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
Complex Architecture and Convergent Design. After breaking the design code for Gaudí's Sagrada Família Church in 1979, completing the still unfinished church has required Mark Burry to pioneer groundbreaking architectural and construction design methodologies and practices. His current work is on the computer modelling and dynamic simulation of complex design and construction problems, and methods for multi-disciplinary and distributed team collaboration. This work has high impact industry appli ....Complex Architecture and Convergent Design. After breaking the design code for Gaudí's Sagrada Família Church in 1979, completing the still unfinished church has required Mark Burry to pioneer groundbreaking architectural and construction design methodologies and practices. His current work is on the computer modelling and dynamic simulation of complex design and construction problems, and methods for multi-disciplinary and distributed team collaboration. This work has high impact industry applications. At the intersection of so many fields of industrial research, Mark Burry's work acts as a catalyst and accelerator for technology transfer and innovation across the architectural, design and construction industries.Read moreRead less
Simulating the evolution of the Southern Ocean and Australia's Palaeo-environment over 40 million years. Our project falls in the first national research priority: an environmentally sustainable Australia and meets two of its primary goals, understanding environmental change and the evolution of biodiversity, and responding to climate change and variability. Our models will represent a major step forward in differentiating between natural processes and anthropological input to present global cli ....Simulating the evolution of the Southern Ocean and Australia's Palaeo-environment over 40 million years. Our project falls in the first national research priority: an environmentally sustainable Australia and meets two of its primary goals, understanding environmental change and the evolution of biodiversity, and responding to climate change and variability. Our models will represent a major step forward in differentiating between natural processes and anthropological input to present global climate change and will address quantitatively how Australia changed from a continent rich in freshwater to the driest inhabited continent throughout the last 40 million years.Read moreRead less
Computer Modelling of the Morphology and Crystallography of Diffusion-controlled Phase Transformations. An analytical, phenomenological version of the successful "edge-to edge" matching approach to the morphology and crystallography of diffusion-controlled phase transformations will be developed. This will be incorporated in a Windows based computer program that can predict the essential features of precipitation (orientation relationships, habit planes, morphology and interface structure), fro ....Computer Modelling of the Morphology and Crystallography of Diffusion-controlled Phase Transformations. An analytical, phenomenological version of the successful "edge-to edge" matching approach to the morphology and crystallography of diffusion-controlled phase transformations will be developed. This will be incorporated in a Windows based computer program that can predict the essential features of precipitation (orientation relationships, habit planes, morphology and interface structure), from readily available input data for the two phases involved. It will provide a fuller understanding of diffusion-controlled phase transformations and the computer simulation will assist in the development of improved precipitation hardening alloys. In addition, a database of crystallographic data for typical metallic materials will be established in the project.Read moreRead less
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
Risk Measures and Management in Finance and Actuarial Science Under Regime-Switching Models. New models for assessing and managing risk of financial products will place Australia at the forefront of risk management. The work will also sustain the competitive edge of Australia as one of the major financial centres in the Asia-Pacific region through enhancing both the theory and practice of financial risk management. The project outcome will also benefit to the country in other areas of risk, for ....Risk Measures and Management in Finance and Actuarial Science Under Regime-Switching Models. New models for assessing and managing risk of financial products will place Australia at the forefront of risk management. The work will also sustain the competitive edge of Australia as one of the major financial centres in the Asia-Pacific region through enhancing both the theory and practice of financial risk management. The project outcome will also benefit to the country in other areas of risk, for example, environment risk, climate change, and energy and security problems.Read moreRead less
Dynamic risk measures. Exposure to risk is a pervasive problem. The results will be of importance for financial institutions when they estimate their exposure to risk. Other applications will be to determine the level of risk from a terrorist attack or regional instability. Companies wish to allocate resources to minimize their exposure to adverse events.