The relationship between implied and realized volatility : evidence from the Australian stock index option market

This paper examines the relationship between the volatility implied in option prices and the subsequently realized volatility by using the S&P/ASX 200 index options (XJO) traded on the Australian Stock Exchange (ASX) during a period of 5 years. Unlike stock index options such as the S&P 100 index options in the US market, the S&P/ASX 200 index options are traded infrequently and in low volumes, and have a long maturity cycle. Thus an errors-in-variables problem for measurement of implied volatility is more likely to exist. After accounting for this problem by instrumental variable method, it is found that both call and put implied volatilities are superior to historical volatility in forecasting future realized volatility. Moreover, implied call volatility is nearly an unbiased forecast of future volatility.

Dragline automation: experimental evaluation through productivity trial

Since 1993 we have been working on the automation of dragline excavators, the largest earthmoving machines that exist. Recently we completed a large-scale experimental program where the automation system was used for production purposes over a two week period and moved over 200,000 tonnes of overburden. This is a landmark achievement in the history of automated excavation. In this paper we briefly describe the robotic system and how it works cooperatively with the machine operator. We then describe our methodology for gauging machine performance, analyze results from the production trial and comment on the effectiveness of the system that we have created. © Springer-Verlag Berlin Heidelberg 2006.

Phenyl-ring disorder in the two-dimensional hydrogen-bonded structure of the 1:1 proton-transfer salt of the diazo-dye precursor 4-(phenyldiazenyl)aniline (aniline yellow) with L-tartaric acid

The structure of the 1:1 proton-transfer compound from the reaction of L-tartaric acid with the azo-dye precursor aniline yellow [4-(phenylazo)aniline], 4-(phenyldiazenyl)anilinium hydrogen 2R,3R-tartrate C12H12N3+ . C4H6O6- has been determined at 200 K. The asymmetric unit of the compound contains two independent phenylazoanilinium cations and two hydrogen L-tartrate anions. The structure is unusual in that all four phenyl rings of both cations have identical 50% rotational disorder. The two hydrogen L-tartrate anions form independent but similar chains through head-to-tail carboxylic O--H...O~carboxyl~ hydrogen bonds [graph set C7] which are then extended into a two-dimensional hydrogen-bonded sheet structure through hydroxyl O--H...O hydrogen-bonding links. The anilinium groups of the phenyldiazenyl cations are incorporated into the sheets and also provide internal hydrogen-bonding extensions while their aromatic tails layer in the structure without significant interaction except for weak \p--\p interactions [minimum ring centroid separation, 3.844(3) \%A]. The hydrogen L-tartrate residues of both anions have the common short intramolecular hydroxyl O--H...O~carboxyl~ hydogen bonds. This work has provided a solution to the unusual disorder problem inherent in the structure of this salt as well as giving another example of the utility of the hydrogen tartrate in the generation of sheet substructures in molecular assembly processes.

Low-dimensional hydrogen-bonded structures in the 1:1 and 1:2 proton-transfer compounds of 4,5-dichlorophthalic acid with the aliphatic Lewis bases triethylamine, diethylamine, n-butylamine and piperidine

The structures of proton-transfer compounds of 4,5-dichlorophthalic acid (DCPA) with the aliphatic Lewis bases triethylamine, diethylamine, n-butylamine and piperidine, namely triethylaminium 2-carboxy-4,5-dichlorobenzoate C~6~H~16~N^+^ C~8~H~3~Cl~2~O~4~^-^ (I), diethylaminium 2-carboxy-4,5-dichlorobenzoate C~4~H~12~N^+^ C~8~H~3~Cl~2~O~4~^-^ (II), bis(n-butylaminium) 4,5-dichlorophthalate monohydrate 2(C~4~H~12~N^+^) C~8~H~2~Cl~2~O~4~^2-^ . H~2~O (III) and bis(piperidinium) 4,5-dichlorophthalate monohydrate 2(C~5~H~12~N^+^) C~8~H~2~Cl~2~O~4~^2-^ . H~2~O (IV)have been determined at 200 K. All compounds have hydrogen-bonding associations giving in (I) discrete cation-anion units, linear chains in (II) while (III) and (IV) both have two-dimensional structures. In (I) a discrete cation-anion unit is formed through an asymmetric R2/1(4) N+-H...O,O' hydrogen-bonding association whereas in (II), one-dimensional chains are formed through linear N-H...O associations by both aminium H donors. In compounds (III) and (IV) the primary N-H...O linked cation-anion units are extended into a two-dimensional sheet structure via amide N-H...O(carboxyl) and ...O(carbonyl) interactions. In the 1:1 salts [(I) and (II)], the hydrogen 4,5-dichlorophthalate anions are essentially planar with short intramolecular carboxylic acid O-H...O(carboxyl) hydrogen bonds [O...O, 2.4223(14) and 2.388(2)A respectively]. This work provides a further example of the uncommon zero-dimensional hydrogen-bonded DCPA-Lewis base salt and the one-dimensional chain structure type, while even with the hydrate structures of the 1:2 salts with the primary and secondary amines, the low dimensionality generally associated with 1:1 DCPA salts is also found.

The ethics of regional water planning : planning and management of water resources in a growth region

Abstract Providing water infrastructure in times of accelerating climate change presents interesting new problems. Expanding demands must be met or managed in contexts of increasingly constrained sources of supply, raising ethical questions of equity and participation. Loss of agricultural land and natural habitats, the coastal impacts of desalination plants and concerns over re-use of waste water must be weighed with demand management issues of water rationing, pricing mechanisms and inducing behaviour change. This case study examines how these factors impact on infrastructure planning in South East Queensland, Australia: a region with one of the developed world’s most rapidly growing populations, which has recently experienced the most severe drought in its recorded history. Proposals to match forecast demands and potential supplies for water over a 20 year period are reviewed by applying ethical principles to evaluate practical plans to meet the water needs of the region’s activities and settlements.

Investigation of 'off-line‘ relaxation phenomena in oil filled transformers

Power transformers are one of the most important and costly equipment in power generation, transmission and distribution systems. Current average age of transformers in Australia is around 25 years and there is a strong economical tendency to use them up to 50 years or more. As the transformers operate, they get degraded due to different loading and environmental operating stressed conditions. In today‘s competitive energy market with the penetration of distributed energy sources, the transformers are stressed more with minimum required maintenance. The modern asset management program tries to increase the usage life time of power transformers with prognostic techniques using condition indicators. In the case of oil filled transformers, condition monitoring methods based on dissolved gas analysis, polarization studies, partial discharge studies, frequency response analysis studies to check the mechanical integrity, IR heat monitoring and other vibration monitoring techniques are in use. In the current research program, studies have been initiated to identify the degradation of insulating materials by the electrical relaxation technique known as dielectrometry. Aging leads to main degradation products like moisture and other oxidized products due to fluctuating thermal and electrical loading. By applying repetitive low frequency high voltage sine wave perturbations in the range of 100 to 200 V peak across available terminals of power transformer, the conductive and polarization parameters of insulation aging are identified. An in-house novel digital instrument is developed to record the low leakage response of repetitive polarization currents in three terminals configuration. The technique is tested with known three transformers of rating 5 kVA or more. The effects of stressing polarization voltage level, polarizing wave shapes and various terminal configurations provide characteristic aging relaxation information. By using different analyses, sensitive parameters of aging are identified and it is presented in this thesis.

Towards improved speech recognition for resource poor languages

In recent times, the improved levels of accuracy obtained by Automatic Speech Recognition (ASR) technology has made it viable for use in a number of commercial products. Unfortunately, these types of applications are limited to only a few of the world’s languages, primarily because ASR development is reliant on the availability of large amounts of language specific resources. This motivates the need for techniques which reduce this language-specific, resource dependency. Ideally, these approaches should generalise across languages, thereby providing scope for rapid creation of ASR capabilities for resource poor languages. Cross Lingual ASR emerges as a means for addressing this need. Underpinning this approach is the observation that sound production is largely influenced by the physiological construction of the vocal tract, and accordingly, is human, and not language specific. As a result, a common inventory of sounds exists across languages; a property which is exploitable, as sounds from a resource poor, target language can be recognised using models trained on resource rich, source languages. One of the initial impediments to the commercial uptake of ASR technology was its fragility in more challenging environments, such as conversational telephone speech. Subsequent improvements in these environments has gained consumer confidence. Pragmatically, if cross lingual techniques are to considered a viable alternative when resources are limited, they need to perform under the same types of conditions. Accordingly, this thesis evaluates cross lingual techniques using two speech environments; clean read speech and conversational telephone speech. Languages used in evaluations are German, Mandarin, Japanese and Spanish. Results highlight that previously proposed approaches provide respectable results for simpler environments such as read speech, but degrade significantly when in the more taxing conversational environment. Two separate approaches for addressing this degradation are proposed. The first is based on deriving better target language lexical representation, in terms of the source language model set. The second, and ultimately more successful approach, focuses on improving the classification accuracy of context-dependent (CD) models, by catering for the adverse influence of languages specific phonotactic properties. Whilst the primary research goal in this thesis is directed towards improving cross lingual techniques, the catalyst for investigating its use was based on expressed interest from several organisations for an Indonesian ASR capability. In Indonesia alone, there are over 200 million speakers of some Malay variant, provides further impetus and commercial justification for speech related research on this language. Unfortunately, at the beginning of the candidature, limited research had been conducted on the Indonesian language in the field of speech science, and virtually no resources existed. This thesis details the investigative and development work dedicated towards obtaining an ASR system with a 10000 word recognition vocabulary for the Indonesian language.

A collaborative approach to home care delivery for older clients: Perspectives of home care providers

A collaborative approach to home care (HC) delivery for older clients has taken centre stage (Nies, 2006). In Finland, public home help and home health care services have been combined to form the home care unit, whose goal is to provide a collaborative approach to care delivery through cooperation and sharing of responsibilities. In this model, the general practitioner (GP), home care nurses (HCN) and home help workers (HHW) care for shared clients. GPs and HCNs provide health care, such as monitoring of clients’ health status, and HHWs assist with personal care tasks such as dressing, washing and meal preparation. As the needs of older clients are multiple, collaboration is needed as one professional group cannot take sole responsibility (Nies, 2006). This paper reports on a study undertaken to examine home care unit care providers’ perspectives of the collaborative approach to HC delivery for older clients.

The miracle worker

Helen Keller’s fight to speak, to understand, to love aided by her teacher Annie Sullivan was nothing short of a miracle. This is her story. Crossbow Productions staged six performances of The Miracle Worker at the Brisbane Powerhouse in June 2009 to raise awareness of people living with disabilities. The play was shadow signed for the hearing impaired and tactile tours of the set were held before each performance for the vision impaired. Over 200 hearing and vision impaired attended and 70 of these had never been to the theatre before. I’m deaf and we should be able to go to anything, and you’ve done that for us. As a blind person, I got a great deal from it. I found it extremely moving. There should be a thousand or so in the audience rather than a hundred so that everyone can experience it.

Land use effects on soil carbon fractions in the southeastern United States. II. changes in soil carbon fractions along a forest to pasture chronosequence

Since land use change can have significant impacts on regional biogeochemistry, we investigated how conversion of forest and cultivation to pasture impact soil C and N cycling. In addition to examining total soil C, we isolated soil physiochemical C fractions in order to understand the mechanisms by which soil C is sequestered or lost. Total soil C did not change significantly over time following conversion from forest, though coarse (250-2,000 mum) particulate organic matter C increased by a factor of 6 immediately after conversion. Aggregate mean weight diameter was reduced by about 50% after conversion, but values were like those under forest after 8 years under pasture. Samples collected from a long-term pasture that was converted from annual cultivation more than 50 years ago revealed that some soil physical properties negatively impacted by cultivation were very slow to recover. Finally, our results indicate that soil macroaggregates turn over more rapidly under pasture than under forest and are less efficient at stabilizing soil C, whereas microaggregates from pasture soils stabilize a larger concentration of C than forest microaggregates. Since conversion from forest to pasture has a minimal impact on total soil C content in the Piedmont region of Virginia, United States, a simple C stock accounting system could use the same base soil C stock value for either type of land use. However, since the effects of forest to pasture conversion are a function of grassland management following conversion, assessments of C sequestration rates require activity data on the extent of various grassland management practices.

Complaining in cyberspace : the motives and forms of hotel guests’ complaints online

Traditionally, consumers who have been dissatisfied with service have typically complained to the frontline personnel or to a manager in either a direct (face-to-face, over the phone) manner, indirect by writing, or done nothing but told friends and family of the incident. More recently, the Internet has provided various “new” ways to air a grievance, especially when little might have been done at the point of service failure. With the opportunity to now spread word-of-mouth globally, consumers have the potential to impact the standing of a brand or a firm's reputation. The hotel industry is particularly vulnerable, as an increasing number of bookings are undertaken via the Internet and the decision process is likely to be influenced by what other previous guests might post on many booking-linked sites. We conducted a qualitative study of a key travel site to ascertain the forms and motives of complaints made online about hotels and resorts. 200 web-based consumer complaints were analyzed using NVivo 8 software. Findings revealed that consumers report a wide range of service failures on the Internet. They tell a highly descriptive, persuasive, and credible story, often motivated by altruism or, at the other end of the continuum, by revenge. These stories have the power to influence potential guests to book or not book accommodation at the affected properties. Implications for managers of hotels and resorts are discussed.

Secure tracking using trusted GNSS receivers and Galileo authentication services

This paper describes a secure framework for tracking applications that use the Galileo signal authentication services. First a number of limitations that affect the trust of critical tracking applications, even in presence of authenticated GNSS signals, are detailed. Requirements for secure tracking are then introduced; detailing how the integrity characteristics of the Galileo authentication could enhance the security of active tracking applications. This paper concludes with a discussion of our existing tracking technology using a Siemens TC45 GSM/GPRS module and future development utilizing our previously proposed trusted GNSS receiver.

Vitamin D intake needed to maintain target serum 25-Hydroxyvitamin D concentrations in participants with low sun exposure and dark skin pigmentation is substantially higher than current recommendations

Cutaneous cholecalciferol synthesis has not been considered in making recommendations for vitamin D intake. Our objective was to model the effects of sun exposure, vitamin D intake, and skin reflectance (pigmentation) on serum 25-hydroxyvitamin D (25[OH]D) in young adults with a wide range of skin reflectance and sun exposure. Four cohorts of participants (n = 72 total) were studied for 7-8 wk in the fall, winter, spring, and summer in Davis, CA [38.5° N, 121.7° W, Elev. 49 ft (15 m)]. Skin reflectance was measured using a spectrophotometer, vitamin D intake using food records, and sun exposure using polysulfone dosimeter badges. A multiple regression model (R^sup 2^ = 0.55; P < 0.0001) was developed and used to predict the serum 25(OH)D concentration for participants with low [median for African ancestry (AA)] and high [median for European ancestry (EA)] skin reflectance and with low [20th percentile, ~20 min/d, ~18% body surface area (BSA) exposed] and high (80th percentile, ~90 min/d, ~35% BSA exposed) sun exposure, assuming an intake of 200 IU/d (5 ug/d). Predicted serum 25(OH)D concentrations for AA individuals with low and high sun exposure in the winter were 24 and 42 nmol/L and in the summer were 40 and 60 nmol/L. Corresponding values for EA individuals were 35 and 60 nmol/L in the winter and in the summer were 58 and 85 nmol/L. To achieve 25(OH)D ≥75 nmol/L, we estimate that EA individuals with high sun exposure need 1300 IU/d vitamin D intake in the winter and AA individuals with low sun exposure need 2100-3100 IU/d year-round.

Corona ions from overhead transmission voltage powerlines : effect on DC e-field and ambient particle concentration levels

Along with their essential role in electricity transmission and distribution, some powerlines also generate large concentrations of corona ions. This study aimed at comprehensive investigation of corona ions, vertical dc e-field, ambient aerosol particle charge and particle number concentration levels in the proximity of some high/sub-transmission voltage powerlines. The influence of meteorology on the instantaneous value of these parameters, and the possible existence of links or associations between the parameters measured were also statistically investigated. The presence of positive and negative polarities of corona ions was associated with variation in the mean vertical dc e-field, ambient ion and particle charge concentration level. Though these variations increased with wind speed, their values also decreased with distance from the powerlines. Predominately positive polarities of ions were recorded up to a distance of 150 m (with the maximum values recorded 50 m downwind of the powerlines). At 200 m from the source, negative ions predominated. Particle number concentration levels however remained relatively constant (103 particle cm-3) irrespective of the sampling site and distance from the powerlines. Meteorological factors of temperature, humidity and wind direction showed no influence on the electrical parameters measured. The study also discovered that e-field measurements were not necessarily a true representation of the ground-level ambient ion/particle charge concentrations.

Perceptions of the psychological well-being and care of older home care clients : clients and their carers

Aim. To explore and compare older home care clients’ (65+) and their professionals’ perceptions of the clients’ psychological well-being and care and to identify possible differences in these perceptions. Background. Psychological well-being is considered an important dimension of quality of life. With advancing age, older people require home care support to be able to remain in their own home. The main goal of care is to maximise their independence and quality of life. Design. Descriptive, survey design with questionnaire. Methods. A postal questionnaire was distributed to 200 older home care clients and 570 social and health care professionals in 2007. The total response rate was 63%. The questionnaire consisted of questions about clients’ psychological well-being and the provision of care by home care professionals. The differences in responses between clients and professionals were analysed using cross-tabulations, the Pearson Chi-Square Test and Fisher’s Exact Tests. Results. The professional group believed that their clients did not have plans for the future. They believed that their clients felt themselves depressed and suffering from loneliness significantly more often than the client group did. The client group were also significantly more critical of the care (motivating independent actions, physical, psychological and social care) they got from the professional group than how the professionals evaluated the care they gave. Conclusions. To be able to support older clients to continue living at home, professionals need to provide a service that meets client’s own perceptions and complex social and health care needs as well as personal sense of well-being. Relevance to clinical practice. The findings offer useful insights for the professional in planning and delivering appropriate home care services. A better understanding of differences between clients’ and professionals’ perceptions could lead to a better individualised care outcome.