Forecasting volatility and correlation : the role of option implied measures

Forecasts of volatility and correlation are important inputs into many practical financial problems. Broadly speaking, there are two ways of generating forecasts of these variables. Firstly, time-series models apply a statistical weighting scheme to historical measurements of the variable of interest. The alternative methodology extracts forecasts from the market traded value of option contracts. An efficient options market should be able to produce superior forecasts as it utilises a larger information set of not only historical information but also the market equilibrium expectation of options market participants. While much research has been conducted into the relative merits of these approaches, this thesis extends the literature along several lines through three empirical studies. Firstly, it is demonstrated that there exist statistically significant benefits to taking the volatility risk premium into account for the implied volatility for the purposes of univariate volatility forecasting. Secondly, high-frequency option implied measures are shown to lead to superior forecasts of the intraday stochastic component of intraday volatility and that these then lead on to superior forecasts of intraday total volatility. Finally, the use of realised and option implied measures of equicorrelation are shown to dominate measures based on daily returns.

Assessing of circuit breaker restrike risks using computer simulation and wavelet analysis

A breaker restrike is an abnormal arcing phenomenon, leading to a possible breaker failure. Eventually, this failure leads to interruption of the transmission and distribution of the electricity supply system until the breaker is replaced. Before 2008, there was little evidence in the literature of monitoring techniques based on restrike measurement and interpretation produced during switching of capacitor banks and shunt reactor banks in power systems. In 2008 a non-intrusive radiometric restrike measurement method and a restrike hardware detection algorithm were developed by M.S. Ramli and B. Kasztenny. However, the limitations of the radiometric measurement method are a band limited frequency response as well as limitations in amplitude determination. Current restrike detection methods and algorithms require the use of wide bandwidth current transformers and high voltage dividers. A restrike switch model using Alternative Transient Program (ATP) and Wavelet Transforms which support diagnostics are proposed. Restrike phenomena become a new diagnostic process using measurements, ATP and Wavelet Transforms for online interrupter monitoring. This research project investigates the restrike switch model Parameter „A. dielectric voltage gradient related to a normal and slowed case of the contact opening velocity and the escalation voltages, which can be used as a diagnostic tool for a vacuum circuit-breaker (CB) at service voltages between 11 kV and 63 kV. During current interruption of an inductive load at current quenching or chopping, a transient voltage is developed across the contact gap. The dielectric strength of the gap should rise to a point to withstand this transient voltage. If it does not, the gap will flash over, resulting in a restrike. A straight line is fitted through the voltage points at flashover of the contact gap. This is the point at which the gap voltage has reached a value that exceeds the dielectric strength of the gap. This research shows that a change in opening contact velocity of the vacuum CB produces a corresponding change in the slope of the gap escalation voltage envelope. To investigate the diagnostic process, an ATP restrike switch model was modified with contact opening velocity computation for restrike waveform signature analyses along with experimental investigations. This also enhanced a mathematical CB model with the empirical dielectric model for SF6 (sulphur hexa-fluoride) CBs at service voltages above 63 kV and a generalised dielectric curve model for 12 kV CBs. A CB restrike can be predicted if there is a similar type of restrike waveform signatures for measured and simulated waveforms. The restrike switch model applications are used for: computer simulations as virtual experiments, including predicting breaker restrikes; estimating the interrupter remaining life of SF6 puffer CBs; checking system stresses; assessing point-on-wave (POW) operations; and for a restrike detection algorithm development using Wavelet Transforms. A simulated high frequency nozzle current magnitude was applied to an Equation (derived from the literature) which can calculate the life extension of the interrupter of a SF6 high voltage CB. The restrike waveform signatures for a medium and high voltage CB identify its possible failure mechanism such as delayed opening, degraded dielectric strength and improper contact travel. The simulated and measured restrike waveform signatures are analysed using Matlab software for automatic detection. Experimental investigation of a 12 kV vacuum CB diagnostic was carried out for the parameter determination and a passive antenna calibration was also successfully developed with applications for field implementation. The degradation features were also evaluated with a predictive interpretation technique from the experiments, and the subsequent simulation indicates that the drop in voltage related to the slow opening velocity mechanism measurement to give a degree of contact degradation. A predictive interpretation technique is a computer modeling for assessing switching device performance, which allows one to vary a single parameter at a time; this is often difficult to do experimentally because of the variable contact opening velocity. The significance of this thesis outcome is that it is a non-intrusive method developed using measurements, ATP and Wavelet Transforms to predict and interpret a breaker restrike risk. The measurements on high voltage circuit-breakers can identify degradation that can interrupt the distribution and transmission of an electricity supply system. It is hoped that the techniques for the monitoring of restrike phenomena developed by this research will form part of a diagnostic process that will be valuable for detecting breaker stresses relating to the interrupter lifetime. Suggestions for future research, including a field implementation proposal to validate the restrike switch model for ATP system studies and the hot dielectric strength curve model for SF6 CBs, are given in Appendix A.

Public Fundraising Charities in Queensland

A financial study is presented of charities registered under the Queensland Collections Act. These charities are required to register under that Act as they seek donations from the public. The study collected financial information from the audited annual financial statements lodged in 1989 and 1992. The charities were classified into industry classes according to Australian Standard Industry Classification. Data is presented on charity's numerical growth, growth of assets and receipts, lodging of first returns under the Act and defaults in lodging returns. A series of exploratory case studies of greater financial detail are presented to establish possible reasons for the aggregated trends established in the first part of the study. The study concludes by raising three issues, the methodological implications posed by the research, substantive issues about the behaviour of nonprofit organisations and issues for the focus of future research.

Teachers as advocates for widening participation

In England and Australia, higher education institutions (HEIs) are expected to widen participation (WP) in higher education (HE) to enhance social justice and improve individual and national economic returns. Furthermore, HEIs are the major providers of initial and in-service teacher education. This article surveys international literature to explore ways in which teacher education programmes could and do contribute to preparing teachers to advocate for WP, including drawing on learning from WP research that demonstrates the value of current HE students engaging young people in schools and colleges to support them in seriously considering progressing to HE. We conclude that teachers and pre-service teachers are well placed to be advocates for WP. In the majority of higher education institutions, however, WP and teacher education functions are not working collaboratively to embed advocacy for WP into teacher education programmes.

The benefits of tree-based models for stock selection

The identification of the primary drivers of stock returns has been of great interest to both financial practitioners and academics alike for many decades. Influenced by classical financial theories such as the CAPM (Sharp, 1964; Lintner, 1965) and APT (Ross, 1976), a linear relationship is conventionally assumed between company characteristics as derived from their financial accounts and forward returns. Whilst this assumption may be a fair approximation to the underlying structural relationship, it is often adopted for the purpose of convenience. It is actually quite rare that the assumptions of distributional normality and a linear relationship are explicitly assessed in advance even though this information would help to inform the appropriate choice of modelling technique. Non-linear models have nevertheless been applied successfully to the task of stock selection in the past (Sorensen et al, 2000). However, their take-up by the investment community has been limited despite the fact that researchers in other fields have found them to be a useful way to express knowledge and aid decision-making...

Spot the differences in traditional and social entrepreneurial intention : highlighting the role of human and social capital

There is general agreement in the scientific community that entrepreneurship plays a central role in the growth and development of an economy in rapidly changing environments (Acs & Virgill 2010). In particular, when business activities are regarded as a vehicle for sustainable growth at large, that goes beyond mere economic returns of singular entities, encompassing also social problems and heavily relying on collaborative actions, then we more precisely fall into the domain of ‘social entrepreneurship’(Robinson et al. 2009). In the entrepreneurship literature, prior studies demonstrated the role of intentionality as the best predictor of planned behavior (Ajzen 1991), and assumed that the intention to start a business derives from the perception of desirability and feasibility and from a propensity to act upon an opportunity (Fishbein & Ajzen 1975). Recognizing that starting a business is an intentional act (Krueger et al. 2000) and entrepreneurship is a planned behaviour (Katz & Gartner 1988), models of entrepreneurial intentions have substantial implications for intentionality research in entrepreneurship. The purpose of this paper is to explore the emerging practice of social entrepreneurship by comparing the determinants of entrepreneurial intention in general versus those leading to startups with a social mission. Social entrepreneurial intentions clearly merit to be investigated given that the opportunity identification process is an intentional process not only typical of for profit start-ups, and yet there is a lack of research examining opportunity recognition in social entrepreneurship (Haugh 2005). The key argument is that intentionality in both traditional and social entrepreneurs during the decision-making process of new venture creation is influenced by an individual's perceptions toward opportunities (Fishbein & Ajzen 1975). Besides opportunity recognition, at least two other aspects can substantially influence intentionality: human and social capital (Davidsson, 2003). This paper is set to establish if and to what extent the social intentions of potential entrepreneurs, at the cognitive level, are influenced by opportunities recognition, human capital, and social capital. By applying established theoretical constructs, the paper draws comparisons between ‘for-profit’ and ‘social’ intentionality using two samples of students enrolled in Economy and Business Administration at the University G. d’Annunzio in Pescara, Italy. A questionnaire was submitted to 310 potential entrepreneurs to test the robustness of the model. The collected data were used to measure the theoretical constructs of the paper. Reliability of the multi-item scale for each dimension was measured using Cronbach alpha, and for all the dimensions measures of reliability are above 0.70. We empirically tested the model using structural equation modeling with AMOS. The results allow us to empirically contribute to the argument regarding the influence of human and social cognitive capital on social and non-social entrepreneurial intentions. Moreover, we highlight the importance for further researchers to look deeper into the determinants of traditional and social entrepreneurial intention so that governments can one day define better polices and regulations that promote sustainable businesses with a social imprint, rather than inhibit their formation and growth.

Residential property investment : assessing home ownership long term viability

Home purchase and ownership is seen by the majority of Australians as the basis for a sound investment strategy and to seciure their long term retirement goals. Although home ownership rates in Australia are in excess of 65% of the population, there have been doubts raised as to the effectiveness of purchasing a house as the main source of retirement income. The main issue with this approach is that the house has to be sold to gain access to these funds or the owners have to take out a reverse mortgage to access the capital tied up in their home, which can be more expensive than selling. This paper will carryout a detailed analysis of a number of investment options to determine the effectiveness of home purchase as a long term investment vehicle. This study has found that the long term investment in equities or managed superannuation funds can provide a greater retirement income than the purchase of a residential property for owner occupation

Preliminary insights from a multiple case study on process modelling impact

Process modelling – the design and use of graphical documentations of an organisation’s business processes – is a key method to document and use information about business processes in organisational projects. Still, despite current interest in process modelling, this area of study still faces essential challenges. One of the key unanswered questions concerns the impact of process modelling in organisational practice. Process modelling initiatives call for tangible results in the form of returns on the substantial investments that organisations undertake to achieve improved processes. This study explores the impact of process model use on end-users and its contribution to organisational success. We posit that the use of conceptual models creates impact in organisational process teams. We also report on a set of case studies in which we explore tentative evidence for the development of impact of process model use. The results of this work provide a better understanding of process modelling impact from information practices and also lead to insights into how organisations should conduct process modelling initiatives in order to achieve an optimum return on their investment.

Studies of assisted reproduction in the spotted grass frog Limnodynastes tasmaniensis: ovulation, early development and microinjection (ICSI)

Assisted Reproductive Technologies (ART) offer a wide range of techniques that have the potential to augment efforts to conserve and manage endangered amphibians and improve wild and captive population numbers. Gametes and tissues of species nearing endangered or extinct status can be cryopreserved and stored in gene banks, to provide material that can be utilised in the future as ART methods are refined. The Spotted Grass Frog, Limnodynastes tasmaniensis, is an abundant amphibian species in South-Eastern Australia of the family Myobatrachidae, that is suitable for the development of ART systems that can be applied to the threatened and endangered myobatrachid and other amphibian species native to Australia. The aim of this study was to advance the understanding of ovulation, fertilisation and embryo nic development of Lim. tasmaniensis and in vitro manipulations of reproduction and development for use in the development of advanced ART procedures such as intracytoplasmic spermatozoon injection (ICSI), androgenesis and nuclear transfer. Ovulation in amphibians can be induced by protocols utilising natural or synthetic hormones. All protocols tested on Lim. tasmaniensis in this study required two injections and the most effective protocols continued to require a first injection of pituitary extracts to induce ovulation. The second injection was, however, successfully replaced by synthetic chorionic gonadotrophin at a threshold dosage of 100 iu and halved the number of cane toads required to source the pituitaries. A combination of LHRH and Pimozide offered a less effective protocol, that did not require the use of pituitary extracts, and avoided the risk of pathogen transfer associated with unsterilised pituitary extracts. Unfertilised eggs of Lim. tasmaniensis were exposed to media of various osmolalities to determine media effects on eggs and their surrounding jelly layers that might impact on egg viability and fertilisability. Osmolality had no effect upon the egg diameter, however, rapid swelling of the jelly layers occurred within 15 minutes of exposure to various media treatments and plateaued from 30-90 minutes without further expansion. Swelling of the jelly layers was increased in hypotonic media (2.5% SAR, H2O) and minimised in the isotonic media (100% SAR). The optimal conditions for the culture of Lim. tasmaniensis eggs were identified as a holding media of 100% SAR, followed by a medium change to 2.5% SAR at insemination. This sequence of media minimised the rate of swelling of the jelly layers prior to contact with the spermatozoa, and maximised the activation of spermatozoa and eggs throughout fertilisation and embryonic development. Embryos of Lim. tasmaniensis were cultured at four temperatures (13 C, 17 C, 23 C and 29 C), to determine the effect of temperature on cleavage and embryonic development rates. Embryonic development progressed through a sequence of stages that were not altered by changes in temperature. However cleavage rates were affected by changes in temperature as compared with normal embryonic growth at 23 C. Embryonic development was suspended at the lowest temperature (13 C) while embryonic viability was maintained. A moderate decrease in temperature (17 C) slowed cleavage, while the highest temperature (29 C) increased the cleavage rate, but decreased the embryo survival. Rates of embryonic development can be manipulated by changes in temperature and this method can be used to source blastomeres of a specific size/stage at a predetermined age or halt cleavage at specific stages for embryos or embryo derived cells to be included in ART procedures. This study produced the first report of the application of Intracytoplasmic Spermatozoon Injection (ICSI) in an Australian amphibian. Eggs that were activated by microinjection with a single spermatozoon (n=50) formed more deep, but abnormal, cleavage furrows post-injection (18/50, 36%), than surface changes (12/50, 24%). This result is in contrast to eggs injected without a spermatozoon (n=42), where the majority of eggs displayed limited surface changes (36/42, 86%), and few deep, abnormal furrows (3/42, 7%). Three advanced embryos (3/50, 6%) were produced by ICSI that developed to various stages within the culture system. Technical difficulties were encountered that prevented the generation of any metamorphs from ICSI tadpoles. Nevertheless, when these blocks to ICSI are overcome, the ICSI procedure will be both directly useful as an ART procedure in its own right, and the associated refinement of micromanipulation procedures will assist in the development of other ART procedures in Lim. tasmaniensis. A greater understanding of basic reproductive and developmental biology in Lim. tasmaniensis would greatly facilitate refinement of fertilisation by ICSI. Assisted Reproductive Technologies, in conjunction with gene banks may in the future regenerate extinct amphibian species, and assist in the recovery of declining amphibian populations nationally and worldwide.

Larger or broader : performance implications of size and diversity of the knowledge worker's egocentric network. [更多或更广：知识员工个人中心网络大小和 多样性对绩效的影响]

Management scholars and practitioners emphasize the importance of the size and diversity of a knowledge worker's social network. Constraints on knowledge workers’ time and energy suggest that more is not always better. Further, why and how larger networks contribute to valuable outcomes deserves further understanding. In this study, we offer hypotheses to shed insight on the question of the diminishing returns of large networks and the specific form of network diversity that may contribute to innovative performance among knowledge workers. We tested our hypotheses using data collected from 93 R&D engineers in a Sino-German automobile electronics company located in China. Study findings identified an inflection point, confirming our hypothesis that the size of the knowledge worker's egocentric network has an inverted U-shaped effect on job performance. We further demonstrate that network dispersion richness (the number of cohorts that the focal employee has connections to) rather than network dispersion evenness (equal distribution of ties across the cohorts) has more influence on the knowledge worker's job performance. Additionally, we found that the curvilinear effect of network size is fully mediated by network dispersion richness. Implications for future research on social networks in China and Western contexts are discussed.

A case-control study of ambient heat exposure and urolithiasis among outdoor workers in a shipbuilding company, Guangzhou, China

Higher ambient temperatures will increase heat stress on workers, leading to impacts upon their individual health and productivity. In particular, research has indicated that higher ambient temperatures can increase the prevalence of urolithiasis. This thesis examines the relationship between ambient heat exposure and urolithiasis among outdoor workers in a shipbuilding company in Guangzhou, China, and makes recommendations for minimising the possible impacts of high ambient temperatures on urolithiasis. A retrospective 1:4 matched case-control study was performed to investigate the association between ambient heat exposure and urolithiasis. Ambient heat exposure was characterised by total exposure time, type of work, department and length of service. The data were obtained from the affiliated hospital of the shipbuilding company under study for the period 2003 to 2010. A conditional logistic regression model was used to estimate the association between heat exposure and urolithiasis. This study found that the odds ratio (OR) of urolithiasis for total exposure time was 1.5 (95% confidence interval (CI): 1.2–1.8). Eight types of work in the shipbuilding company were investigated, including welder, assembler, production security and quality inspector, planing machine operator, spray painter, gas-cutting worker and indoor employee. Five out of eight types of work had significantly higher risks for urolithiasis, and four of the five mainly consisted of outdoors work with ORs of 4.4 (95% CI: 1.7–11.4) for spray painter, 3.8 (95% CI: 1.9–7.2) for welder, 2.7 (95% CI: 1.4–5.0) for production security and quality inspector, and 2.2 (95% CI: 1.1–4.3) for assembler, compared to the reference group (indoor employee). Workers with abnormal blood pressure (hypertension) were more likely to have urolithiasis with an OR of 1.6 (95% CI: 1.0–2.5) compared to those without hypertension. This study contributes to the understanding of the association between ambient heat exposure and urolithiasis among outdoor workers in China. In the context of global climate change, this is particularly important because rising temperatures are expected to increase the prevalence of urolithiasis among outdoor workers, putting greater pressure on productivity, occupational health management and health care systems. The results of this study have clear implications for public health policy and planning, as they indicate that more attention is required to protect outdoor workers from heat-related urolithiasis.

An introduction to biologics

An introduction to biologics 23.1 Introduction: Principles of biologics and their use as medicines 23.2 Protein biologics used as drugs 23.2.1 Proteins that function through enzymatic or regulatory activity. 23.2.1.1 Biologics as replacement of a deficient or abnormal protein. 23.2.1.2 Proteins that augment an existing biological process. 23.2.1.3 Proteins that provide a novel function or activity. 23.2.2. Proteins that function through specific targeting activity. 23.2.2.1. Monoclonal antibody nomenclature. 23.2.2.2. Naked monoclonal antibodies. 23.2.2.3. Conjugated monoclonal antibodies. 23.2.3. Recombinant protein vaccines.