Investment Approaches and Applications in Financial Markets: Evolutionary Kernel Based Subset Time-Series Using Semi-Parametric Approaches. The project will develop new investment assessments based on subset time-series modeling. Innovative evolutionary kernel smoothing algorithms using semi-parametric approaches will be introduced. The project will make three important applications of this modeling in financial markets: a) benchmarking and evaluation of inflation-indexed bonds; b) evaluation of ....Investment Approaches and Applications in Financial Markets: Evolutionary Kernel Based Subset Time-Series Using Semi-Parametric Approaches. The project will develop new investment assessments based on subset time-series modeling. Innovative evolutionary kernel smoothing algorithms using semi-parametric approaches will be introduced. The project will make three important applications of this modeling in financial markets: a) benchmarking and evaluation of inflation-indexed bonds; b) evaluation of the performance of global diversified investment funds; and c) prediction to provide early warning of the emergence of destabilising deflation or inflation. These three applications will lead to improved risk management practices and investment performance. Recursive algorithms will provide new statistical methods to study investment asset price movements and market volatility.
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Centre for Mathematical and Statistical Modelling of Complex Systems. This Centre, formed by a group of high-profile researchers, brings expertise from linked but hitherto disparate areas together. It will place Australia at the forefront of research into complex systems.
The mission of the Centre is to stimulate research in mathematical and statistical modelling of complex systems and to encourage cross-fertilisation of ideas and techniques. The specific objectives are
- to formulate and ana ....Centre for Mathematical and Statistical Modelling of Complex Systems. This Centre, formed by a group of high-profile researchers, brings expertise from linked but hitherto disparate areas together. It will place Australia at the forefront of research into complex systems.
The mission of the Centre is to stimulate research in mathematical and statistical modelling of complex systems and to encourage cross-fertilisation of ideas and techniques. The specific objectives are
- to formulate and analyse mathematical and statistical models for natural and artificial complex systems,
- to use these models to develop an understanding of the behaviour of these systems
- to incorporate this understanding into strategies for management and control.Read moreRead less
Multi-Group Stochastic Modelling of Population Balance for Gas-Liquid Flows. Multiphase flow systems are encountered in many process industries such as chemical, petroleum, mining, nuclear, energy, food and pharmaceutical, which are fundamental to the Australian economy. Commercially available computer codes for simulating such systems are currently widely used in many Australian industrial sectors. This research project will address the prevalent deficiency in many of these computer codes and ....Multi-Group Stochastic Modelling of Population Balance for Gas-Liquid Flows. Multiphase flow systems are encountered in many process industries such as chemical, petroleum, mining, nuclear, energy, food and pharmaceutical, which are fundamental to the Australian economy. Commercially available computer codes for simulating such systems are currently widely used in many Australian industrial sectors. This research project will address the prevalent deficiency in many of these computer codes and develop new models capable of predicting a wide range of industrial bubbly flow problems. The resultant improved computer codes will provide industries with significant benefits and, in particular, reduce times and costs in their design and production. Read moreRead less
Quantitative and qualitative aspects of Asian and Australian options. While Asian options are highly popular and traded over the counter all over the world, they are traded on an institutional basis in only very few countries. Australia is one of them. Variable purchase options (VPO's), where the payoff is determined by the quotient of a stock and its average price, are traded on the Australian stock exchange since 1992. They build an important component of the Australian derivatives market and ....Quantitative and qualitative aspects of Asian and Australian options. While Asian options are highly popular and traded over the counter all over the world, they are traded on an institutional basis in only very few countries. Australia is one of them. Variable purchase options (VPO's), where the payoff is determined by the quotient of a stock and its average price, are traded on the Australian stock exchange since 1992. They build an important component of the Australian derivatives market and are particularly interesting for foreign investors, who are not able to find this sort of financial product on their domestic markets. A better understanding of these products is necessary to maximize the benefits for Australia's financial markets and economy. Read moreRead less
Efficient Estimation of Statistical Models with Many Parameters. Statistical models are used extensively in business, engineering and the sciences to describe the behavior of systems subject to uncertainty. There are often many unknowns in such models and relatively little data to estimate them. The object of the research is to develop methods that make these statistical models practical to use. The research team will apply the methodology to solve problems in economics, finance, marketing and t ....Efficient Estimation of Statistical Models with Many Parameters. Statistical models are used extensively in business, engineering and the sciences to describe the behavior of systems subject to uncertainty. There are often many unknowns in such models and relatively little data to estimate them. The object of the research is to develop methods that make these statistical models practical to use. The research team will apply the methodology to solve problems in economics, finance, marketing and the analysis of gene expression data. The project will also train doctoral and postdoctoral students and enhance Australia's reputation for research excellence in the Statistical and Mathematical Sciences. Read moreRead less
Investment approaches and opportunities in renewable energy and financial resource markets, using semi-parametric approaches to evolutionary subset time-series lattice-ladder modelling. The project findings will help Australian exporters and importers understand and manage energy and resource price risks more effectively. The investment community will benefit through selecting optimal asset allocations and enhancing value to investors. It will also benefit many other agencies, particularly in th ....Investment approaches and opportunities in renewable energy and financial resource markets, using semi-parametric approaches to evolutionary subset time-series lattice-ladder modelling. The project findings will help Australian exporters and importers understand and manage energy and resource price risks more effectively. The investment community will benefit through selecting optimal asset allocations and enhancing value to investors. It will also benefit many other agencies, particularly in the service industries. It is not well recognised that in developed countries, including Australia, the financial service and related sectors account for more than 60 percent of economic activity and employment, so it is critical that more sophisticated statistical methods be established, and practical applications conducted, in order to advance the understanding of complexity management in the financial service and related sectors.Read moreRead less
Increasing the effectiveness of quantitative verification. The ability to analyse the performance of complex systems and protocols is a vital part of the development of large-scale computer applications. Methods that improve the effectiveness of the analysis task would increase the competitiveness of the software industry, and would attract future development work (in complex systems) to Australia. The results of this project will have a direct influence on currently available design tools; the ....Increasing the effectiveness of quantitative verification. The ability to analyse the performance of complex systems and protocols is a vital part of the development of large-scale computer applications. Methods that improve the effectiveness of the analysis task would increase the competitiveness of the software industry, and would attract future development work (in complex systems) to Australia. The results of this project will have a direct influence on currently available design tools; the fact that Australian institutions will be (in part) responsible for key theoretical results in this growing field will strengthen Australia's position worldwide as an international centre for computer science.Read moreRead less
Boundary Crossing Analysis for Random Processes with Applications to Risk Management. Effective management of environmental, financial and superannuation investment risks is vitally important for Australia. Results of the project will add to the theoretical foundations of risk management and provide new computational tools for specialists working in the areas of financial engineering, insurance, superannuation funds. These tools will assist in improving risk profile evaluation and developing new ....Boundary Crossing Analysis for Random Processes with Applications to Risk Management. Effective management of environmental, financial and superannuation investment risks is vitally important for Australia. Results of the project will add to the theoretical foundations of risk management and provide new computational tools for specialists working in the areas of financial engineering, insurance, superannuation funds. These tools will assist in improving risk profile evaluation and developing new statistical control charts for security monitoring of epidemics, networks intrusions and other potentially dangerous changes. The research will also give Australia a competitive advantage in the area of education related to stochastic processes, mathematical finance, control theory and their applications.Read moreRead less
Stochastic Methods for Dynamic Risk Management. In today's environment of intense competitive pressures, volatile economic conditions, rising bankruptcies, and increasing levels of consumer and commercial debt, an organization's ability to effectively monitor and manage its credit risk can mean the difference between success and survival. The improvement of dynamic risk management systems is also an essential part of the new regulatory Capital Adequacy Proposal Basel II in which risk-sensitive c ....Stochastic Methods for Dynamic Risk Management. In today's environment of intense competitive pressures, volatile economic conditions, rising bankruptcies, and increasing levels of consumer and commercial debt, an organization's ability to effectively monitor and manage its credit risk can mean the difference between success and survival. The improvement of dynamic risk management systems is also an essential part of the new regulatory Capital Adequacy Proposal Basel II in which risk-sensitive capital requirements for credit portfolios and internal models of credit risk are advocated. The goal of the project is to develop novel stochastic methods for managing of credit risk and to bring theoretical innovations developed within the project to practical implementations. Read moreRead less
Large Time Behavior of Solutions to Stochastic Partial Differential Equations. We will study equilibria of complex systems described by stochastic partial differential equations. The rates of convergence to equilibrium will be obtained for the equations driven by Gaussian and general Levy noises under physically relevant assumptions. The benefits of this project to the nation include enhancing its scientific standing in the international community, the training of Australian researchers in foref ....Large Time Behavior of Solutions to Stochastic Partial Differential Equations. We will study equilibria of complex systems described by stochastic partial differential equations. The rates of convergence to equilibrium will be obtained for the equations driven by Gaussian and general Levy noises under physically relevant assumptions. The benefits of this project to the nation include enhancing its scientific standing in the international community, the training of Australian researchers in forefront methods of mathematical analysis of complex systems and development of close ties with the world leaders in this area of research. The project will advance our understanding of complex systems arising in Phyiscs, Engineering, Social and Life Sciences, hence fits into the Priority Goal: Breakthrough Science. Read moreRead less