Market Model of Implied Volatility. The outcomes of the project will constitute a new methodology with a wide range of tools to handle the market uncertainties with practical applications in the finance industry. Consequently, 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 modelling of complex stochastic systems and the benefits resulting from its commercially rele ....Market Model of Implied Volatility. The outcomes of the project will constitute a new methodology with a wide range of tools to handle the market uncertainties with practical applications in the finance industry. Consequently, 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 modelling of complex stochastic systems and the benefits resulting from its commercially relevant elements. 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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The improvement of climate change investigations by developing and applying innovative evolutionary subset time series modelling using semi-parametric sparse-patterned approaches. With an estimated US$6.98 trillion loss indicated in the Stern review, severe climate change will make world climate conditions harsher and more likely include large natural climate disasters. The health of the Australian economy is critically dependent on decisions of environmental managers. However, most problems of ....The improvement of climate change investigations by developing and applying innovative evolutionary subset time series modelling using semi-parametric sparse-patterned approaches. With an estimated US$6.98 trillion loss indicated in the Stern review, severe climate change will make world climate conditions harsher and more likely include large natural climate disasters. The health of the Australian economy is critically dependent on decisions of environmental managers. However, most problems of complexity arising in climate change involve issues on which we do not possess a deep understanding. This project draws upon a set of inter-disciplinary concepts and models centred in neural networks that enable us to advance our understanding of complexity, leading to superior quantitative tools and models to allow for improved environmental decision-making.
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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
The improvement of investment approaches by developing and applying bootstrap methods to innovative evolutionary kernel-based subset time-series modelling. With over $1 trillion of investors' monies in the hands of fund managers, the importance of efficient investment decisions across all industry sectors is self evident. Even if the modest target of systematically improving decision making by 1 or 2 % is set, the aggregate economic benefit achieved, given the compounding effects will be enormou ....The improvement of investment approaches by developing and applying bootstrap methods to innovative evolutionary kernel-based subset time-series modelling. With over $1 trillion of investors' monies in the hands of fund managers, the importance of efficient investment decisions across all industry sectors is self evident. Even if the modest target of systematically improving decision making by 1 or 2 % is set, the aggregate economic benefit achieved, given the compounding effects will be enormous. Any developed or developing country will profit from such advanced decision-making approaches. Therefore 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 investment and other relevant sectors.Read moreRead less
Special Research Initiatives - Grant ID: SR0354727
Funder
Australian Research Council
Funding Amount
$20,000.00
Summary
Mathematics for Government, Industry and Community -- The *Magic* Network. The *Magic* network will promote the use of mathematics by government, industry and community to analyse real problems and implement practical solutions. It will connect the most promising young Australian mathematicians to experienced researchers with strong research teams linked directly to the broader community. Our program will demand research excellence, emphasise a sustainable society, support outstanding young mat ....Mathematics for Government, Industry and Community -- The *Magic* Network. The *Magic* network will promote the use of mathematics by government, industry and community to analyse real problems and implement practical solutions. It will connect the most promising young Australian mathematicians to experienced researchers with strong research teams linked directly to the broader community. Our program will demand research excellence, emphasise a sustainable society, support outstanding young mathematicians and create opportunities for promising postgraduate students. We will offer scholarships for professional development and fund research visits and exchanges. *Magic* will provide tangible incentives for young Australian mathematicians and a new generation of researchers and research leaders.Read moreRead less
Nonlocal Statistical Mechanics and Logarithmic Conformal Field Theory. Australia has an enviable track record as an innovator and developer of advanced materials. This project in strategic basic research consists of theoretical work within the disciplines of statistical mechanics and conformal field theory to determine the profound role of nonlocal interactions, such as connectivities, in determining the critical physical properties of materials. Connectivities play a significant role in diverse ....Nonlocal Statistical Mechanics and Logarithmic Conformal Field Theory. Australia has an enviable track record as an innovator and developer of advanced materials. This project in strategic basic research consists of theoretical work within the disciplines of statistical mechanics and conformal field theory to determine the profound role of nonlocal interactions, such as connectivities, in determining the critical physical properties of materials. Connectivities play a significant role in diverse applications such as the gelation of polymers, random fuse networks, the spatial spread of epidemics and bushfires and the tertiary recovery of oil. This research will be practically useful in engineering the physical properties of advanced materials such as liquid crystals, gels, polymers and other materials.Read moreRead less
Exact solution of generalized models of polymers and percolation in two dimensions. Originating with the work of Rodney Baxter, Australia is the world leader in exactly solvable lattice models in two dimensions. This project, in strategic basic research, aims to continue this tradition and extend it by solving exactly new classes of two-dimensional lattice models involving nonlocal degrees of freedom. Since this will lead to new universal classes of thermodynamic behaviours for a diverse range o ....Exact solution of generalized models of polymers and percolation in two dimensions. Originating with the work of Rodney Baxter, Australia is the world leader in exactly solvable lattice models in two dimensions. This project, in strategic basic research, aims to continue this tradition and extend it by solving exactly new classes of two-dimensional lattice models involving nonlocal degrees of freedom. Since this will lead to new universal classes of thermodynamic behaviours for a diverse range of polymer-like systems, the potential for exploitation and commercialization is almost limitless. Potential applications include percolation of contaminants through aquifers, the spatial spread of epidemics and bushfires, the tertiary recovery of oil and filtering drinking water.Read moreRead less
Yield strength and plastic flow of heterogeneous materials: Designing optimal composites and porous materials. A major goal of materials science is to design materials with improved functionality at lower weight, cost and size. It is important to guide this expensive and time-consuming process with sophisticated computer modelling. In this project we aim to model how and why composite and porous materials fail when they are placed under stress. Our results will make materials design more efficie ....Yield strength and plastic flow of heterogeneous materials: Designing optimal composites and porous materials. A major goal of materials science is to design materials with improved functionality at lower weight, cost and size. It is important to guide this expensive and time-consuming process with sophisticated computer modelling. In this project we aim to model how and why composite and porous materials fail when they are placed under stress. Our results will make materials design more efficient by providing a valuable experimental interpretive tool and a theoretical map for material optimization. Our models will also provide crucial information needed for modelling the behavior of composites in applications.Read moreRead less
The geometry of impossible, or contradictory objects and its applications to computing and cognition. The principal aim is pure research, the increase of knowledge within the Theory of Inconsistency and particularly its mathematical aspects, to be available to the national and world community. Additionally, a new stock of hitherto-unseen images (still, moving and three-dimensional) will be constructed in a virtual reality environment. In addition to enhancing Australia's strong reputation in log ....The geometry of impossible, or contradictory objects and its applications to computing and cognition. The principal aim is pure research, the increase of knowledge within the Theory of Inconsistency and particularly its mathematical aspects, to be available to the national and world community. Additionally, a new stock of hitherto-unseen images (still, moving and three-dimensional) will be constructed in a virtual reality environment. In addition to enhancing Australia's strong reputation in logic, there are spin-offs for mathematics, cognitive science, computer studies, and the arts and entertainment industries.Read moreRead less