New approaches to the statistical modelling of financial risk: combining structural information with flexible, computationally-intensive non-parametric methods. The aims of this project are to provide a range of novel, rigorous, flexible, statistical methods to assess portfolio risk, with due attention to behaviour of its constituent components; to obtain greater understanding of the complexities of risk; and to give students research training in the nexus of statistics and finance. The anticip ....New approaches to the statistical modelling of financial risk: combining structural information with flexible, computationally-intensive non-parametric methods. The aims of this project are to provide a range of novel, rigorous, flexible, statistical methods to assess portfolio risk, with due attention to behaviour of its constituent components; to obtain greater understanding of the complexities of risk; and to give students research training in the nexus of statistics and finance. The anticipated outcomes of this project will be detailed knowledge of extremal behaviour in portfolios, improved methods for calibrating risk, advances in non-parametric methods in finance, a prototype practitioner toolkit for assessing risk, and high-calibre graduates to contribute to Australia's research capacity.Read moreRead less
Mining venture risk: novel econometric methods to integrate joint financial and geological uncertainty into dynamic risk forecasting measures. The mining industry is nationally important: it contributed $33,927M to Australia's GDP in 2002-3. This project's outcomes - sophisticated statistical and econometric tools - will significantly improve capability for forecasting overall risk to mining projects requiring vast upfront, irreversible investments, and contribute to its efficiency and internati ....Mining venture risk: novel econometric methods to integrate joint financial and geological uncertainty into dynamic risk forecasting measures. The mining industry is nationally important: it contributed $33,927M to Australia's GDP in 2002-3. This project's outcomes - sophisticated statistical and econometric tools - will significantly improve capability for forecasting overall risk to mining projects requiring vast upfront, irreversible investments, and contribute to its efficiency and international competitiveness. Innovative methods driven by data from complex financial and geological systems will integrate price volatility risk and orebody uncertainty in a real options framework, providing holistic, rigorous measurement of mining venture risk. Xstrata Queensland Ltd will strongly support and participate in research training of an identified candidate to deliver discoveries to the wider industry.Read moreRead less
Relative free energies from nonequilibrium simulations: algorithms for determination of binding affinities, conformational states and phase transitions. Leading edge research will enable state of the art techniques in statistical mechanics to be applied to practical problems. All processes in biological, chemical and physical systems are governed by their free energy landscape, often only accessible computationally. This project will lead to an advanced tool for free energy calculation. Advanc ....Relative free energies from nonequilibrium simulations: algorithms for determination of binding affinities, conformational states and phase transitions. Leading edge research will enable state of the art techniques in statistical mechanics to be applied to practical problems. All processes in biological, chemical and physical systems are governed by their free energy landscape, often only accessible computationally. This project will lead to an advanced tool for free energy calculation. Advancement of emerging technologies in nanoscience, porous materials, membrane transport and drug design will benefit from this capability. The project therefore addresses the Priority Goal 'Breakthrough science'. A PhD student and an Early Career Research will be trained in research, gaining a range of valuable skills in theory and simulation. Read moreRead less
International Networks in Applied Bayesian Statistics: improving Australia''s knowledge through intelligent data analysis and modelling. National benefits of this project are fourfold: (i) new international networks between Australia, Southern Africa, France and USA in the priority area of mathematical sciences; (ii) state-of-the-art Bayesian statistical methods for integrating and analyzing non-standard data and diverse information sources, including expert opinion, in order to solve complex pr ....International Networks in Applied Bayesian Statistics: improving Australia''s knowledge through intelligent data analysis and modelling. National benefits of this project are fourfold: (i) new international networks between Australia, Southern Africa, France and USA in the priority area of mathematical sciences; (ii) state-of-the-art Bayesian statistical methods for integrating and analyzing non-standard data and diverse information sources, including expert opinion, in order to solve complex problems in environment, industry, health, defence; (iii) direct contribution to solution of global environmental problems, specifically water quality, threatened species and environmental risk; (iv) superior training of the next generation of the global community of researchers in applied statistics.Read moreRead less
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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New Bayesian methodology for understanding complex systems using hidden Markov models and expert opinion, environmental, robotics and genomics applications. This project aims to merge four areas of intense international interest in describing complex systems: hidden Markov models and mixtures, semi-parametric and nonparametric approaches, true combination of expert opinion with data, and new Bayesian computational methods based on perfect sampling and particle sampling. The project will signific ....New Bayesian methodology for understanding complex systems using hidden Markov models and expert opinion, environmental, robotics and genomics applications. This project aims to merge four areas of intense international interest in describing complex systems: hidden Markov models and mixtures, semi-parametric and nonparametric approaches, true combination of expert opinion with data, and new Bayesian computational methods based on perfect sampling and particle sampling. The project will significantly contribute to statistical methodology and its ability to inform about real-world problems. A strong focus on applications to genomics, robotics and environmental modelling will bring immediate research and monetary benefit for industry. Expected outcomes include enhanced cross-disciplinary and international linkages, publications, industry-funded projects and highly trained graduates.Read moreRead less
Fluctuations in the properties of nonequilibrium fluids and the influence of thermostatting mechanisms. The behaviour of nonequilibrium fluids will be studied by combining ideas from liquid state theory, statistical mechanics and dynamical systems theory. This work will result in development and testing of mathematical expressions (Fluctuation Theorems) that are consistent with the Second Law of Thermodynamics, which determines the direction of any change in any macroscopic system, but are also ....Fluctuations in the properties of nonequilibrium fluids and the influence of thermostatting mechanisms. The behaviour of nonequilibrium fluids will be studied by combining ideas from liquid state theory, statistical mechanics and dynamical systems theory. This work will result in development and testing of mathematical expressions (Fluctuation Theorems) that are consistent with the Second Law of Thermodynamics, which determines the direction of any change in any macroscopic system, but are also applicable to microscopic systems. The expressions will determine the probability that finite sized systems will violate the Second Law for small periods of time and will therefore contribute to development of a fundamental understanding of microscopic systems and the development of nanotechnology.
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Fluid properties and chaotic dynamics in equilibrium and nonequilibrium states. Over the last decade a revolution has been taking place in nonequilibrium statistical mechanics [Physics Today, Sept, 2002]. This revolution is characterized by adapting the mathematical theory of chaos to nonequilibrium statistical mechanics. Fundamental new theorems and algorithms for computing transport coefficients have been derived. The CIs have played a key role in this revolution. We seek to broaden these dev ....Fluid properties and chaotic dynamics in equilibrium and nonequilibrium states. Over the last decade a revolution has been taking place in nonequilibrium statistical mechanics [Physics Today, Sept, 2002]. This revolution is characterized by adapting the mathematical theory of chaos to nonequilibrium statistical mechanics. Fundamental new theorems and algorithms for computing transport coefficients have been derived. The CIs have played a key role in this revolution. We seek to broaden these developments by: generalizing a theorem which relates transport coefficients to chaoticity; detailed studies of the influence of thermostatting mechanisms on nonequilibrium chaoticity and fluctuations, and by understanding the range of applicability of a nonequilibrium fluctuation theorem for non-isoenergetic systems.Read moreRead less
Rare Event Simulation with Heavy Tails. The project provides a rigorous way to enhance our understanding of the mechanisms that bring about catastrophic rare events such as urban flooding, electricity shortages and financial bankrupcy. Australia is at the forefront of exciting recent developments in rare event simulation. The advancement of the knowledge in this area will generate a competitive advantage for various sections of the Australian industry, including the areas of industrial reliabili ....Rare Event Simulation with Heavy Tails. The project provides a rigorous way to enhance our understanding of the mechanisms that bring about catastrophic rare events such as urban flooding, electricity shortages and financial bankrupcy. Australia is at the forefront of exciting recent developments in rare event simulation. The advancement of the knowledge in this area will generate a competitive advantage for various sections of the Australian industry, including the areas of industrial reliability, finance and insurance, were accurate simulation techniques are becoming increasingly important.Read moreRead less
Statistical estimation and approximation of anomalous diffusion. This project investigates diffusion processes with long memory, heavy-tailed distributions and higher-order information. Each of these characteristics has been a subject of extensive current research. These processes arise in important applications with significant social/economic benefits such as heat conduction and fluid flow in porous media, propagation of seismic waves, transport of drug molecules in living tissues. Built on ou ....Statistical estimation and approximation of anomalous diffusion. This project investigates diffusion processes with long memory, heavy-tailed distributions and higher-order information. Each of these characteristics has been a subject of extensive current research. These processes arise in important applications with significant social/economic benefits such as heat conduction and fluid flow in porous media, propagation of seismic waves, transport of drug molecules in living tissues. Built on our recent fundamental developments of fractional generalised random fields and fractional diffusion equations, this project tackles the key problems of statistical estimation, approximation and prediction of diffusion processes with all the above characteristics in a unified framework not provided by other approaches.Read moreRead less