Essays on the Role of Time in Price Discovery (summary section only)

The purpose of this thesis is to examine the role of trade durations in price discovery. The motivation to use trade durations in the study of price discovery is that durations are robust to many microstructure effects that introduce a bias in the measurement of returns volatility. Another motivation to use trade durations in the study of price discovery is that it is difficult to think of economic variables, which really are useful in the determination of the source of volatility at arbitrarily high frequencies. The dissertation contains three essays. In the first essay, the role of trade durations in price discovery is examined with respect to the volatility pattern of stock returns. The theory on volatility is associated with the theory on the information content of trade, dear to the market microstructure theory. The first essay documents that the volatility per transaction is related to the intensity of trade, and a strong relationship between the stochastic process of trade durations and trading variables. In the second essay, the role of trade durations in price discovery is examined with respect to the quantification of risk due to a trading volume of a certain size. The theory on volume is intrinsically associated with the stock volatility pattern. The essay documents that volatility increases, in general, when traders choose to trade with large transactions. In the third essay, the role of trade durations in price discovery is examined with respect to the information content of a trade. The theory on the information content of a trade is associated with the theory on the rate of price revisions in the market. The essay documents that short durations are associated with information. Thus, traders are compensated for responding quickly to information

Exploratory semiparametric analysis of two-dimensional diffusions in finance

We examine bivariate extensions of Aït-Sahalia’s approach to the estimation of univariate diffusions. Our message is that extending his idea to a bivariate setting is not straightforward. In higher dimensions, as opposed to the univariate case, the elements of the Itô and Fokker-Planck representations do not coincide; and, even imposing sensible assumptions on the marginal drifts and volatilities is not sufficient to obtain direct generalisations. We develop exploratory estimation and testing procedures, by parametrizing the drifts of both component processes and setting restrictions on the terms of either the Itô or the Fokker-Planck covariance matrices. This may lead to highly nonlinear ordinary differential equations, where the definition of boundary conditions is crucial. For the methods developed, the Fokker-Planck representation seems more tractable than the Itô’s. Questions for further research include the design of regularity conditions on the time series dependence in the data, the kernels actually used and the bandwidths, to obtain asymptotic properties for the estimators proposed. A particular case seems promising: “causal bivariate models” in which only one of the diffusions contributes to the volatility of the other. Hedging strategies which estimate separately the univariate diffusions at stake may thus be improved.

Doing Time in the Retail Industry

This paper uses survey data to explore employee satisfaction with working time arrangements within a large supermarket chain in Queensland. The findings confirm those in the literature that employees have a diverse range of working time preferences, and that employees will be more satisfied if those preferences are met by their employer. In general, many full-time employees wanted shorter hours and a sizeable proportion of part-time employees wanted longer working hours. This paper is a preliminary attempt at teasing out the explanations behind working time preferences.

What about me? Avoiding fatigue and gaining personal time in the work to leisure transition in work-life balance initiatives

Fatigue and overwork are problems experienced by numerous employees in many industry sectors. Focusing on improving work-life balance can frame the ‘problem’ of long work hours to resolve working time duration issues. Flexible work options through re-organising working time arrangements is key to developing an organisational response for delivering work-life balance and usually involves changing the internal structure of work time. This study examines the effect of compressed long weekly working hours and the consequent ‘long break’ on work-life balance. Using Spillover theory and Border theory, this research considers organisational and personal determinants of overwork and fatigue. It concludes compressed long work hours with a long break provide better work-life balance. Further, a long break allows gaining ‘personal time’ and overcoming fatigue.

Correlates of sitting time in working age Australian women : who should be targeted with interventions to decrease sitting time?

Background: While there is emerging evidence that sedentary behavior is negatively associated with health risk, research on the correlates of sitting time in adults is scarce. Methods: Self-report data from 7,724 women born between 1973-1978 and 8,198 women born between 1946-1951 were collected as part of the Australian Longitudinal Study on Women’s Health. Linear regression models were computed to examine whether demographic, family and caring duties, time use, health and health behavior variables were associated with weekday sitting time. Results: Mean sitting time (SD) was 6.60 (3.32) hours/day for the 1973-1978 cohort and 5.70 (3.04) hours/day for the 1946-1951 cohort. Indicators of socio-economic advantage, such as full11 time work and skilled occupations in both cohorts and university education in the mid-age cohort, were associated with high sitting time. A cluster of ‘healthy behaviours’ was associated with lower sitting time in the mid-aged women (moderate/high physical activity levels, non-smoking, non-drinking). For both cohorts, sitting time was highest in women in full-time work, in skilled occupations and in those who spent the most time in passive leisure. Conclusions: The results suggest that, in young and mid-aged women, interventions for reducing sitting time should focus on both occupational and leisure-time sitting.

Age-related loss of brain volume and T2 relaxation time in youth with type 1 diabetes

OBJECTIVE: Childhood-onset type 1 diabetes is associated with neurocognitive deficits, but there is limited evidence to date regarding associated neuroanatomical brain changes and their relationship to illness variables such as age at disease onset. This report examines age-related changes in volume and T2 relaxation time (a fundamental parameter of magnetic resonance imaging that reflects tissue health) across the whole brain. RESEARCH DESIGN AND METHODS: Type 1 diabetes, N = 79 (mean age 20.32 ± 4.24 years), and healthy control participants, N = 50 (mean age 20.53 ± 3.60 years). There were no substantial group differences on socioeconomic status, sex ratio, or intelligence quotient. RESULTS: Regression analyses revealed a negative correlation between age and brain changes, with decreasing gray matter volume and T2 relaxation time with age in multiple brain regions in the type 1 diabetes group. In comparison, the age-related decline in the control group was small. Examination of the interaction of group and age confirmed a group difference (type 1 diabetes vs. control) in the relationship between age and brain volume/T2 relaxation time. CONCLUSIONS: We demonstrated an interaction between age and group in predicting brain volumes and T2 relaxation time such that there was a decline in these outcomes in type 1 diabetic participants that was much less evident in control subjects. Findings suggest the neurodevelopmental pathways of youth with type 1 diabetes have diverged from those of their healthy peers by late adolescence and early adulthood but the explanation for this phenomenon remains to be clarified.

Experimental and computer simulation validation of ultrasound phase interference created by lateral inhomogeneity of transit time in replica bone marrow composite models

Purpose: The measurement of broadband ultrasonic attenuation (BUA) in cancellous bone for the assessment of osteoporosis follows a parabolic-type dependence with bone volume fraction; having minima values corresponding to both entire bone and entire marrow. Langton has recently proposed that the primary BUA mechanism may be significant phase interference due to variations in propagation transit time through the test sample as detected over the phase-sensitive surface of the receive ultrasound transducer. This fundamentally simple concept assumes that the propagation of ultrasound through a complex solid : liquid composite sample such as cancellous bone may be considered by an array of parallel ‘sonic rays’. The transit time of each ray is defined by the proportion of bone and marrow propagated, being a minimum (tmin) solely through bone and a maximum (tmax) solely through marrow. A Transit Time Spectrum (TTS), ranging from tmin to tmax, may be defined describing the proportion of sonic rays having a particular transit time, effectively describing lateral inhomogeneity of transit time over the surface of the receive ultrasound transducer. Phase interference may result from interaction of ‘sonic rays’ of differing transit times. The aim of this study was to test the hypothesis that there is a dependence of phase interference upon the lateral inhomogenity of transit time by comparing experimental measurements and computer simulation predictions of ultrasound propagation through a range of relatively simplistic solid:liquid models exhibiting a range of lateral inhomogeneities. Methods: A range of test models was manufactured using acrylic and water as surrogates for bone and marrow respectively. The models varied in thickness in one dimension normal to the direction of propagation, hence exhibiting a range of transit time lateral inhomogeneities, ranging from minimal (single transit time) to maximal (wedge; ultimately the limiting case where each sonic ray has a unique transit time). For the experimental component of the study, two unfocused 1 MHz ¾” broadband diameter transducers were utilized in transmission mode; ultrasound signals were recorded for each of the models. The computer simulation was performed with Matlab, where the transit time and relative amplitude of each sonic ray was calculated. The transit time for each sonic ray was defined as the sum of transit times through acrylic and water components. The relative amplitude considered the reception area for each sonic ray along with absorption in the acrylic. To replicate phase-sensitive detection, all sonic rays were summed and the output signal plotted in comparison with the experimentally derived output signal. Results: From qualtitative and quantitative comparison of the experimental and computer simulation results, there is an extremely high degree of agreement of 94.2% to 99.0% between the two approaches, supporting the concept that propagation of an ultrasound wave, for the models considered, may be approximated by a parallel sonic ray model where the transit time of each ray is defined by the proportion of ‘bone’ and ‘marrow’. Conclusions: This combined experimental and computer simulation study has successfully demonstrated that lateral inhomogeneity of transit time has significant potential for phase interference to occur if a phase-sensitive ultrasound receive transducer is implemented as in most commercial ultrasound bone analysis devices.

How to increase the accuracy of analysis and reduce the computational time in ANSYS in the case of deformation study of orthopedic bone plates

Currently, finite element analyses are usually done by means of commercial software tools. Accuracy of analysis and computational time are two important factors in efficiency of these tools. This paper studies the effective parameters in computational time and accuracy of finite element analyses performed by ANSYS and provides the guidelines for the users of this software whenever they us this software for study on deformation of orthopedic bone plates or study on similar cases. It is not a fundamental scientific study and only shares the findings of the authors about structural analysis by means of ANSYS workbench. It gives an idea to the readers about improving the performance of the software and avoiding the traps. The solutions provided in this paper are not the only possible solutions of the problems and in similar cases there are other solutions which are not given in this paper. The parameters of solution method, material model, geometric model, mesh configuration, number of the analysis steps, program controlled parameters and computer settings are discussed through thoroughly in this paper.

Finding space and time in the West

WHENEVER I talk to my students about the requisites for writing, I always tell them that they need at least two things: space and time. Time, which we frequently describe through verbs of motion such as ‘flow’ or ‘flux’, and space, which we usually view as emptiness or the absence of matter. I.e., two dimensions, which are co-dependent, are not only features of the physical world but mental constructs that are elementary to the faculty of cognition...

Mid-Aged Adults' Sitting Time in Three Contexts

BACKGROUND: To develop evidence-based approaches for reducing sedentary behavior, there is a need to identify the specific settings where prolonged sitting occurs, associated factors, and variations. PURPOSE: To examine the sociodemographic and health factors associated with mid-aged adults' sitting time in three contexts and variations between weekdays and weekend days. METHODS: A mail survey was sent to 17,000 adults (aged 40-65 years) in 2007; 11,037 responses were received (68.5%); and 7719 were analyzed in 2010. Respondents indicated time spent sitting on a usual weekday and weekend day for watching TV, general leisure, and home computer use. Multivariate linear mixed models with area-level random intercepts were used to examine (1) associations between sociodemographic and health variables and sitting time, and (2) interaction effects of weekday/weekend day with each of gender, age, education, and employment status, on sitting time. RESULTS: For each context, longer sitting times were reported by those single and living alone, and those whose health restricted activity. For watching TV, longer sitting times were reported by men; smokers; and those with high school or lower education, not in paid employment, in poor health, and with BMI ≥25. For general leisure, longer sitting times were reported by women, smokers, and those not employed full-time. For home computer use, longer sitting times were reported by men; and those aged 40-44 years, with university qualifications; in the mid-income range; and with BMI ≥30. Sitting times tended to be longer on weekend days than weekdays, although the extent of this differed among sociodemographic groups. CONCLUSIONS: Sociodemographic and health factors associated with sitting time differ by context and between weekdays and weekend days.

Emotional climate and behavioral management during sleep time in early childhood education settings

The majority of children cease napping between 3 and 5 years of age yet, internationally, the allocation of a sleep time during the day for children of this age remains a practice in many early childhood education (ECE) settings. These dual circumstances present a disjuncture between children's sleep needs and center practices, that may cause conflict for staff, increase stress for children and escalate negative emotional climate in the room. Testing this hypothesis requires observation of both the emotional climate and behavioral management used in ECE rooms that extends into the sleep time. This study was the first to apply the Classroom Assessment and Scoring System (CLASS) Pre-K (Pianta, La Paro, & Hamre, 2008) to observe the emotional climate and behavioral management during sleep time. Pilot results indicated that the CLASS Pre-K functioned reliably to measure emotional climate and behavioral management in sleep time. However, new sleep-specific examples of the dimensions used were developed, to help orient fieldworkers to the CLASS Pre-K rating system in the sleep time context. The CLASS was then used to assess emotional climate and behavior management between the non-sleep and sleep time sessions, in 113 ECE rooms in Queensland, Australia. In these rooms 2.114 children were observed. Of these children, 71% did not sleep at any point during the allotted sleep times. There was a significant drop in emotional climate and behavioral management between the non-sleep and sleep-time sessions. Furthermore, the duration of mandated sleep time (a period of time where no activities are provided to non-sleeping children) accounted for significant independent variance in the observed emotional climate during sleep-time. The CLASS Pre-K presents a valuable tool to assess the emotional climate and behavior management during sleep-time and draws attention to the need for further studies of sleep time in ECE settings.

Inside the ‘Hurt Locker’: The combined effects of explosive ordnance disposal and chemical protective clothing on physiological tolerance time in extreme environments

Background Explosive ordnance disposal (EOD) technicians are often required to wear specialised clothing combinations that not only protect against the risk of explosion but also potential chemical contamination. This heavy (>35kg) and encapsulating ensemble is likely to increase physiological strain by increasing metabolic heat production and impairing heat dissipation. This study investigated the physiological tolerance times of two different chemical protective undergarments, commonly worn with EOD personal protective clothing, in a range of simulated environmental extremes and work intensities Methods Seven males performed eighteen trials wearing two ensembles. The trials involved walking on a treadmill at 2.5, 4 and 5.5 km.h-1 at each of the following environmental conditions, 21, 30 and 37°C wet bulb globe temperature (WBGT). The trials were ceased if the participants’ core temperature reached 39°C, if heart rate exceeded 90% of maximum, if walking time reached 60 minutes or due to volitional fatigue. Results Physiological tolerance times ranged from 8 to 60 min and the duration (mean difference: 2.78 min, P>0.05) were similar in both ensembles. A significant effect for environment (21>30>37°C WBGT, P<0.05) and work intensity (2.5>4>5.5 km.h-1, P< 0.05) was observed in tolerance time. The majority of trials across both ensembles (101/126; 80.1%) were terminated due to participants achieving a heart rate equivalent to greater than 90% of their maximum. Conclusions Physiological tolerance times wearing these two chemical protective undergarments, worn underneath EOD personal protective clothing, were similar and predominantly limited by cardiovascular strain.