Stein's method for probability approximation. Data of counts in time, such as incoming calls in telecommunications and the clusters of palindromes in a family of herpes-virus genomes, arise in an extraordinarily diverse range of fields from science to business. These problems can be modelled by sums of random variables taking values 0 and 1 in probability theory, thus permitting approximate calculations which are often good enough in practice. This project will obtain such approximate solutions ....Stein's method for probability approximation. Data of counts in time, such as incoming calls in telecommunications and the clusters of palindromes in a family of herpes-virus genomes, arise in an extraordinarily diverse range of fields from science to business. These problems can be modelled by sums of random variables taking values 0 and 1 in probability theory, thus permitting approximate calculations which are often good enough in practice. This project will obtain such approximate solutions and estimate the errors involved. Applications include analysis of data in insurance, finance, flood prediction in hydrology.Read moreRead less
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
Modelling, forecasting, and control for econometrics based on generalized dynamic factor models: a system theoretic approach. The project will provide a tool that will assist organizations wishing to understand the dynamics of a national economy to model it, and to forecast future econometric time series values. Such ability will provide another tool to econometric managers, including the Reserve Bank , Treasury and fund managers, that should benefit the Australian nation.
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
WaterLog - A mathematical model to implement recommendations of The Wentworth Group. In 2003, The Wentworth Group of Concerned Scientists released their 'Blueprint for a national water plan' with the primary objective to 'protect river health and the rights of all Australians to clean usable water'. Currently, there are significant water restrictions in all the Australian mainland capital cities. In January 2007, the Prime Minister of Australia, announced a bold plan to rescue the Murray-Darling ....WaterLog - A mathematical model to implement recommendations of The Wentworth Group. In 2003, The Wentworth Group of Concerned Scientists released their 'Blueprint for a national water plan' with the primary objective to 'protect river health and the rights of all Australians to clean usable water'. Currently, there are significant water restrictions in all the Australian mainland capital cities. In January 2007, the Prime Minister of Australia, announced a bold plan to rescue the Murray-Darling Basin. The plan incorporates political management changes, and an investment of $10Bn. Now is the time to develop improved techniques for management of water storage systems. This project will develop the fundamental mathematical principles required for this improved management.Read moreRead less
Operator-Analytic Methods in Telecommunication Systems. Many systems in information technology and telecommunications evolve under conditions of uncertainty. In this context, mathematical modelling is an essential component of the design process. We shall provide techniques for analysing a class of mathematical models, called operator-analytic models, which can be used to study many of the above-mentioned systems, such as the Internet. This project will deliver efficient numerical algorithms tha ....Operator-Analytic Methods in Telecommunication Systems. Many systems in information technology and telecommunications evolve under conditions of uncertainty. In this context, mathematical modelling is an essential component of the design process. We shall provide techniques for analysing a class of mathematical models, called operator-analytic models, which can be used to study many of the above-mentioned systems, such as the Internet. This project will deliver efficient numerical algorithms that will make possible practical analysis of operator-analytic models.Read moreRead less
Modelling patient flows through hospitals: optimizing effective use of resources. Hospitals are complex, dynamic systems confronted by increased demand in the face of shrinking real capacity. Managing such systems is currently undertaken with sub-optimal analytical support, particularly when demand and capacity are changing and resources must be manipulated to respond to such changes. In this project, the investigators will apply a mathematical modelling approach to the analysis of hospital pati ....Modelling patient flows through hospitals: optimizing effective use of resources. Hospitals are complex, dynamic systems confronted by increased demand in the face of shrinking real capacity. Managing such systems is currently undertaken with sub-optimal analytical support, particularly when demand and capacity are changing and resources must be manipulated to respond to such changes. In this project, the investigators will apply a mathematical modelling approach to the analysis of hospital patient flows. Furthermore, they will employ statistical process control methodologies to the problem of recognising and responding to changes in the flows, so that performance objectives are met. In doing this, they will give health service managers and clinicians a significant advantage in deciding how best to manage a constrained resource to maximize access, throughput and patient outcomes.Read moreRead less
Multifractal models in finance via the crossing tree. High level mathematical modelling is an established part of the modern finance industry, in particular the Black-Scholes option pricing formula is now an indispensable financial tool.
To remain competitive the Australian financial sector needs to keep up with developments in mathematical finance, which is only possible if the Australian academic community remains active in the field.
The work on multifractal modelling proposed here is innov ....Multifractal models in finance via the crossing tree. High level mathematical modelling is an established part of the modern finance industry, in particular the Black-Scholes option pricing formula is now an indispensable financial tool.
To remain competitive the Australian financial sector needs to keep up with developments in mathematical finance, which is only possible if the Australian academic community remains active in the field.
The work on multifractal modelling proposed here is innovative both in its theoretical aspects and its applied methodology, and will ensure that Australian research remains at the cutting edge of this highly competitive and fast moving field.Read moreRead less