Forecasting time-varying value-at-risk

In this thesis we are interested in financial risk and the instrument we want to use is Value-at-Risk (VaR). VaR is the maximum loss over a given period of time at a given confidence level. Many definitions of VaR exist and some will be introduced throughout this thesis. There two main ways to measure risk and VaR: through volatility and through percentiles. Large volatility in financial returns implies greater probability of large losses, but also larger probability of large profits. Percentiles describe tail behaviour. The estimation of VaR is a complex task. It is important to know the main characteristics of financial data to choose the best model. The existing literature is very wide, maybe controversial, but helpful in drawing a picture of the problem. It is commonly recognised that financial data are characterised by heavy tails, time-varying volatility, asymmetric response to bad and good news, and skewness. Ignoring any of these features can lead to underestimating VaR with a possible ultimate consequence being the default of the protagonist (firm, bank or investor). In recent years, skewness has attracted special attention. An open problem is the detection and modelling of time-varying skewness. Is skewness constant or there is some significant variability which in turn can affect the estimation of VaR? This thesis aims to answer this question and to open the way to a new approach to model simultaneously time-varying volatility (conditional variance) and skewness. The new tools are modifications of the Generalised Lambda Distributions (GLDs). They are four-parameter distributions, which allow the first four moments to be modelled nearly independently: in particular we are interested in what we will call para-moments, i.e., mean, variance, skewness and kurtosis. The GLDs will be used in two different ways. Firstly, semi-parametrically, we consider a moving window to estimate the parameters and calculate the percentiles of the GLDs. Secondly, parametrically, we attempt to extend the GLDs to include time-varying dependence in the parameters. We used the local linear regression to estimate semi-parametrically conditional mean and conditional variance. The method is not efficient enough to capture all the dependence structure in the three indices —ASX 200, S&P 500 and FT 30—, however it provides an idea of the DGP underlying the process and helps choosing a good technique to model the data. We find that GLDs suggest that moments up to the fourth order do not always exist, there existence appears to vary over time. This is a very important finding, considering that past papers (see for example Bali et al., 2008; Hashmi and Tay, 2007; Lanne and Pentti, 2007) modelled time-varying skewness, implicitly assuming the existence of the third moment. However, the GLDs suggest that mean, variance, skewness and in general the conditional distribution vary over time, as already suggested by the existing literature. The GLDs give good results in estimating VaR on three real indices, ASX 200, S&P 500 and FT 30, with results very similar to the results provided by historical simulation.

Experiments in outdoor operation of RatSLAM

This paper shows initial results in deploying the biologically inspired Simultaneous Localisation and Mapping system, RatSLAM, in an outdoor environment. RatSLAM has been widely tested in indoor environments on the task of producing topologically coherent maps based on a fusion of odometric and visual information. This paper details the changes required to deploy RatSLAM on a small tractor equipped with odometry and an omnidirectional camera. The principal changes relate to the vision system, with others required for RatSLAM to use omnidirectional visual data. The initial results from mapping around a 500 m loop are promising, with many improvements still to be made.

Peer assisted study sessions

My journey with Peer Assisted Study Sessions, or Supplemental Instruction (SI), began in 1993 when I took over a 1st year, 1st semester unit in QUT's Bachelor of Engineering program. The unit had 500 enrolments with students from all 10 engineering majors at QUT. The 500 students received a 2 hour lecture and a 1 hour tutorial per week, usually run by academic staff or postgraduate students. The unit covered basic mechanics, which comprises a challenging set of topics on how forces interact with various bodies. One normally expects 1st year students to find it difficult to come to grips with the material. However, when I ran that unit in 1993, the failure rate had been usually around 50%.

Structure of selected basic copper (II) sulphate minerals based upon spectroscopy : implications for hydrogen bonding

The application of near-infrared and infrared spectroscopy has been used for identification and distinction of basic Cu-sulphates that include devilline, chalcoalumite and caledonite. Near-infrared spectra of copper sulphate minerals confirm copper in divalent state. Jahn-Teller effect is more significant in chalcoalumite where 2B1g ® 2B2g transition band shows a larger splitting (490 cm-1) confirming more distorted octahedral coordination of Cu2+ ion. One symmetrical band at 5145 cm-1 with shoulder band 5715 cm-1 result from the absorbed molecular water in the copper complexes are the combinations of OH vibrations of H2O. One sharp band at around 3400 cm-1 in IR common to the three complexes is evidenced by Cu-OH vibrations. The strong absorptions observed at 1685 and 1620 cm-1 for water bending modes in two species confirm strong hydrogen bonding in devilline and chalcoalumite. The multiple bands in v3 and v4(SO4)2- stretching regions are attributed to the reduction of symmetry to the sulphate ion from Td to C2V. Chalcoalumite, the excellent IR absorber over the range 3800-500 cm-1 is treated as most efficient heat insulator among the Cu-sulphate complexes.

Force-controlled automatic microassembly of tissue engineering scaffolds

This paper presents an automated system for 3D assembly of tissue engineering (TE) scaffolds made from biocompatible microscopic building blocks with relatively large fabrication error. It focuses on the pin-into-hole force control developed for this demanding microassembly task. A beam-like gripper with integrated force sensing at a 3 mN resolution with a 500 mN measuring range is designed, and is used to implement an admittance force-controlled insertion using commercial precision stages. Visual-based alignment followed by an insertion is complemented by a haptic exploration strategy using force and position information. The system demonstrates fully automated construction of TE scaffolds with 50 microparts whose dimension error is larger than 5%.

Gender equity in the professoriate : a cohort study of new women professors in Australia

According to statistics and trend data, women continue to be substantially under- represented in the Australian professoriate, and growth in their representation has been slow despite the plethora of equity programs. While not disputing these facts, we propose that examining gender equity by cohort provides a complementary perspective on the status of gender equity in the professoriate. Based on over 500 survey responses, we detected substantial similarities between women and men who were appointed as professors or associate professors between 2005 and 2008. There were similar proportions of women and men appointed via external or internal processes or by invitation. Additionally, similar proportions of women and men professors expressed a marked preference for research over teaching. Furthermore, there were similar distributions between the genders in the age of appointment to the professoriate. However, a notable gender difference was that women were appointed to the professoriate on average 1.9 years later than mens. This later appointment provides one reason for the lower representation of women compared to men in the professoriate. It also raises questions of the typical length of time that women and men remain in the (paid) professoriate and reasons why they might leave it. A further similarity between women and men in this cohort was their identification of motivation and circumstances as key factors in their career orientation. However, substantially more women identified motivation than circumstances and the situation was reversed for men. The open-ended survey responses also provided confirmation that affirmative action initiatives make a difference to women’s careers.

Heavy vehicle suspensions : testing and analysis

Transport regulators consider that, with respect to pavement damage, heavy vehicles (HVs) are the riskiest vehicles on the road network. That HV suspension design contributes to road and bridge damage has been recognised for some decades. This thesis deals with some aspects of HV suspension characteristics, particularly (but not exclusively) air suspensions. This is in the areas of developing low-cost in-service heavy vehicle (HV) suspension testing, the effects of larger-than-industry-standard longitudinal air lines and the characteristics of on-board mass (OBM) systems for HVs. All these areas, whilst seemingly disparate, seek to inform the management of HVs, reduce of their impact on the network asset and/or provide a measurement mechanism for worn HV suspensions. A number of project management groups at the State and National level in Australia have been, and will be, presented with the results of the project that resulted in this thesis. This should serve to inform their activities applicable to this research. A number of HVs were tested for various characteristics. These tests were used to form a number of conclusions about HV suspension behaviours. Wheel forces from road test data were analysed. A “novel roughness” measure was developed and applied to the road test data to determine dynamic load sharing, amongst other research outcomes. Further, it was proposed that this approach could inform future development of pavement models incorporating roughness and peak wheel forces. Left/right variations in wheel forces and wheel force variations for different speeds were also presented. This led on to some conclusions regarding suspension and wheel force frequencies, their transmission to the pavement and repetitive wheel loads in the spatial domain. An improved method of determining dynamic load sharing was developed and presented. It used the correlation coefficient between two elements of a HV to determine dynamic load sharing. This was validated against a mature dynamic loadsharing metric, the dynamic load sharing coefficient (de Pont, 1997). This was the first time that the technique of measuring correlation between elements on a HV has been used for a test case vs. a control case for two different sized air lines. That dynamic load sharing was improved at the air springs was shown for the test case of the large longitudinal air lines. The statistically significant improvement in dynamic load sharing at the air springs from larger longitudinal air lines varied from approximately 30 percent to 80 percent. Dynamic load sharing at the wheels was improved only for low air line flow events for the test case of larger longitudinal air lines. Statistically significant improvements to some suspension metrics across the range of test speeds and “novel roughness” values were evident from the use of larger longitudinal air lines, but these were not uniform. Of note were improvements to suspension metrics involving peak dynamic forces ranging from below the error margin to approximately 24 percent. Abstract models of HV suspensions were developed from the results of some of the tests. Those models were used to propose further development of, and future directions of research into, further gains in HV dynamic load sharing. This was from alterations to currently available damping characteristics combined with implementation of large longitudinal air lines. In-service testing of HV suspensions was found to be possible within a documented range from below the error margin to an error of approximately 16 percent. These results were in comparison with either the manufacturer’s certified data or test results replicating the Australian standard for “road-friendly” HV suspensions, Vehicle Standards Bulletin 11. OBM accuracy testing and development of tamper evidence from OBM data were detailed for over 2000 individual data points across twelve test and control OBM systems from eight suppliers installed on eleven HVs. The results indicated that 95 percent of contemporary OBM systems available in Australia are accurate to +/- 500 kg. The total variation in OBM linearity, after three outliers in the data were removed, was 0.5 percent. A tamper indicator and other OBM metrics that could be used by jurisdictions to determine tamper events were developed and documented. That OBM systems could be used as one vector for in-service testing of HV suspensions was one of a number of synergies between the seemingly disparate streams of this project.

Low fat loss response after medium-term supervised exercise in obese is associated with exercise-induced increase in food reward

Objective: To examine exercise-induced changes in the reward value of food during medium-term supervised exercise in obese individuals. ---------- Subjects/Methods: The study was a 12-week supervised exercise intervention prescribed to expend 500 kcal/day, 5 d/week. 34 sedentary obese males and females were identified as responders (R) or non-responders (NR) to the intervention according to changes in body composition relative to measured energy expended during exercise. Food reward (ratings of liking and wanting, and relative preference by forced choice pairs) for an array of food images was assessed before and after an acute exercise bout. ---------- Results. 20 responders and 14 non-responders were identified. R lost 5.2 kg±2.4 of total fat mass and NR lost 1.7 kg±1.4. After acute exercise, liking for all foods increased in NR compared to no change in R. Furthermore, NR showed an increase in wanting and relative preference for high-fat sweet foods. These differences were independent of 12-weeks regular exercise and weight loss. ---------- Conclusion. Individuals who showed an immediate post-exercise increase in liking and increased wanting and preference for high-fat sweet foods displayed a smaller reduction in fat mass with exercise. For some individuals, exercise increases the reward value of food and diminishes the impact of exercise on fat loss.

Androgen-regulated genes differentially modulated by the androgen receptor coactivator L-dopa decarboxylase in human prostate cancer cells

Background The androgen receptor is a ligand-induced transcriptional factor, which plays an important role in normal development of the prostate as well as in the progression of prostate cancer to a hormone refractory state. We previously reported the identification of a novel AR coactivator protein, L-dopa decarboxylase (DDC), which can act at the cytoplasmic level to enhance AR activity. We have also shown that DDC is a neuroendocrine (NE) marker of prostate cancer and that its expression is increased after hormone-ablation therapy and progression to androgen independence. In the present study, we generated tetracycline-inducible LNCaP-DDC prostate cancer stable cells to identify DDC downstream target genes by oligonucleotide microarray analysis. Results Comparison of induced DDC overexpressing cells versus non-induced control cell lines revealed a number of changes in the expression of androgen-regulated transcripts encoding proteins with a variety of molecular functions, including signal transduction, binding and catalytic activities. There were a total of 35 differentially expressed genes, 25 up-regulated and 10 down-regulated, in the DDC overexpressing cell line. In particular, we found a well-known androgen induced gene, TMEPAI, which wasup-regulated in DDC overexpressing cells, supporting its known co-activation function. In addition, DDC also further augmented the transcriptional repression function of AR for a subset of androgen-repressed genes. Changes in cellular gene transcription detected by microarray analysis were confirmed for selected genes by quantitative real-time RT-PCR. Conclusion Taken together, our results provide evidence for linking DDC action with AR signaling, which may be important for orchestrating molecular changes responsible for prostate cancer progression.

Quantifying N2O and CO2 emissions from subtropical pasture

Greenhouse gas emissions from a well established, unfertilized tropical grass-legume pasture were monitored over two consecutive years using high resolution automatic sampling. Nitrous oxide emissions were highest during the summer months and were highly episodic, related more to the size and distribution of rain events than WFPS alone. Mean annual emissions were significantly higher during 2008 (5.7 ± 1.0 g N2O-N/ha/day) than 2007 (3.9 ± 0.4 and g N2O-N/ha/day) despite receiving nearly 500 mm less rain. Mean CO2 (28.2 ± 1.5 kg CO2 C/ha/day) was not significantly different (P < 0.01) between measurement years, emissions being highly dependent on temperature. A negative correlation between CO2 and WFPS at >70% indicated a threshold for soil conditions favouring denitrification. The use of automatic chambers for high resolution greenhouse gas sampling can greatly reduce emission estimation errors associated with temperature and WFPS changes.

Human and bovine adenoviruses for the detection of source-specific fecal pollution in coastal waters in Australia

In this study, the host-specificity and -sensitivity of human- and bovine-specific adenoviruses (HS-AVs and BS-AVs) were evaluated by testing wastewater/fecal samples from various animal species in Southeast, Queensland, Australia. The overall specificity and sensitivity of the HS-AVs marker were 1.0 and 0.78, respectively. These figures for the BS-AVs were 1.0 and 0.73, respectively. Twenty environmental water samples were colleted during wet conditions and 20 samples were colleted during dry conditions from the Maroochy Coastal River and tested for the presence of fecal indicator bacteria (FIB), host-specific viral markers, zoonotic bacterial and protozoan pathogens using PCR/qPCR. The concentrations of FIB in water samples collected after wet conditions were generally higher compared to dry conditions. HS-AVs was detected in 20% water samples colleted during wet conditions and whereas BS-AVs was detected in both wet (i.e., 10%) and dry (i.e., 10%) conditions. Both, C. jejuni mapA and Salmonella invA genes were detected in 10% and 10% of samples, respectively collected during dry conditions. The concentrations of Salmonella invA ranged between 3.5 × 102 to 4.3 × 102 genomic copies per 500 ml of water G. lamblia β-giardin gene was detected only in one sample (5%) collected during the dry conditions. Weak or significant correlations were observed between FIB with viral markers and zoonotic pathogens. However, during dry conditions, no significant correlations were observed between FIB concentrations with viral markers and zoonotic pathogens. The prevalence of HS-AVs in samples collected from the study river suggests that the quality of water is affected by human fecal pollution and as well as bovine fecal pollution. The results suggest that HS-AVs and BS-AVs detection using PCR could be a useful tool for the identification of human sourced fecal pollution in coastal waters.

Health impacts of floods

Introduction: Floods are the most common hazard to cause disasters and have led to extensive morbidity and mortality throughout the world. The impact of floods on the human community is related directly to the location and topography of the area, as well as human demographics and characteristics of the built environment. Objectives: The aim of this study is to identify the health impacts of disasters and the underlying causes of health impacts associated with floods. A conceptual framework is developed that may assist with the development of a rational and comprehensive approach to prevention, mitigation, and management. Methods: This study involved an extensive literature review that located >500 references, which were analyzed to identify common themes, findings, and expert views. The findings then were distilled into common themes. Results: The health impacts of floods are wide ranging, and depend on a number of factors. However, the health impacts of a particular flood are specific to the particular context. The immediate health impacts of floods include drowning, injuries, hypothermia, and animal bites. Health risks also are associated with the evacuation of patients, loss of health workers, and loss of health infrastructure including essential drugs and supplies. In the mediumterm, infected wounds, complications of injury, poisoning, poor mental health, communicable diseases, and starvation are indirect effects of flooding. In the long-term, chronic disease, disability, poor mental health, and poverty-related diseases including malnutrition are the potential legacy. Conclusions: This article proposes a structured approach to the classification of the health impacts of floods and a conceptual framework that demonstrates the relationships between floods and the direct and indirect health consequences.

Australia and New Zealand CBNG development and environmental implications

Following the success of Coalbed Natural Gas (CBNG) operations in the United States, companies in Australia and New Zealand have been actively exploring and developing this technology for the last two decades. In particular, the Bowen and Surat basins in Queensland, Australia, have undergone extensive CBNG development. Unfortunately, awareness of potential environmental problems associated with CBNG abstraction has not been widespread and legislation has at times struggled to keep up with rapid development. In Australia, the combined CBNG resource for both the Bowen and Surat basins has been estimated at approximately 10,500 PJ with gas content as high as 10 m3/tonne of coal. There are no official estimates for the magnitude of the CBNG resource in New Zealand but initial estimates suggest this could be up to 1,300 PJ with gas content ranging from 1 to 5 m3/tonne of coal. In Queensland, depressurization of the Walloon Coal Measures to recover CBNG has the potential to induce drawdown in adjacent deep aquifer systems through intraformational groundwater flow. In addition, CBNG operators have been disposing their co-produced water by using large unlined ponds, which is not the best practice for managing co-produced water. CBNG waters in Queensland have the typical geochemical signature associated with CBNG waters (Van Voast, 2003) and thus have the potential to impair soils and plant growth where land disposal is considered. Water quality from exploration wells in New Zealand exhibit the same characteristics although full scale production has not yet begun. In general, the environmental impacts that could arise from CBNG water extraction depend on the aquifer system, the quantity and quality of produced water, and on the method of treatment and disposal being used. Understanding these impacts is necessary to adequately manage CBNG waters so that environmental effects are minimized; if properly managed, CBNG waters can be used for beneficial applications and can become a valuable resource to stakeholders.

Thermal analysis and infrared emission spectroscopic study of halloysite-potassium acetate intercalation compound

The thermal decomposition of halloysite-potassium acetate intercalation compound was investigated by thermogravimetric analysis and infrared emission spectroscopy. The X-ray diffraction patterns indicated that intercalation of potassium acetate into halloysite caused an increase of the basal spacing from 1.00 to 1.41 nm. The thermogravimetry results show that the mass losses of intercalation the compound occur in main three main steps, which correspond to (a) the loss of adsorbed water (b) the loss of coordination water and (c) the loss of potassium acetate and dehydroxylation. The temperature of dehydroxylation and dehydration of halloysite is decreased about 100 °C. The infrared emission spectra clearly show the decomposition and dehydroxylation of the halloysite intercalation compound when the temperature is raised. The dehydration of the intercalation compound is followed by the loss of intensity of the stretching vibration bands at region 3600-3200 cm-1. Dehydroxylation is followed by the decrease in intensity in the bands between 3695 and 3620 cm-1. Dehydration was completed by 300 °C and partial dehydroxylation by 350 °C. The inner hydroxyl group remained until around 500 °C.

On-board mass monitoring of heavy vehicles : results of testing program

The Transport Certification Australia on-board mass feasibility project is testing various on-board mass devices in a range of heavy vehicles (HVs). Extensive field tests of on-board mass measurement systems for HVs have been conducted during 2008. These tests were of accuracy, robustness and tamper-evidence of heavy vehicle on-board mass telematics. All the systems tested showed accuracies within approximately +/- 500 kg of gross combination mass or approximately +/- 2% of the attendant weighbridge reading. Analysis of the dynamic data also showed encouraging results and has raised the possibility of use of such dynamic information in tamper evidence in two areas. This analysis was to determine if the use of averaged dynamic data could identify potential tampering or incorrect operating procedures as well as the possibility of dynamic measurements flagging a tamper event by the use of metrics including a tampering index (TIX). Technical and business options to detect tamper events will now be developed during implementation of regulatory OBM system application to Australian heavy vehicles (HVs).