Using artificial neural networks to generate trading signals for crude oil, copper and gold futures

In this thesis, a feed-forward, back-propagating Artificial Neural Network using the gradient descent algorithm is developed to forecast the directional movement of daily returns for WTI, gold and copper futures. Out-of-sample back-test results vary, with some predictive abilities for copper futures but none for either WTI or gold. The best statistically significant hit rate achieved was 57% for copper with an absolute return Sharpe Ratio of 1.25 and a benchmarked Information Ratio of 2.11.

Towards sustainable urban futures : evaluating urban sustainability performance of the Gold coast, Australia

Creating sustainable urban environments is one of the challenging issues that need a clear vision and implementation strategies involving changes in governmental values and decision making process for local governments. Particularly, internalisation of environmental externalities of daily urban activities (e.g. manufacturing, transportation and so on) has immense importance for which local policies are formulated to provide better living conditions for the people inhabiting urban areas. Even if environmental problems are defined succinctly by various stakeholders, complicated nature of sustainability issues demand a structured evaluation strategy and well-defined sustainability parameters for efficient and effective policy making. Following this reasoning, this study involves assessment of sustainability performance of urban settings mainly focusing on environmental problems caused by rapid urban expansion and transformation. By taking into account land-use and transportation interaction, it tries to reveal how future urban developments would alter daily urban travel behaviour of people and affect the urban and natural environments. The paper introduces a grid-based indexing method developed for this research and trailed as a GIS-based decision support tool to analyse and model selected spatial and aspatial indicators of sustainability in the Gold Coast. This process reveals parameters of site specific relationship among selected indicators that are used to evaluate index-based performance characteristics of the area. The evaluation is made through an embedded decision support module by assigning relative weights to indicators. Resolution of selected grid-based unit of analysis provides insights about service level of projected urban development proposals at a disaggregate level, such as accessibility to transportation and urban services, and pollution. The paper concludes by discussing the findings including the capacity of the decision support system to assist decision-makers in determining problematic areas and developing intervention policies for sustainable outcomes of future developments.

Tests on price linkage between the U.S. and Japanese gold and silver futures markets

We tested the price linkage, the law of one price (LOP) condition, and the causality of the price linkage between the U.S. and Japanese gold and silver futures markets with consideration of structural breaks in the price series. The LOP condition did not hold for both the gold and silver markets when structural breaks were not considered but it sustained in some periods when it was tested for the break periods. We found from the causality test that the price linkage between the U.S. and Japanese gold and silver futures markets were led by the U.S. market.

Enriching relationships : community engagment toward sustainable coastal futures

Coastal communities face the social, cultural and environmental challenges of managing rapid urban and industrial development, expanding tourism, and sensitive ecological environments. Enriching relationships between communities and universities through a structured engagement process can deliver integrated options towards sustainable coastal futures. This process draws on the embedded knowledge and values of all participants in the relationship, and offers a wide and affordable range of options for the future. This paper reviews lessons learnt from two projects with coastal communities, and discusses their application in a third. Queensland University of Technology has formed collaborative partnerships with industry in Queensland's Wide Bay-Burnett region to undertake a series of planning and design projects with community engagement as a central process. Senior students worked with community and produced design and planning drawings and reports outlining future options for project areas. A reflective approach has been adopted by the authors to assess the engagement process and outcomes of each project to learn lessons to apply in the next. Methods include surveying community and student participants regarding the value they place on process and outcomes respectively in planning for a sustainable future. All project participants surveyed have placed high importance on the process of engagement, emphasising the value of developing relationships between all project partners. The quality of these relationships is central to planning for sustainable futures, and while the outcomes the students deliver are valued, it is as much for their catalytic role as for their contents. Design and planning projects through community engagement have been found to develop innovative responses to the challenges faced by coastal communities seeking direction toward sustainable futures. The enrichment of engagement relationships and processes has an important influence on the quality of these design and planning responses.

Information flow, trading activity and commodity futures volatility

Based on unique news data relating to gold and crude oil, we investigate how news volume and sentiment, shocks in trading activity, market depth and trader positions unrelated to information flow covary with realized volatility. Positive shocks to the rate of news arrival, and negative shocks to news sentiment exhibit the largest effects. After controlling for the level of news flow and cross-correlations, net trader positions play only a minor role. These findings are at odds with those of [Wang (2002a). The Journal of Futures Markets, 22, 427–450; Wang (2002b). The Financial Review, 37, 295–316], but are consistent with the previous literature which doesn't find a strong link between volatility and trader positions.

Whisper our futures

Whisper Our Futures was an invited design proposal to produce a major public artwork for the State of Queensland’s 150th Anniversary Celebrations. It involved a network of 100 individual scrolling digital text boxes each with individual audio systems arranged together in a tessellated format. This form (specified by the originating brief) both mimicked the soaring gothic arches typical of Queensland cathedrals and was also suggestive of their stained glass windows. Each text module presented a message in both visual and audible forms for Queenslanders living 150 years hence - spoken both by the general public aw well as prominent figures. In this way the work was designed as a focus of future hope, historical reflection and inspiration to visitors to Queensland cathedrals throughout the entire year of celebrations (2009). The work was planned to premiere at Brisbane’s main Anglican Cathedral and then tour to nine other state cathedrals throughout 2009.---- Two staged proposals and budgets were invited throughout 2007. After the second successful proposal stage the State Premier and cabinet changed, ultimately leading the public art components to be dropped from the program. The proposal currently remains on file at the Queensland Premiers Office.