Modeling volatility and changes in the swap spread

We investigate the determinants of changes in U.S. interest rate swap spreads using a model that explicitly allows for volatility interactions between swaps of different terms to maturity. Changes in the swap spread are found to be positively related to interest rate volatility, to changes in the default risk premium in the corporate bond market, and to changes in the liquidity premium for government securities. Swap spread changes are negatively related to changes in the level of interest rates and changes in the slope of the term structure. We also find that there is a strong and significant volatility interaction among spreads for swaps of different maturities and that the process for the conditional variance of the spread is highly persistent across all maturities.

Exploring Australian housing supply volatility

This study examines the volatility series of housing supply in Australia. A Generalised Autoregressive Conditional Heteroskedasticity-in-Mean (GARCH-M) model is employed to analyse the volatility series of Australian housing supply over the study period of 1974-2010. The results show the volatility of housing starts is negatively linked to housing starts, suggesting that higher uncertainty does lower housing starts. The results also reveal that the uncertainty of housing starts is also captured by the volatilities of interest rates and construction costs. Therefore policy makers should monitor and attempt to minimise the volatility of housing supply. These steps will enhance housing construction activities and increase the availability of housing supply to potential home buyers.

Implied volatility smiles, option mispricing and net buying pressure : evidence around the global financial crisis

Using the recent global financial crisis as an exogenous setting, we examine the presence and source of implied volatility smile phenomena in Australian S&P ASX 200 index options. We find a pronounced implied volatility smile for index puts in both bull and bear markets and a smile for index calls in the bear but not bull market. Implied volatilities of out-of-the money puts tend to be upwards biased whilst those of calls tend to be downwards biased. We also find that the bias in implied volatilities yields excess returns based on unhedged and delta-neutral trading strategies, suggesting that implied volatilities are related to option mispricing. Net buying pressure from market participants appears to be a source of mispricing in the case of out-of-the-money index puts with excess demand particularly pronounced during the bull period before the global financial crisis unfolded.

Return to pre-injury health status and function 12 months after hospitalisation for sport and active recreation related orthopaedic injury

Background Hospitalised sport and active recreation injuries can have serious long-term consequences. Despite this, few studies have examined the long-term outcomes of these injuries. The purpose of this study was to establish whether patients hospitalised with orthopaedic sport and active recreation injuries, have returned to their pre-injury levels of health status and function, 12 months post injury and identify factors associated with poor outcomes. The present work was a cohort study with retrospective assessment of pre-injury status and prospective assessment of outcome at 12 months post injury.

Methods Adults with orthopaedic sport and active recreation injuries, captured by the Victorian Orthopaedic Trauma Outcomes Registry were recruited to the study. Pre-injury and 12-month outcomes were assessed using the 36-item Short Form Health Survey (SF-36) and the extended Glasgow Outcome Scale. Differences in pre-injury and post-injury SF-36 scores were examined and demographic, injury, hospital and physical activity variables were assessed for associations with outcome using multivariate linear regression.

Results Of the 324 participants 98% were followed-up at 12 months post injury. At 12 months, participants reported a mean 7.0-point reduction in physical health (95% CI 5.8 to 7.8) and a 2.5-point reduction in mental health (95% CI 1.2 to 3.0), with 58% (95% CI 52.6% to 63.4%) reporting reduced function. Sporting group (p=0.001), Injury Severity Score >15 (p=0.007) and high pre-injury vigorous activity levels (p=0.04), were related to poorer physical health outcomes.

Conclusions At 12 months post injury, most participants reported large reductions in physical health and reduced function. This information is important for furthering our understanding of the burden of sport and active recreation injury and setting priorities for treatment and rehabilitation.

Monumental vision : a confrontation with the image of the Eternal Return

"Monumental Vision” is a nuanced summary of Nietzschean nihilism and the Eternal Return as rite of passage for free subjects and as condensed image of speculative intelligence proper. Utilizing Gerhard Richter’s “Sheet 692” from Atlas, a series of photographs of the mountains and lake at Sils Maria, Switzerland, as summary judgment of the limit imposed by this condition on all systems of representation, this form of vision discloses the chiasmus embedded in consciousness itself. In constantly revisiting Sils, the very location where Nietzsche “suffered” the vision of the Eternal Return, Richter has engaged repeatedly this origin for what has come into his work via Nietzsche – that is, an elective veil that refuses all compromises with transcendence until such is merged with immanence.

As situated amidst modernist “ideology as intellection”, and subsequent nascent forms of anti-modernism, the Eternal Return as image also signals the return of the Kantian “aesthetic-teleological” synthesis in non-discursive or purely visual agency. As an elective form of aesthetic vision, and as image of time insofar as it registers an overwhelming externality (Other) that nominally swallows and empowers the subject at once, this excoriating sense of universal praxis underwrites artistic and architectural production of the highest order, renegotiating concepts of the paradigmatic.

Utilizing Georg Simmel’s late work on Rembrandt (1916) and his encounter with Schopenhauer and Nietzsche (1907), the essay suggests that by the 1920s the avant-garde premises of modernism had already come under attack by an ahistorical and synoptic vision here denoted “monumental vision,” which also contains the imprint of eschatological time (invoking a schism present in rationality as such). The two readings of this image perpetrated by Karl Löwith in Nietzsche’s Philosophy of the Eternal Recurrence of the Same (Nietzsches Philosophie der ewigen Wiederkehr des Gleichen, 1935), or the cosmological and the ethical, while considered irreconcilable by Löwith, have since the 1960s been recalibrated through the figure of the event to pose possible scenarios out of the stalemate of the confrontation between Self and Other (ipseity and alterity) buried within this image as limit. In this manner, the image of the Eternal Return stands at the boundary between two forms of time (or two worlds) and signals the irreducible confrontation present in speculative thought and the necessity of closure through an aesthetic vision that produces a unitary field for all creative acts.

Notably, Nietzsche’s startling vision from Zarathustra suggests that the limit imposed by the Eternal Return is also a mask for an austere condition within subjectivity closely resembling the conundrum of Fichte’s I facing I, or thought turned toward thought itself (absolute subjectivity as cipher for Being). In Alenka Zupančič’s reading, in The Shortest Shadow: Nietzsche’s Philosophy of the Two (2003), the Eternal Return effectively contains a secret formal function that grinds all “error” to dust – a highly suggestive interpretation that also neutralizes the schism introduced by Löwith between the cosmological and the ethical.

The volume and volatility relation in the Australian stock market

The thesis studies the volume-volatility relation in the Australian Securities Market. It is concluded that the number of trades is the most important variable driving realized volatility. The average trade size is significant but its explanatory power is only trivial. Order imbalance does not drive volatility in the Australian market.

Enterprise social networking in knowledge-intensive work practices : a case study in a professional service firm

Social media technologies are making fast inroads into organisations. In the context of knowledge-intensive work the propositions of improved communication, information sharing and user involvement seem particularly promising. We study the phenomenon of Enterprise Social Networking (ESN) in the context of Professional Service Firms (PSF). Our case study investigates emerging knowledge work practices on the ESN platform Yammer within Deloitte Australia. We perform a genre analysis of communication data and uncover a set of emerging practices. We reflect on our results in the context of the knowledge-intensive nature of professional service work. We find that Yammer in the case company has become 1) an information-sharing channel, 2) a space for crowdsourcing ideas, 3) a place for finding expertise and solving problems and 4) a conversation medium for context and relationship building. We conclude by positioning ESN in the well-known 3-C model for classifying collaborative ICT.

The return

Face to Face Exhibition