes of first-grade children and their teachers engaged in activities that required the creation of data models. The theme of “Looking after our Environment,” a component of the children’s science curriculum at the time, provided the context for the activities. Findings focus on how the children dealt with given complex attributes and how they generated their own attributes in classifying broad data sets, and the nature of the models the children created in organising, structuring, and representing their data.

Building eResearch Services, Capabilities and Capacity

The Queensland University of Technology (QUT) is known for several flagship eResearch centres. It also has a number of mature, centralised research support services that address a several of areas of eResearch. The university has openly stated its aspiration to be an institution with a strongly embedded eResearch capability and to this end it has expressed the desire to establish a university-wide eResearch support service. However, articulating this desire is much easier than realising it. During 2008 QUT undertook a major review into eResearch that made recommendations on the development of university-wide eResearch support service and the building of eResearch capabilities and capacity throughout the university. The results of this review were reported last year at this conference. In 2009, QUT is progressing a second, follow-on project – Building eResearch Support Capability and Capacity. It has been designed to build upon existing strengths in HPC, repositories, data management, and the delivery of integrated skills for eresearch. The purpose of this presentation is to give an update on QUT’s journey, one year on from its first major report into eResearch. It will outline how the university is approaching this challenge, the current work being carried out and the strategies being employed. We will also discuss the lessons learned.

The application of the Park & Ride and TOD concepts to develop a new framework that can maximise public transport patronage

With growing concern over the use of the car in our urbanized society, there have emerged a number of lobby groups and professional bodies promoting a return to public transport, walking and cycling, with the urban village as the key driving land use, as a means of making our cities’ transportation systems more sustainable. This research has aimed at developing a framework applicable to the Australian setting that can facilitate increased passenger patronage of rail based urban transport systems from adjacent or associated land uses. The framework specifically tested the application of the Park & Ride and Transit Oriented Development (TOD) concepts and their applicability within the cultural, institutional, political and transit operational characteristics of Australian society. The researcher found that, although the application of the TOD concept had been limited to small pockets of town houses and mixed use developments around stations, the development industry and emerging groups within the community are posed to embrace the concept and bring with it increased rail patronage. The lack of a clear commitment to infrastructure and supporting land uses is a major barrier to the implementation of TODs. The research findings demonstrated significant scope for the size of a TOD to expand to a much greater radius of activity from the public transport interchange, than the commonly quoted 400 to 600 meters, thus incorporating many more residents and potential patrons. The provision of Park & Rides, and associated support facilities like Kiss & Rides, have followed worldwide trends of high patronage demands from the middle and outer car dependent suburbs of our cities. The data collection and analysis gathered by the researcher demonstrated that in many cases Park & Rides should form part of a TOD to ensure ease of access to rail stations by all modes and patron types. The question, however, remains how best to plan the incorporation of a Park & Ride within a TOD and still maintain those features that attract and promote TODs as a living entity.

Adaptation of Sudanese refugees in an Australian context : investigating helps and hindrances

The present study investigates the experiences of Sudanese refugees by exploring the themes that characterise participants’ experiences in Sudan, en route, and at their Australian destination. In particular, the research identifies several factors that may be seen as ‘helps’ or ‘hindrances’ to Sudanese refugees’ adaptation. Participants were 12 Sudanese refugees aged between 19 and 40 years who had been residing in Australia for five years or less. A qualitative phenomenological approach to data collection and analysis was employed. Examination of the interview transcripts revealed that all participants identified both ‘hindrances’ and ‘helps’ toward adaptation and indicated that positive adaptation is not only possible, but probable for Sudanese refugees in spite of their past experiences of trauma and present resettlement difficulties. Several practical implications were elicited from the research including a need for programs that actively promote refugees’ adaptation by encouraging the broadening of social networks.

A modified particle filter for simultaneous robot localization and landmark tracking in an indoor environment

This paper presents the implementation of a modified particle filter for vision-based simultaneous localization and mapping of an autonomous robot in a structured indoor environment. Through this method, artificial landmarks such as multi-coloured cylinders can be tracked with a camera mounted on the robot, and the position of the robot can be estimated at the same time. Experimental results in simulation and in real environments show that this approach has advantages over the extended Kalman filter with ambiguous data association and various levels of odometric noise.

Survey of eResearch practices and skills at QUT, Australia

Queensland University of Technology (QUT) is a multidisciplinary university in Brisbane, Queensland, Australia, and has 40,000 students and 1,700 researchers. Notable eResearch infrastructure includes the QUT ePrints repository, Microsoft QUT Research Centre, the OAK (Open Access to Knowledge) Law Project, Cambia and leading research institutes. ---------- The Australian Government, via the Australian National Data Service (ANDS), is funding institutions to identify and describe their research datasets, to develop and populate data repositories and collaborative infrastructure, and to seed the Australian Research Data Commons. QUT is currently broadening its range of research support services, including those to support the management of research data, in recognition of the value of these datasets as products of the research process, and in order to maximize the potential for reuse. QUT is integrating Library and High Performance Computing (HPC) services to achieve its research support goals. ---------- The Library and HPC released an online survey using Key Survey to 1,700 researchers in September 2009. A comprehensive range of eResearch practices and skills was presented for response, and grouped into areas of scholarly communication and open access publishing, using collaborative technologies, data management, data collection and management, computation and visualization tools. Researchers were asked to rate their skill level on each practice. 254 responses were received over two weeks. Eight focus groups were also held with 35 higher degree research (HDR) students and staff to provide additional qualitative feedback. A similar survey was released to 100 support staff and 73 responses were received.---------- Preliminary results from the researcher survey and focus groups indicate a gap between current eResearch practices, and the potential for researchers to engage in eResearch practices. Researchers are more likely to seek advice from their peers, than from support staff. HDR students are more positive about eResearch practices and are more willing to learn new ways of conducting research. An account of the survey methodology, the results obtained, and proposed strategies to embed eResearch practices and skills across and within the research disciplines will be provided.

The core role of the nurse practitioner: practice, professionalism and clinical leadership.

AIM: To draw on empirical evidence to illustrate the core role of nurse practitioners in Australia and New Zealand. BACKGROUND: Enacted legislation provides for mutual recognition of qualifications, including nursing, between New Zealand and Australia. As the nurse practitioner role is relatively new in both countries, there is no consistency in role expectation and hence mutual recognition has not yet been applied to nurse practitioners. A study jointly commissioned by both countries' Regulatory Boards developed information on the core role of the nurse practitioner, to develop shared competency and educational standards. Reporting on this study's process and outcomes provides insights that are relevant both locally and internationally. METHOD: This interpretive study used multiple data sources, including published and grey literature, policy documents, nurse practitioner program curricula and interviews with 15 nurse practitioners from the two countries. Data were analysed according to the appropriate standard for each data type and included both deductive and inductive methods. The data were aggregated thematically according to patterns within and across the interview and material data. FINDINGS: The core role of the nurse practitioner was identified as having three components: dynamic practice, professional efficacy and clinical leadership. Nurse practitioner practice is dynamic and involves the application of high level clinical knowledge and skills in a wide range of contexts. The nurse practitioner demonstrates professional efficacy, enhanced by an extended range of autonomy that includes legislated privileges. The nurse practitioner is a clinical leader with a readiness and an obligation to advocate for their client base and their profession at the systems level of health care. CONCLUSION: A clearly articulated and research informed description of the core role of the nurse practitioner provides the basis for development of educational and practice competency standards. These research findings provide new perspectives to inform the international debate about this extended level of nursing practice. RELEVANCE TO CLINICAL PRACTICE: The findings from this research have the potential to achieve a standardised approach and internationally consistent nomenclature for the nurse practitioner role.

The use of visual analogue scales to assess motivation to eat in human subjects: a review of their reliability and validity with an evaluation of new hand-held computerized stsytems for temporal tracking of appetite ratings.

This present paper reviews the reliability and validity of visual analogue scales (VAS) in terms of (1) their ability to predict feeding behaviour, (2) their sensitivity to experimental manipulations, and (3) their reproducibility. VAS correlate with, but do not reliably predict, energy intake to the extent that they could be used as a proxy of energy intake. They do predict meal initiation in subjects eating their normal diets in their normal environment. Under laboratory conditions, subjectively rated motivation to eat using VAS is sensitive to experimental manipulations and has been found to be reproducible in relation to those experimental regimens. Other work has found them not to be reproducible in relation to repeated protocols. On balance, it would appear, in as much as it is possible to quantify, that VAS exhibit a good degree of within-subject reliability and validity in that they predict with reasonable certainty, meal initiation and amount eaten, and are sensitive to experimental manipulations. This reliability and validity appears more pronounced under the controlled (but more arti®cial) conditions of the laboratory where the signal : noise ratio in experiments appears to be elevated relative to real life. It appears that VAS are best used in within-subject, repeated-measures designs where the effect of different treatments can be compared under similar circumstances. They are best used in conjunction with other measures (e.g. feeding behaviour, changes in plasma metabolites) rather than as proxies for these variables. New hand-held electronic appetite rating systems (EARS) have been developed to increase reliability of data capture and decrease investigator workload. Recent studies have compared these with traditional pen and paper (P&P) VAS. The EARS have been found to be sensitive to experimental manipulations and reproducible relative to P&P. However, subjects appear to exhibit a signi®cantly more constrained use of the scale when using the EARS relative to the P&P. For this reason it is recommended that the two techniques are not used interchangeably

An initial technology roadmap for home automation : home and personal life management

Home Automation (HA) has emerged as a prominent ¯eld for researchers and in- vestors confronting the challenge of penetrating the average home user market with products and services emerging from technology based vision. In spite of many technology contri- butions, there is a latent demand for a®ordable and pragmatic assistive technologies for pro-active handling of complex lifestyle related problems faced by home users. This study has pioneered to develop an Initial Technology Roadmap for HA (ITRHA) that formulates a need based vision of 10-15 years, identifying market, product and technology investment opportunities, focusing on those aspects of HA contributing to e±cient management of home and personal life. The concept of Family Life Cycle is developed to understand the temporal needs of family. In order to formally describe a coherent set of family processes, their relationships, and interaction with external elements, a reference model named Fam- ily System is established that identi¯es External Entities, 7 major Family Processes, and 7 subsystems-Finance, Meals, Health, Education, Career, Housing, and Socialisation. Anal- ysis of these subsystems reveals Soft, Hard and Hybrid processes. Rectifying the lack of formal methods for eliciting future user requirements and reassessing evolving market needs, this study has developed a novel method called Requirement Elicitation of Future Users by Systems Scenario (REFUSS), integrating process modelling, and scenario technique within the framework of roadmapping. The REFUSS is used to systematically derive process au- tomation needs relating the process knowledge to future user characteristics identi¯ed from scenarios created to visualise di®erent futures with richly detailed information on lifestyle trends thus enabling learning about the future requirements. Revealing an addressable market size estimate of billions of dollars per annum this research has developed innovative ideas on software based products including Document Management Systems facilitating automated collection, easy retrieval of all documents, In- formation Management System automating information services and Ubiquitous Intelligent System empowering the highly mobile home users with ambient intelligence. Other product ideas include robotic devices of versatile Kitchen Hand and Cleaner Arm that can be time saving. Materialisation of these products require technology investment initiating further research in areas of data extraction, and information integration as well as manipulation and perception, sensor actuator system, tactile sensing, odour detection, and robotic controller. This study recommends new policies on electronic data delivery from service providers as well as new standards on XML based document structure and format.

Robotics and Sensor Networks

Robotics in mines, aerospace, underwater, everyday unstructured environments and sensor networks with communicating devices that collect data.

Shear behaviour and design of LiteSteel beams

OneSteel Australian Tube Mills has recently developed a new hollow flange channel cold-formed section, known as the LiteSteel Beam (LSB). The innovative LSB sections have the beneficial characteristics of torsionally rigid closed rectangular flanges combined with economical fabrication processes from a single strip of high strength steel. They combine the stability of hot-rolled steel sections with the high strength to weight ratio of conventional cold-formed steel sections. The LSB sections are commonly used as flexural members in residential, industrial and commercial buildings. In order to ensure safe and efficient designs of LSBs, many research studies have been undertaken on the flexural behaviour of LSBs. However, no research has been undertaken on the shear behaviour of LSBs. Therefore this thesis investigated the ultimate shear strength behaviour of LSBs with and without web openings including their elastic buckling and post-buckling characteristics using both experimental and finite element analyses, and developed accurate shear design rules. Currently the elastic shear buckling coefficients of web panels are determined by assuming conservatively that the web panels are simply supported at the junction between the web and flange elements. Therefore finite element analyses were conducted first to investigate the elastic shear buckling behaviour of LSBs to determine the true support condition at the junction between their web and flange elements. An equation for the higher elastic shear buckling coefficient of LSBs was developed and included in the shear capacity equations in the cold-formed steel structures code, AS/NZS 4600. Predicted shear capacities from the modified equations and the available experimental results demonstrated the improvements to the shear capacities of LSBs due to the presence of higher level of fixity at the LSB flange to web juncture. A detailed study into the shear flow distribution of LSB was also undertaken prior to the elastic buckling analysis study. The experimental study of ten LSB sections included 42 shear tests of LSBs with aspect ratios of 1.0 and 1.5 that were loaded at midspan until failure. Both single and back to back LSB arrangements were used. Test specimens were chosen such that all three types of shear failure (shear yielding, inelastic and elastic shear buckling) occurred in the tests. Experimental results showed that the current cold-formed steel design rules are very conservative for the shear design of LSBs. Significant improvements to web shear buckling occurred due to the presence of rectangular hollow flanges while considerable post-buckling strength was also observed. Experimental results were presented and compared with corresponding predictions from the current design rules. Appropriate improvements have been proposed for the shear strength of LSBs based on AISI (2007) design equations and test results. Suitable design rules were also developed under the direct strength method (DSM) format. This thesis also includes the shear test results of cold-formed lipped channel beams from LaBoube and Yu (1978a), and the new design rules developed based on them using the same approach used with LSBs. Finite element models of LSBs in shear were also developed to investigate the ultimate shear strength behaviour of LSBs including their elastic and post-buckling characteristics. They were validated by comparing their results with experimental test results. Details of the finite element models of LSBs, the nonlinear analysis results and their comparisons with experimental results are presented in this thesis. Finite element analysis results showed that the current cold-formed steel design rules are very conservative for the shear design of LSBs. They also confirmed other experimental findings relating to elastic and post-buckling shear strength of LSBs. A detailed parametric study based on validated experimental finite element model was undertaken to develop an extensive shear strength data base and was then used to confirm the accuracy of the new shear strength equations proposed in this thesis. Experimental and numerical studies were also undertaken to investigate the shear behaviour of LSBs with web openings. Twenty six shear tests were first undertaken using a three point loading arrangement. It was found that AS/NZS 4600 and Shan et al.'s (1997) design equations are conservative for the shear design of LSBs with web openings while McMahon et al.'s (2008) design equation are unconservative. Experimental finite element models of LSBs with web openings were then developed and validated by comparing their results with experimental test results. The developed nonlinear finite element model was found to predict the shear capacity of LSBs with web opening with very good accuracy. Improved design equations have been proposed for the shear capacity of LSBs with web openings based on both experimental and FEA parametric study results. This thesis presents the details of experimental and numerical studies of the shear behaviour and strength of LSBs with and without web openings and the results including the developed accurate design rules.