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.

Wide area control through aggregation of power systems

This thesis was a step forward in improving the stability of power systems by applying new control and modelling techniques. The developed methods use the data obtained from voltage angle measurement devices which are synchronized with GPS signals to stabilize the system and avoid system-wide blackouts in the event of severe faults. New approaches were developed in this research for identifying and estimating reduced dynamic system models using phasor measurement units. The main goal of this research is achieved by integrating the developed methods to obtain a feasible wide-area control system for stabilizing the power systems.

Interim financial reporting in the Asia-Pacific region : a review of regulatory requirements

This paper addresses the question of how interim financial reporting regulation varies across the Asia-Pacific region. Using a content analysis method, the study investigates the relevant regulations in eight selected countries in the Asia-Pacific region which differ in a number of country-level attributes. We find that the regulations in the region show considerable variation in terms of the form of regulatory enforcement, reporting lag, audit requirements, and reporting form. By providing the first in-depth review of the nature of differences in interim financial reporting in key countries in the Asia-Pacific region, the findings of this study will be of interest to investors, regulators and researchers in their quest for international “convergence” in financial reporting practices.

Accounting regulation for charities : international responses to IFRS adoption

This paper examines charity regulatory systems, including accounting standard setting, across five jurisdictions in varying stages of adoption of International Financial Reporting Standards, and identifies the challenges of this process. Design/methodology/approach Using a regulatory space approach, we rely on publicly available archival evidence from charity regulators and accounting standard setters in five common-law jurisdictions in advanced capitalist economies, all with vibrant charity sectors: United Kingdom, United States of America, Canada, Australia and New Zealand. Findings The study reveals the importance of co-operative interdependence and dialogue between charity regulators and accounting standard setters, indicating that jurisdictions with such inter-relationships will better manage the transition to IFRS. It also highlights the need for those jurisdictions with not-for-profit or charity-specific accounting standards to reconfigure those provisions as IFRSs are adopted. Research limitations/implications The study is limited to five jurisdictions, concentrating specifically on key charity regulators and accounting standard setters. Future research could widen the scope to other jurisdictions, or track changes in the jurisdictions longitudinally. Practical implications We provide a timely international perspective of charity regulation and accounting developments for regulators, accounting standard setters and charities, specifically of regulatory responses to IFRS adoption. Originality/value: The paper contributes fresh insights into the dynamics of charity accounting regulation in an international context by using regulatory space as an organising framework. While accounting regulation literature provides a rich interpretation of regulatory issues within the accounting arena, little attention has been paid to charity accounting regulation.

Systems thinking : an approach for advancing workplace information literacy

As the importance of information literacy has gained increased recognition, so too have academic library professionals intensified their efforts to champion, activate, and advance these capabilities in others. To date, however, little attention has focused on advancing these essential competencies amongst practitioner advocates.This paper helps redress the paucity of professional literature on the topic of workplace information literacy among library professionals.

Assessing resilience of water resources systems under the impacts of climate change

This paper presents an approach to assess the resilience of a water supply system under the impacts of climate change. Changes to climate characteristics such as rainfall, evapotranspiration and temperature can result in changes to the global hydrological cycle and thereby adversely impact on the ability of water supply systems to meet service standards in the future. Changes to the frequency and characteristics of floods and droughts as well as the quality of water provided by groundwater and surface water resources are the other consequences of climate change that will affect water supply system functionality. The extent and significance of these changes underline the necessity for assessing the future functionality of water supply systems under the impacts of climate change. Resilience can be a tool for assessing the ability of a water supply system to meet service standards under the future climate conditions. The study approach is based on defining resilience as the ability of a system to absorb pressure without going into failure state as well as its ability to achieve an acceptable level of function quickly after failure. In order to present this definition in the form of a mathematical function, a surrogate measure of resilience has been proposed in this paper. In addition, a step-by-step approach to estimate resilience of water storage reservoirs is presented. This approach will enable a comprehensive understanding of the functioning of a water storage reservoir under future climate scenarios and can also be a robust tool to predict future challenges faced by water supply systems under the consequence of climate change.

Novel channel tracking and equalization methods in MU-MIMO-OFDM systems

The methodology undertaken, the channel model and the system model created for developing a novel adaptive equalization method and a novel channel tracking method for uplink of MU-MIMO-OFDM systems is presented in this paper. The results show that the channel tracking method works with 97% accuracy, while the training-based initial channel estimation method shows poor performance in estimating the actual channel comparatively.

Introducing Masculinity Studies to Information Systems research : the case of Gaydar

I believe that studies of men's gendered experiences of information systems are needed. In order to support this claim, I introduce the area of Masculinity Studies to Information Systems research and, using this, present an exploratory analysis of an internet dating website for gay men – Gaydar. The information system, which forms part of the Gaydar community, is shown to shape, and be shaped by the members as they accept and challenge aspects of it as related to their identities. In doing this, I show how the intertwined processes of information systems development and use contribute to the creation of diverse interpretations of masculinity within a group of men. In sum, my analysis highlights different kinds of men and different versions of masculinity that can sometimes be associated with different experiences of information systems. The implications of this work centre on the need to expand our knowledge of men's gendered experiences with information systems, to reflect upon processes of technology facilitated categorisation and to consider the influences that contribute to the roll out of particular software features along with the underlying rationales for market segmentation in the software and software-based services industries.

Locating packaged software in information systems research

The papers in this issue focus our attention to packaged software as an increasingly important, but still relatively poorly understood phenomena in the information systems research community. The topic is not new: Lucas et al. (1988) wrote a provocative piece focused on the issues with implementing packaged software. A decade later, Carmel (1997) argued that packaged software was both ideally suited for American entrepreneurial activity and rapidly growing. The information systems research community, however, has moved more slowly to engage this change (e.g., Sawyer, 2001). The papers in this special issue represent a significant step in better engaging the issues of packaged software relative to information systems research, and highlighting opportunities for additional relevant research.

The development of a naturalistic car following model for assessing managed motorway systems' safety effects

This thesis highlights the limitations of the existing car following models to emulate driver behaviour for safety study purposes. It also compares the capabilities of the mainstream car following models emulating driver behaviour precise parameters such as headways and Time to Collisions. The comparison evaluates the robustness of each car following model for safety metric reproductions. A new car following model, based on the personal space concept and fish school model is proposed to simulate more precise traffic metrics. This new model is capable of reflecting changes in the headway distribution after imposing the speed limit form VSL systems. This research facilitates assessing Intelligent Transportation Systems on motorways, using microscopic simulation.

Investigating the success of operational business process management systems

Business process management systems (BPMS) belong to a class of enterprise information systems that are characterized by the dependence on explicitly modeled process logic. Through the process logic, it is relatively easy to manage explicitly the routing and allocation of work items along a business process through the system. Inspired by the DeLone and McLean framework, we theorize that these process-aware system features are important attributes of system quality, which in turn will elevate key user evaluations such as perceived usefulness, and usage satisfaction. We examine this theoretical model using data collected from four different, mostly mature BPM system projects. Our findings validate the importance of input quality as well as allocation and routing attributes as antecedents of system quality, which, in turn, determines both usefulness and satisfaction with the system. We further demonstrate how service quality and workflow dependency are significant precursors to perceived usefulness. Our results suggest the appropriateness of a multi-dimensional conception of system quality for future research, and provide important design-oriented advice for the design and configuration of BPMSs.

User expertise in contemporary information systems : conceptualization, measurement and application

The development of user expertise is a strategic imperative for organizations in hyper-competitive markets. This paper conceptualizes opreationalises and validates user expertise in contemporary Information Systems (IS) as a formative, multidimensional index. Such a validated and widely accepted index would facilitate progression of past research on user competence and efficacy of IS to complex contemporary IS, while at the same time providing a benchmark for organizations to track their user expertise. The validation involved three separate studies, including exploratory and confirmatory phases, using data from 244 respondents.