Essays on volatility and liquidity in financial markets

The price formation of financial assets is a complex process. It extends beyond the standard economic paradigm of supply and demand to the understanding of the dynamic behavior of price variability, the price impact of information, and the implications of trading behavior of market participants on prices. In this thesis, I study aggregate market and individual assets volatility, liquidity dimensions, and causes of mispricing for US equities over a recent sample period. How volatility forecasts are modeled, what determines intradaily jumps and causes changes in intradaily volatility and what drives the premium of traded equity indexes? Are they induced, for example, by the information content of lagged volatility and return parameters or by macroeconomic news, changes in liquidity and volatility? Besides satisfying our intellectual curiosity, answers to these questions are of direct importance to investors developing trading strategies, policy makers evaluating macroeconomic policies and to arbitrageurs exploiting mispricing in exchange-traded funds. Results show that the leverage effect and lagged absolute returns improve forecasts of continuous components of daily realized volatility as well as jumps. Implied volatility does not subsume the information content of lagged returns in forecasting realized volatility and its components. The reported results are linked to the heterogeneous market hypothesis and demonstrate the validity of extending the hypothesis to returns. Depth shocks, signed order flow, the number of trades, and resiliency are the most important determinants of intradaily volatility. In contrast, spread shock and resiliency are predictive of signed intradaily jumps. There are fewer macroeconomic news announcement surprises that cause extreme price movements or jumps than those that elevate intradaily volatility. Finally, the premium of exchange-traded funds is significantly associated with momentum in net asset value and a number of liquidity parameters including the spread, traded volume, and illiquidity. The mispricing of industry exchange traded funds suggest that limits to arbitrage are driven by potential illiquidity.

Smart robust resources control in LV network to deal with voltage rise issue

Often voltage rise along low voltage (LV) networks limits their capacity to accommodate more renewable energy (RE) sources. This paper proposes a robust and effective approach to coordinate customers' resources and control voltage rise in LV networks, where photovoltaics (PVs) are considered as the RE sources. The proposed coordination algorithm includes both localized and distributed control strategies. The localized strategy determines the value of PV inverter active and reactive power, while the distributed strategy coordinates customers' energy storage units (ESUs). To verify the effectiveness of proposed approach, a typical residential LV network is used and simulated in the PSCAD-EMTC platform.

What is a good project manager? Reconceptualizing the “do” : an Aristotelian perspective

In Social Science (Organization Studies, Economics, Management Science, Strategy, International Relations, Political Science…) the quest for addressing the question “what is a good practitioner?” has been around for centuries, with the underlying assumptions that good practitioners should lead organizations to higher levels of performance. Hence to ask “what is a good “captain”?” is not a new question, we should add! (e.g. Tsoukas & Cummings, 1997, p. 670; Söderlund, 2004, p. 190). This interrogation leads to consider problems such as the relations between dichotomies Theory and Practice, rigor and relevance of research, ways of knowing and knowledge forms. On the one hand we face the “Enlightenment” assumptions underlying modern positivist Social science, grounded in “unity-of-science dream of transforming and reducing all kinds of knowledge to one basic form and level” and cause-effects relationships (Eikeland, 2012, p. 20), and on the other, the postmodern interpretivist proposal, and its “tendency to make all kinds of knowing equivalent” (Eikeland, 2012, p. 20). In the project management space, this aims at addressing one of the fundamental problems in the field: projects still do not deliver their expected benefits and promises and therefore the socio-economical good (Hodgson & Cicmil, 2007; Bredillet, 2010, Lalonde et al., 2012). The Cartesian tradition supporting projects research and practice for the last 60 years (Bredillet, 2010, p. 4) has led to the lack of relevance to practice of the current conceptual base of project management, despite the sum of research, development of standards, best & good practices and the related development of project management bodies of knowledge (Packendorff, 1995, p. 319-323; Cicmil & Hodgson, 2006, p. 2–6, Hodgson & Cicmil, 2007, p. 436–7; Winter et al., 2006, p. 638). Referring to both Hodgson (2002) and Giddens (1993), we could say that “those who expect a “social-scientific Newton” to revolutionize this young field “are not only waiting for a train that will not arrive, but are in the wrong station altogether” (Hodgson, 2002, p. 809; Giddens, 1993, p. 18). While, in the postmodern stream mainly rooted in the “practice turn” (e.g. Hällgren & Lindahl, 2012), the shift from methodological individualism to social viscosity and the advocated pluralism lead to reinforce the “functional stupidity” (Alvesson & Spicer, 2012, p. 1194) this postmodern stream aims at overcoming. We suggest here that addressing the question “what is a good PM?” requires a philosophy of practice perspective to complement the “usual” philosophy of science perspective. The questioning of the modern Cartesian tradition mirrors a similar one made within Social science (Say, 1964; Koontz, 1961, 1980; Menger, 1985; Warry, 1992; Rothbard, 1997a; Tsoukas & Cummings, 1997; Flyvbjerg, 2001; Boisot & McKelvey, 2010), calling for new thinking. In order to get outside the rationalist ‘box’, Toulmin (1990, p. 11), along with Tsoukas & Cummings (1997, p. 655), suggests a possible path, summarizing the thoughts of many authors: “It can cling to the discredited research program of the purely theoretical (i.e. “modern”) philosophy, which will end up by driving it out of business: it can look for new and less exclusively theoretical ways of working, and develop the methods needed for a more practical (“post-modern”) agenda; or it can return to its pre-17th century traditions, and try to recover the lost (“pre-modern”) topics that were side-tracked by Descartes, but can be usefully taken up for the future” (Toulmin, 1990, p. 11). Thus, paradoxically and interestingly, in their quest for the so-called post-modernism, many authors build on “pre-modern” philosophies such as the Aristotelian one (e.g. MacIntyre, 1985, 2007; Tsoukas & Cummings, 1997; Flyvbjerg, 2001; Blomquist et al., 2010; Lalonde et al., 2012). It is perhaps because the post-modern stream emphasizes a dialogic process restricted to reliance on voice and textual representation, it limits the meaning of communicative praxis, and weaking the practice because it turns away attention from more fundamental issues associated with problem-definition and knowledge-for-use in action (Tedlock, 1983, p. 332–4; Schrag, 1986, p. 30, 46–7; Warry, 1992, p. 157). Eikeland suggests that the Aristotelian “gnoseology allows for reconsidering and reintegrating ways of knowing: traditional, practical, tacit, emotional, experiential, intuitive, etc., marginalised and considered insufficient by modernist [and post-modernist] thinking” (Eikeland, 2012, p. 20—21). By contrast with the modernist one-dimensional thinking and relativist and pluralistic post-modernism, we suggest, in a turn to an Aristotelian pre-modern lens, to re-conceptualise (“re” involving here a “re”-turn to pre-modern thinking) the “do” and to shift the perspective from what a good PM is (philosophy of science lens) to what a good PM does (philosophy of practice lens) (Aristotle, 1926a). As Tsoukas & Cummings put it: “In the Aristotelian tradition to call something good is to make a factual statement. To ask, for example, ’what is a good captain’?’ is not to come up with a list of attributes that good captains share (as modem contingency theorists would have it), but to point out the things that those who are recognized as good captains do.” (Tsoukas & Cummings, 1997, p. 670) Thus, this conversation offers a dialogue and deliberation about a central question: What does a good project manager do? The conversation is organized around a critic of the underlying assumptions supporting the modern, post-modern and pre-modern relations to ways of knowing, forms of knowledge and “practice”.

Simultaneous determination by UPLC-ESI-MS of scoparone, capillarisin, rhein, and emodin in rat urine after oral administration of Yin Chen Hao Tang preparation

A simple, sensitive, and validated method was developed for simultaneous determination of scoparone, capillarisin, rhein, and emodin in rat urine by ultra-performance liquid chromatography/electrospray ionization quadruple time-of-flight mass spectrometry (UPLC-MS). The urinary samples were analyzed on an Acquity UPLC BEH C18 1.7 microm 2.1x50 mm column. Scoparone, capillarisin, rhein, and emodin in rat urine were simultaneously analyzed with good separation. The lower limits of detection were 6.0, 9.0, 7.0, and 3.0 ng/mL, and the lower limits of quantification were 20.0, 33.0, 24.0, and 12.0 ng/mL for scoparone, capillarisin, rhein, and emodin, respectively. The intra- and inter-day precisions (RSD) were less than 9%. The intra- and inter-accuracies were found to be in the range of 94.14-104.54% for scoparone, 101.72-107.34% for capillarisin, 95.24-103.59% for rhein, and 101.32-107.82% for emodin at three concentration levels. The absolute recoveries for scoparone, capillarisin, rhein, and emodin were not less than 77.0%. The developed method has been applied to determine scoparone, capillarisin, rhein, and emodin in rat urine after oral administration of Yin Chen Hao Tang preparation, a traditional Chinese medicine formulation widely used in China for treatment of jaundice and liver disorders.

Pharmacokinetic studies of a Chinese triple herbal drug formula

Yin Chen Hao Tang preparation (YCHTP) is a classic traditional Chinese medicine formula, which is commonly used for clinical treatment of hepatological diseases. In this study, a rapid and validated high-performance liquid chromatography (HPLC) method was developed to simultaneously identify 6,7-dimethylesculetin and geniposide in rat plasma. This assay was performed on a Dikma Diamonsil RP(18) column (200 mmx4.6 mm, 5 mum) with acetonitrile-methanol-water (0.1% formic acid) as the mobile phase, showing acceptable linearity, intra- and inter-day precision and accuracy (R.S.D.=5%), and absolute recovery for two analytes (74%); the limits of quantitation were 0.4 and 1.12 mug/ml, and the limits of detection were 0.06 and 0.09 mug/ml for two analytes. The developed method was successfully applied to study the effect of formula compatibility on the pharmacokinetics of 6,7-dimethylesculetin and geniposide in YCHTP when orally administrating an effective human daily dose of YCHTP to rats. We surmise that formula compatibility can significantly influence the pharmacokinetics of YCHTP, and we have elucidated and validated the compatible administration of YCHTP.

Gestational Diabetes Mellitus in Far North Queensland, Australia, 2004 to 2010 : midwives’ perinatal data most accurate source

Objectives: This study examines the accuracy of Gestational Diabetes Mellitus (GDM) case-ascertainment in routinely collected data. Methods: Retrospective cohort study analysed routinely collected data from all births at Cairns Base Hospital, Australia, from 1 January 2004 to 31 December 2010 in the Cairns Base Hospital Clinical Coding system (CBHCC) and the Queensland Perinatal Data Collection (QPDC). GDM case ascertainment in the National Diabetes Services Scheme (NDSS) and Cairns Diabetes Centre (CDC) data were compared. Results: From 2004 to 2010, the specificity of GDM case-ascertainment in the QPDC was 99%. In 2010, only 2 of 225 additional cases were identified from the CDC and CBHCC, suggesting QPDC sensitivity is also over 99%. In comparison, the sensitivity of the CBHCC data was 80% during 2004–2010. The sensitivity of CDC data was 74% in 2010. During 2010, 223 births were coded as GDM in the QPDC, and the NDSS registered 247 women with GDM from the same postcodes, suggesting reasonable uptake on the NDSS register. However, the proportion of Aboriginal and Torres Strait Islander women was lower than expected. Conclusion: The accuracy of GDM case ascertainment in the QPDC appears high, with lower accuracy in routinely collected hospital and local health service data. This limits capacity of local data for planning and evaluation, and developing structured systems to improve post-pregnancy care, and may underestimate resources required. Implications: Data linkage should be considered to improve accuracy of routinely collected local health service data. The accuracy of the NDSS for Aboriginal and Torres Strait Islander women requires further evaluation.

Simultaneous determination of 6,7-dimethylesculetin and geniposide in rat plasma and its application to pharmacokinetic studies of Yin Chen Hao Tang preparation

A method for the rapid and simultaneous determination of 6,7-dimethylesculetin (CAS 120-08-1) and geniposide (CAS 24512-63-8) in rat plasma has been developed, using validated high performance liquid chromatography (HPLC) with solid phase extraction (SPE). The HPLC analysis was performed on a commercially available column (200 mm x 4.6 mm, 5 microm) with acetonitrile-methanol-0.1% aqueous formic acid as mobile phase and the UV detection at 343 nm and 238 nm for 6,7-dimethylesculetin and geniposide, respectively. The calibration curves for 6,7-dimethylesculetin and geniposide were linear over the range 0.4-25.6 microg/mL and 1.12-71.68 microg/mL, respectively. The lower limits of quantitation were 0.40 microg/ mL and 1.12 microg/mL, and the lower limits of detection were 0.06 microg/mL and 0.09 microg/ mL, respectively. The intra-day and inter-day precision for 6,7-dimethylesculetin and geniposide were < 5%, whereas the absolute recovery percentages were > 74%. A successful application of the developed HPLC analysis was demonstrated for the pharmacokinetic study of a Traditional Chinese Medicine formula of Yin Chen Hao Tang preparation.

Secured e-health data retrieval in DaaS and Big Data

Big Data is a rising IT trend similar to cloud computing, social networking or ubiquitous computing. Big Data can offer beneficial scenarios in the e-health arena. However, one of the scenarios can be that Big Data needs to be kept secured for a long period of time in order to gain its benefits such as finding cures for infectious diseases and protecting patient privacy. From this connection, it is beneficial to analyse Big Data to make meaningful information while the data is stored securely. Therefore, the analysis of various database encryption techniques is essential. In this study, we simulated 3 types of technical environments, namely, Plain-text, Microsoft Built-in Encryption, and custom Advanced Encryption Standard, using Bucket Index in Data-as-a-Service. The results showed that custom AES-DaaS has a faster range query response time than MS built-in encryption. Furthermore, while carrying out the scalability test, we acknowledged that there are performance thresholds depending on physical IT resources. Therefore, for the purpose of efficient Big Data management in eHealth it is noteworthy to examine their scalability limits as well even if it is under a cloud computing environment. In addition, when designing an e-health database, both patient privacy and system performance needs to be dealt as top priorities.

Understanding worker perceptions of common incidents at roadworks in Queensland

The process of building safer roads and roadsides needs to be managed to minimise risks to both the road using public and roadworkers. However, detailed and accurate data on fatalities and injuries at roadworks across Australia are not available. The lack of reliable safety records and consequent poor understanding of the hazards at roadworks motivated this research to examine the common trends in incidents and to understand workers' perceptions of the causes of incidents at roadworks. To achieve these aims, 66 roadworks personnel were interviewed in Queensland including road construction workers, traffic controllers, engineers, and managers. Qualitative analyses identified several major issues and themes. Vehicles driving into work areas, traffic controllers hit by vehicles, rear end crashes at roadwork approaches, and reversing incidents involving work vehicles and machinery were the most common types of incidents. Roadworkers perceived driver errors, such as violation of speed limits, distracted driving, and ignoring signage and traffic controllers' instructions as the main causes of the incidents.