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.

Investigating users’ intuitive interaction with complex artefacts

This paper examines the role of intuition in the way that people operate unfamiliar devices. Intuition is a type of cognitive processing that is often non-conscious and utilises stored experiential knowledge. Intuitive interaction involves the use of knowledge gained from other products and/or experiences. Two initial experimental studies revealed that prior exposure to products employing similar features helped participants to complete set tasks more quickly and intuitively, and that familiar features were intuitively used more often than unfamiliar ones. A third experiment confirmed that performance is affected by a person's level of familiarity with similar technologies, and also revealed that appearance (shape, size and labelling of features) seems to be the variable that most affects time spent on a task and intuitive uses during that time. Age also seems to have an effect. These results and their implications are discussed.

Single camera vision-only SLAM on a suburban road network

Simultaneous Localization And Mapping (SLAM) is one of the major challenges in mobile robotics. Probabilistic techniques using high-end range finding devices are well established in the field, but recent work has investigated vision only approaches. This paper presents a method for generating approximate rotational and translation velocity information from a single vehicle-mounted consumer camera, without the computationally expensive process of tracking landmarks. The method is tested by employing it to provide the odometric and visual information for the RatSLAM system while mapping a complex suburban road network. RatSLAM generates a coherent map of the environment during an 18 km long trip through suburban traffic at speeds of up to 60 km/hr. This result demonstrates the potential of ground based vision-only SLAM using low cost sensing and computational hardware.

Semi-analytic method of contact modelling

An algorithm to improve the accuracy and stability of rigid-body contact force calculation is presented. The algorithm uses a combination of analytic solutions and numerical methods to solve a spring-damper differential equation typical of a contact model. The solution method employs the recently proposed patch method, which especially suits the spring-damper differential equations. The resulting semi-analytic solution reduces the stiffness of the differential equations, while performing faster than conventional alternatives.

Axial shortening in reinforced concrete members using vibration characteristics - part 2 - Application

Controlling differential axial shortening in vertical load bearing concrete elements is a major concern for new generation tall buildings with complex geometries and mechanisms. Quantification of axial shortening using gauges to verify the pre-estimated numerical values used at the design stage is a well established method. This method makes adequate provision to mitigate the adverse effects during the construction. However, this method is becoming increasingly unusable due to its drawbacks. This highlights the need a novel method to quantify the axial shortening using ambient measurements. This paper will first brief introduce the method and then illustrate its application to a high-rise building with two outrigger and belt systems. Moreover, this procedure can be used as a health or performance monitoring tool of the building structure, both during and after construction.

Bengali handwritten character recognition using modified syntactic method

Several approaches have been proposed to recognize handwritten Bengali characters using different curve fitting algorithms and curvature analysis. In this paper, a new algorithm (Curve-fitting Algorithm) to identify various strokes of a handwritten character is developed. The curve-fitting algorithm helps recognizing various strokes of different patterns (line, quadratic curve) precisely. This reduces the error elimination burden heavily. Implementation of this Modified Syntactic Method demonstrates significant improvement in the recognition of Bengali handwritten characters.

Improved correlation-based modal strain energy method for global damage detection of truss bridge structures

The previous investigations have shown that the modal strain energy correlation method, MSEC, could successfully identify the damage of truss bridge structures. However, it has to incorporate the sensitivity matrix to estimate damage and is not reliable in certain damage detection cases. This paper presents an improved MSEC method where the prediction of modal strain energy change vector is differently obtained by running the eigensolutions on-line in optimisation iterations. The particular trail damage treatment group maximising the fitness function close to unity is identified as the detected damage location. This improvement is then compared with the original MSEC method along with other typical correlation-based methods on the finite element model of a simple truss bridge. The contributions to damage detection accuracy of each considered mode is also weighed and discussed. The iterative searching process is operated by using genetic algorithm. The results demonstrate that the improved MSEC method suffices the demand in detecting the damage of truss bridge structures, even when noised measurement is considered.

Therapeutic relationships in specialist palliative care nursing practice.

There has been limited research into the scope or standards of specialist palliative care nursing practice in an Australian context. This study sought to develop a competency framework that described the core domains of specialist palliative care nursing. This article explores one key domain of specialist palliative care nursing practice - therapeutic relationships - that was identified as underpinning other domains of practice. A mixed method was used, involving a literature review, a survey including practice exemplars and an interview of specialist palliative care nurses. Seventy-four registered nurses working in designated specialist palliative care nursing roles from each Australian state and mainland territory were involved. The nurses represented metropolitan, regional, rural and remote communities, various inpatient facilities and community practice settings. Five core domains of specialist palliative care nursing practice were identified: complex supportive care, collaborative practice, leadership, improving practice and therapeutic relationships. Therapeutic relationships were identified as the central domain of specialist palliative care nursing practice to which all other domains were inextricably linked.

A modified quality control method for manufacturing process in mask industry

Masks are widely used in different industries, for example, traditional metal industry, hospitals or semiconductor industry. Quality is a critical issue in mask industry as it is related to public health and safety. Traditional quality practices for manufacturing process have some limitations in implementing them in mask industries. This paper aims to investigate the suitability of Six Sigma quality control method for the manufacturing process in the mask industry to provide high quality products, enhancing the process capacity, reducing the defects and the returned goods arising in a selected mask manufacturing company. This paper suggests that modifications necessary in Six Sigma method for effective implementation in mask industry.

A vibration based method to update axial shortening of load bearing elements

Axial shortening in vertical load bearing elements of reinforced concrete high-rise buildings is caused by the time dependent effects of shrinkage, creep and elastic shortening of concrete under loads. Such phenomenon has to be predicted at design stage and then updated during and after construction of the buildings in order to provide mitigation against the adverse effects of differential axial shortening among the elements. Existing measuring methods for updating previous predictions of axial shortening pose problems. With this in mind, a innovative procedure with a vibration based parameter called axial shortening index is proposed to update axial shortening of vertical elements based on variations in vibration characteristics of the buildings. This paper presents the development of the procedure and illustrates it through a numerical example of an unsymmetrical high-rise building with two outrigger and belt systems. Results indicate that the method has the capability to capture influence of different tributary areas, shear walls of outrigger and belt systems as well as the geometric complexity of the building.

A point interpolation method with locally smoothed strain field (PIM-LS2) for mechanics problems using triangular mesh

A point interpolation method with locally smoothed strain field (PIM-LS2) is developed for mechanics problems using a triangular background mesh. In the PIM-LS2, the strain within each sub-cell of a nodal domain is assumed to be the average strain over the adjacent sub-cells of the neighboring element sharing the same field node. We prove theoretically that the energy norm of the smoothed strain field in PIM-LS2 is equivalent to that of the compatible strain field, and then prove that the solution of the PIM- LS2 converges to the exact solution of the original strong form. Furthermore, the softening effects of PIM-LS2 to system and the effects of the number of sub-cells that participated in the smoothing operation on the convergence of PIM-LS2 are investigated. Intensive numerical studies verify the convergence, softening effects and bound properties of the PIM-LS2, and show that the very ‘‘tight’’ lower and upper bound solutions can be obtained using PIM-LS2.

A numerical method to quantify differential axial shortening in concrete buildings

Differential distortion comprising axial shortening and consequent rotation in concrete buildings is caused by the time dependent effects of “shrinkage”, “creep” and “elastic” deformation. Reinforcement content, variable concrete modulus, volume to surface area ratio of elements and environmental conditions influence these distortions and their detrimental effects escalate with increasing height and geometric complexity of structure and non vertical load paths. Differential distortion has a significant impact on building envelopes, building services, secondary systems and the life time serviceability and performance of a building. Existing methods for quantifying these effects are unable to capture the complexity of such time dependent effects. This paper develops a numerical procedure that can accurately quantify the differential axial shortening that contributes significantly to total distortion in concrete buildings by taking into consideration (i) construction sequence and (ii) time varying values of Young’s Modulus of reinforced concrete and creep and shrinkage. Finite element techniques are used with time history analysis to simulate the response to staged construction. This procedure is discussed herein and illustrated through an example.

A quasi-stationary approach to drying kinetics of different shaped food particulates in a heat pump assisted by fluid bed dryer

Experiments were undertaken to study drying kinetics of different shaped moist food particulates during heat pump assisted fluidised bed drying. Three particular geometrical shapes of parallelepiped, cylindrical and spheres were selected from potatoes (aspect ratio = 1:1, 2:1, 3:1), cut beans (length: diameter = 1:1, 2:1, 3:1) and peas respectively. A batch fluidised bed dryer connected to a heat pump system was used for the experimentation. A Heat pump and fluid bed combination was used to increase overall energy efficiency and achieve higher drying rates. Drying kinetics, were evaluated with non-dimensional moisture at three different drying temperatures of 30, 40 and 50o C. Due to complex hydrodynamics of the fluidised beds, drying kinetics are dryer or material specific. Numerous mathematical models can be used to calculate drying kinetics ranging from analytical models with simplified assumptions to empirical models built by regression using experimental data. Empirical models are commonly used for various food materials due to their simpler approach. However problems in accuracy, limits the applications of empirical models. Some limitations of empirical models could be reduced by using semi-empirical models based on heat and mass transfer of the drying operation. One such method is the quasi-stationary approach. In this study, a modified quasi-stationary approach was used to model drying kinetics of the cylindrical food particles at three drying temperatures.

Some aspects of calcium phosphate chemistry in sugarcane clarification

This paper reviews some aspects of calcium phosphate chemistry since phosphate in juice is an important parameter in all sugar juice clarification systems. It uses basic concepts to try and explain the observed differences in clarification performance obtained with various liming techniques. The paper also examines the current colorimetric method used for the determination of phosphate in sugar juice. In this method, a phosphomolybdate blue complex formed due to the addition of a dye is measured at 660 nm. Unfortunately, at this wavelength there is interference of the colour arising from within the juice and results in the underestimation of the amount of soluble inorganic phosphate content of juice. It is suggested that phosphate analysis be conducted at the higher wavelength of 875 nm where the interference of the juice colour is minimised.