ORCID Profile
0000-0001-8104-8716
Current Organisation
Macquarie University
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In Research Link Australia (RLA), "Research Topics" refer to ANZSRC FOR and SEO codes. These topics are either sourced from ANZSRC FOR and SEO codes listed in researchers' related grants or generated by a large language model (LLM) based on their publications.
Optimisation | Statistical Theory | Stochastic Analysis and Modelling | Statistics |
Expanding Knowledge in the Information and Computing Sciences | Expanding Knowledge in the Mathematical Sciences
Publisher: Springer Science and Business Media LLC
Date: 11-03-2012
Publisher: Elsevier BV
Date: 12-1997
Publisher: Brill | Wageningen Academic
Date: 2005
Publisher: Informa UK Limited
Date: 11-2010
Publisher: Cambridge University Press (CUP)
Date: 2016
DOI: 10.1017/S1446181115000310
Abstract: The local volatility model is a well-known extension of the Black–Scholes constant volatility model, whereby the volatility is dependent on both time and the underlying asset. This model can be calibrated to provide a perfect fit to a wide range of implied volatility surfaces. The model is easy to calibrate and still very popular in foreign exchange option trading. In this paper, we address a question of validation of the local volatility model. Different stochastic models for the underlying asset can be calibrated to provide a good fit to the current market data, which should be recalibrated every trading date. A good fit to the current market data does not imply that the model is appropriate, and historical backtesting should be performed for validation purposes. We study delta hedging errors under the local volatility model using historical data from 2005 to 2011 for the AUD/USD implied volatility. We performed backtests for a range of option maturities and strikes using sticky delta and theoretically correct delta hedging. The results show that delta hedging errors under the standard Black–Scholes model are no worse than those of the local volatility model. Moreover, for the case of in- and at-the-money options, the hedging error for the Black–Scholes model is significantly better.
Publisher: Infopro Digital Services Limited
Date: 12-2009
Publisher: MDPI AG
Date: 05-07-2016
DOI: 10.3390/RISKS4030022
Publisher: Virtus Interpress
Date: 2013
Abstract: The management of operational risk in the banking industry has undergone significant changes over the last decade due to substantial changes in operational risk environment. Globalization, deregulation, the use of complex financial products and changes in information technology have resulted in exposure to new risks very different from market and credit risks. In response, Basel Committee for banking Supervision has developed a regulatory framework, referred to as Basel II, that introduced operational risk category and corresponding capital requirements. Over the past five years, major banks in most parts of the world have received accreditation under the Basel II Advanced Measurement Approach (AMA) by adopting the loss distribution approach (LDA) despite there being a number of unresolved methodological challenges in its implementation. Different approaches and methods are still under hot debate. In this paper, we review methods proposed in the literature for combining different data sources (internal data, external data and scenario analysis) which is one of the regulatory requirement for AMA.
Publisher: Infopro Digital Services Limited
Date: 06-2009
Publisher: Australian Mathematical Publishing Association, Inc.
Date: 09-04-2016
Publisher: Elsevier BV
Date: 05-2015
Publisher: Cold Spring Harbor Laboratory
Date: 25-04-2023
DOI: 10.1101/2023.04.19.23288786
Abstract: To compare the association between cardiorespiratory fitness (CRF) and cut-point-free accelerometer metrics (intensity gradient [IG] and average acceleration [AvAcc]) to that with traditional metrics in healthy adults aged 20 to 89 years and patients with heart failure, and 2) provide age-, sex-, and CRF-related reference values for healthy adults. In the COmPLETE study, 463 healthy adults and 67 patients with heart failure wore GENEActiv accelerometers on their non-dominant wrist and underwent cardiopulmonary exercise testing. Cut-point-free (IG: distribution of intensity of activity across the day AvAcc: proxy of volume of activity) and traditional (moderate-to-vigorous and vigorous activity) metrics were generated. The ‘rawacceleration’ application was developed to translate findings into clinical practice. IG and AvAcc yield complementary information on PA with both IG (p=0.009) and AvAcc (p .001) independently associated with CRF in healthy in iduals. Only IG was independently associated with CRF in patients with heart failure (p=0.043). The best cut-point-free and cut-point-based model had similar predictive value for CRF in both cohorts. However, unlike traditional metrics, IG and AvAcc are comparable across populations and the most commonly used accelerometers. We produced age- and sex-specific reference values and percentile curves for IG, AvAcc, moderate-to-vigorous, and vigorous activity for healthy adults. IG and AvAcc are strongly associated with CRF and, thus, indirectly with the risk of non-communicable diseases and mortality in healthy adults and patients with heart failure. Our reference values enhance the utility of cut-point-free metrics and facilitate their interpretation. This study was registered on clinicaltrials.gov ( NCT03986892 ). What is already known on this topic – Cut-point free accelerometer metrics are valuable to assess physical activity because of their comparability across populations and association with various health parameters (e.g. body fat content or physical functioning). Yet, their interpretation is not straightforward. What this study adds – This study found a strong and independent association of cut-point-free metrics with cardiorespiratory fitness, a vital sign, in healthy in iduals aged between 20 to 89 years and patients with heart failure. We produced the first reference values based on healthy in iduals across the age span. How this study might affect research, practice or policy – Our reference values together with the new open-source application may simplify the interpretation of cut-point-free accelerometer metrics and their use in clinical practice and research.
Publisher: Springer Science and Business Media LLC
Date: 30-07-2021
Publisher: Informa UK Limited
Date: 23-07-2022
Publisher: Springer Science and Business Media LLC
Date: 02-07-2011
Publisher: Wiley
Date: 21-10-2010
DOI: 10.1002/ASMB.812
Publisher: Elsevier BV
Date: 12-2023
Publisher: Infopro Digital Services Limited
Date: 09-2016
Publisher: Virtus Interpress
Date: 2013
Abstract: We set the context for capital approximation within the framework of the Basel II / III regulatory capital accords. This is particularly topical as the Basel III accord is shortly due to take effect. In this regard, we provide a summary of the role of capital adequacy in the new accord, highlighting along the way the significant loss events that have been attributed to the Operational Risk class that was introduced in the Basel II and III accords. Then we provide a semi-tutorial discussion on the modelling aspects of capital estimation under a Loss Distributional Approach (LDA). Our emphasis is to focuss on the important loss processes with regard to those that contribute most to capital, the so called “high consequence, low frequency" loss processes. This leads us to provide a tutorial overview of heavy tailed loss process modelling in OpRisk under Basel III, with discussion on the implications of such tail assumptions for the severity model in an LDA structure. This provides practitioners with a clear understanding of the features that they may wish to consider when developing OpRisk severity models in practice. From this discussion on heavy tailed severity models, we then develop an understanding of the impact such models have on the right tail asymptotics of the compound loss process and we provide detailed presentation of what are known as first and second order tail approximations for the resulting heavy tailed loss process. From this we develop a tutorial on three key families of risk measures and their equivalent second order asymptotic approximations: Value-at-Risk (Basel III industry standard) Expected Shortfall (ES) and the Spectral Risk Measure. These then form the capital approximations. We then provide a few ex le case studies to illustrate the accuracy of these asymptotic captial approximations, the rate of the convergence of the assymptotic result as a function of the LDA frequency and severity model parameters, the sensitivity of the capital approximation to the model parameters and the sensitivity to model miss-specification.
Publisher: Cambridge University Press (CUP)
Date: 11-06-2019
DOI: 10.1017/S1748499518000131
Abstract: Cohort effects are important factors in determining the evolution of human mortality for certain countries. Extensions of dynamic mortality models with cohort features have been proposed in the literature to account for these factors under the generalised linear modelling framework. In this paper we approach the problem of mortality modelling with cohort factors incorporated through a novel formulation under a state-space methodology. In the process we demonstrate that cohort factors can be formulated naturally under the state-space framework, despite the fact that cohort factors are indexed according to year-of-birth rather than year. Bayesian inference for cohort models in a state-space formulation is then developed based on an efficient Markov chain Monte Carlo s ler, allowing for the quantification of parameter uncertainty in cohort models and resulting mortality forecasts that are used for life expectancy and life table constructions. The effectiveness of our approach is examined through comprehensive empirical studies involving male and female populations from various countries. Our results show that cohort patterns are present for certain countries that we studied and the inclusion of cohort factors are crucial in capturing these phenomena, thus highlighting the benefits of introducing cohort models in the state-space framework. Forecasting of cohort models is also discussed in light of the projection of cohort factors.
Publisher: Oxford University Press (OUP)
Date: 2023
Abstract: In this study, we examine the nature of losses from cyber-related events across different risk categories and business sectors. Using a leading industry dataset of cyber events, we evaluate the relationship between the frequency and severity of in idual cyber-related events and the number of affected records. We find that the frequency of reported cyber-related events has substantially increased between 2008 and 2016. Furthermore, the frequency and severity of losses depend on the business sector and type of cyber threat: the most significant cyber loss event categories, by number of events, were related to data breaches and the unauthorized disclosure of data, while cyber extortion, phishing, spoofing, and other social engineering practices showed substantial growth rates. Interestingly, we do not find a distinct pattern between the frequency of events, the loss severity, and the number of affected records as often alluded to in the literature. We also analyse the severity distribution of cyber-related events across all risk categories and business sectors. This analysis reveals that cyber risks are heavy-tailed, i.e. cyber risk events have a higher probability to produce extreme losses than events whose severity follows an exponential distribution. Furthermore, we find that the frequency and severity of cyber-related losses exhibit a very dynamic and time-varying nature.
Publisher: Elsevier BV
Date: 03-2011
Publisher: Springer International Publishing
Date: 2021
Publisher: Elsevier BV
Date: 08-2010
Publisher: Springer Science and Business Media LLC
Date: 18-03-2023
DOI: 10.1057/S41288-023-00285-X
Abstract: In this paper we focus on model risk and risk sensitivity when addressing the insurability of cyber risk. The standard statistical approaches to assessment of insurability and potential mispricing are enhanced in several aspects involving consideration of model risk. Model risk can arise from model uncertainty and parameter uncertainty. We demonstrate how to quantify the effect of model risk in this analysis by incorporating various robust estimators for key model parameters that apply in both marginal and joint cyber risk loss process modelling. Through this analysis we are able to address the question that, to the best of our knowledge, no other study has investigated in the context of cyber risk: is model risk present in cyber risk data, and how does is it translate into premium mispricing? We believe our findings should complement existing studies seeking to explore the insurability of cyber losses.
Publisher: Springer Berlin Heidelberg
Date: 20-12-2010
Publisher: Wiley
Date: 20-02-2015
Publisher: IEEE
Date: 03-2017
Publisher: Springer Berlin Heidelberg
Date: 20-12-2010
Publisher: Springer Berlin Heidelberg
Date: 20-12-2010
Publisher: Springer Berlin Heidelberg
Date: 20-12-2010
Publisher: AIP Publishing
Date: 09-1999
DOI: 10.1063/1.1149960
Abstract: The performance of a quadrupole mass filter (QMF) generally degrades when using electrodes of circular cross section in place of mathematical ideal hyperbolic electrodes. The circular cross section of electrodes produces nonlinear resonances resulting in distortion and peak splitting in mass spectra. In addition, resonances reduce the actual working cross section, resulting in limited ion yield. In this article we study nonlinear resonances and intensities of resonance lines passing through the tip of the stability diagram of the QMF. We have found that balancing of multipole terms, rather than eliminating in idual multipole terms, improves the sensitivity of the QMF considerably. The theory for assessing intensities of nonlinear resonances is presented in detail along with rescaling laws to adjust current QMF parameter settings. A general formula is presented from which the location and intensity of nonlinear can be derived, which then may be used for the design of special purpose QMFs.
Publisher: Springer Berlin Heidelberg
Date: 20-12-2010
Publisher: Springer Berlin Heidelberg
Date: 20-12-2010
Publisher: World Scientific Pub Co Pte Lt
Date: 12-2014
DOI: 10.1142/S2345768614500330
Abstract: There is a vast literature on numerical valuation of exotic options using Monte Carlo (MC), binomial and trinomial trees, and finite difference methods. When transition density of the underlying asset or its moments are known in closed form, it can be convenient and more efficient to utilize direct integration methods to calculate the required option price expectations in a backward time-stepping algorithm. This paper presents a simple, robust and efficient algorithm that can be applied for pricing many exotic options by computing the expectations using Gauss–Hermite integration quadrature applied on a cubic spline interpolation. The algorithm is fully explicit but does not suffer the inherent instability of the explicit finite difference counterpart. A "free" bonus of the algorithm is that it already contains the function for fast and accurate interpolation of multiple solutions required by many discretely monitored path dependent options. For illustrations, we present ex les of pricing a series of American options with either Bermudan or continuous exercise features, and a series of exotic path-dependent options of target accumulation redemption note (TARN). Results of the new method are compared with MC and finite difference methods, including some of the most advanced or best known finite difference algorithms in the literature. The comparison shows that, despite its simplicity, the new method can rival with some of the best finite difference algorithms in accuracy and at the same time it is significantly faster. Virtually the same algorithm can be applied to price other path-dependent financial contracts such as Asian options and variable annuities.
Publisher: Public Library of Science (PLoS)
Date: 28-06-2021
DOI: 10.1371/JOURNAL.PONE.0253381
Abstract: During the COVID-19 pandemic, governments globally had to impose severe contact restriction measures and social mobility limitations in order to limit the exposure of the population to COVID-19. These public health policy decisions were informed by statistical models for infection rates in national populations. In this work, we are interested in modelling the temporal evolution of national-level infection counts for the United Kingdom (UK—Wales, England, Scotland), Germany (GM), Italy (IT), Spain (SP), Japan (JP), Australia (AU) and the United States (US). We model the national-level infection counts for the period January 2020 to January 2021, thus covering both the pre- and post-vaccine roll-out periods, in order to better understand the most reliable model structure for the COVID-19 epidemic growth curve. We achieve this by exploring a variety of stochastic population growth models and comparing their calibration, with respect to in-s le fitting and out-of-s le forecasting, both with and without exposure adjustment, to the most widely used and reported growth model, the Gompertz population model, often referred to in the public health policy discourse during the COVID-19 pandemic. Model risk as we explore it in this work manifests in the inability to adequately capture the behaviour of the disease progression growth rate curve. Therefore, our concept of model risk is formed relative to the standard reference Gompertz model used by decision-makers, and then we can characterise model risk mathematically as having two components: the dispersion of the observation distribution, and the structure of the intensity function over time for cumulative counts of new infections daily (i.e. the force of infection) attributed directly to the COVID-19 pandemic. We also explore how to incorporate in these population models the effect that governmental interventions have had on the number of infected cases. This is achieved through the development of an exposure adjustment to the force of infection comprised of a purpose-built sentiment index, which we construct from various authoritative public health news reporting. The news reporting media we employed were the New York Times, the Guardian, the Telegraph, Reuters global blog, as well as national and international health authorities: the European Centre for Disease Prevention and Control, the United Nations Economic Commission for Europe, the United States Centres for Disease Control and Prevention, and the World Health Organisation. We find that exposure adjustments that incorporate sentiment are better able to calibrate to early stages of infection spread in all countries under study.
Publisher: Elsevier BV
Date: 07-2017
Publisher: Infopro Digital Services Limited
Date: 12-2007
Publisher: Springer Berlin Heidelberg
Date: 20-12-2010
Publisher: Modelling and Simulation Society of Australia and New Zealand
Date: 29-11-2015
Publisher: MDPI AG
Date: 31-03-2017
DOI: 10.3390/RISKS5020023
Publisher: Infopro Digital Services Limited
Date: 2007
Publisher: Elsevier BV
Date: 03-2020
Publisher: CSIRO Publishing
Date: 1999
DOI: 10.1071/PH98099
Abstract: The two-layer Heisenberg antiferromagnet exhibits a zero temperature quantum phase transition from a disordered dimer phase to a collinear Neel phase, with long range order in the ground state. The spin-wave gap vanishes as Δ ∝ (J ⊥ – J ⊥ c) ν approaching the transition point. To account for strong correlations, the S = 1 elementary excitations triplets are described as a dilute Bose gas with infinite on-site repulsion. We apply the Brueckner diagram approach which gives the critical index ν ≈ 0 . 5. We demonstrate also that the linearised in density Brueckner equations give the mean field result ν = 1. Finally, an expansion of the Brueckner equations in powers of the density, combined with the scaling hypothesis, gives ν ≈ 0 . 67. This value agrees reasonably with that of the nonlinear O(3) σ model. Our approach demonstrates that for other quantum spin models the critical index can be different from that in the nonlinear σ model. We discuss the conditions for this to occur.
Publisher: Infopro Digital Services Limited
Date: 06-2009
Publisher: American Physical Society (APS)
Date: 04-1999
Publisher: Wiley
Date: 23-01-2015
Publisher: Infopro Digital Services Limited
Date: 06-2010
Publisher: Elsevier BV
Date: 06-1998
Publisher: MDPI
Date: 19-06-2018
Publisher: Elsevier BV
Date: 09-2022
Publisher: MDPI AG
Date: 19-09-2018
DOI: 10.3390/RISKS6030103
Abstract: Variable annuities, as a class of retirement income products, allow equity market exposure for a policyholder’s retirement fund with optional guarantees to limit the downside risk of the market. Management fees andguarantee insurance fees are charged respectively for the market exposure and for the protection from the downside risk. We investigate the pricing of variable annuity guarantees under optimal withdrawal strategies when management fees are present. We consider from both policyholder’s and insurer’s perspectives optimal withdrawal strategies and calculate the respective fair insurance fees. We reveal a discrepancy where the fees from the insurer’s perspective can be significantly higher due to the management fees serving as a form of market friction. Our results provide a possible explanation of lower guarantee insurance fees observed in the market than those predicted from the insurer’s perspective. Numerical experiments are conducted to illustrate the results.
Publisher: Infopro Digital Services Limited
Date: 2003
Publisher: MDPI AG
Date: 05-03-2018
DOI: 10.3390/RISKS6010016
Publisher: Springer Science and Business Media LLC
Date: 24-04-2013
Publisher: Cambridge University Press (CUP)
Date: 22-05-2017
DOI: 10.1017/S1748499517000069
Abstract: This paper explores and develops alternative statistical representations and estimation approaches for dynamic mortality models. The framework we adopt is to reinterpret popular mortality models such as the Lee–Carter class of models in a general state-space modelling methodology, which allows modelling, estimation and forecasting of mortality under a unified framework. We propose alternative model identification constraints which are more suited to statistical inference in filtering and parameter estimation. We then develop a class of Bayesian state-space models which incorporate a priori beliefs about the mortality model characteristics as well as for more flexible and appropriate assumptions relating to heteroscedasticity that present in observed mortality data. To study long-term mortality dynamics, we introduce stochastic volatility to the period effect. The estimation of the resulting stochastic volatility model of mortality is performed using a recent class of Monte Carlo procedure known as the class of particle Markov chain Monte Carlo methods. We illustrate the framework using Danish male mortality data, and show that incorporating heteroscedasticity and stochastic volatility markedly improves model fit despite an increase of model complexity. Forecasting properties of the enhanced models are examined with long-term and short-term calibration periods on the reconstruction of life tables.
Publisher: Cambridge University Press (CUP)
Date: 04-2015
DOI: 10.1017/S1446181115000097
Abstract: Financial contracts with options that allow the holder to extend the contract maturity by paying an additional fixed amount have found many applications in finance. Closed-form solutions for the price of these options have appeared in the literature for the case when the contract for the underlying asset follows a geometric Brownian motion with constant interest rate, volatility and nonnegative idend yield. In this paper, option price is derived for the case of the underlying asset that follows a geometric Brownian motion with time-dependent drift and volatility, which is more important for real life applications. The option price formulae are derived for the case of a drift that includes nonnegative or negative idend. The latter yields a solution type that is new to the literature. A negative idend corresponds to a negative foreign interest rate for foreign exchange options, or storage costs for commodity options. It may also appear in pricing options with transaction costs or real options, where the drift is larger than the interest rate.
Publisher: Springer Science and Business Media LLC
Date: 12-04-2017
Publisher: Elsevier BV
Date: 2015
DOI: 10.2139/SSRN.2699624
Publisher: Springer Science and Business Media LLC
Date: 03-07-2022
Publisher: Infopro Digital Services Limited
Date: 05-2007
Publisher: Wiley
Date: 25-02-2018
DOI: 10.1002/FOR.2505
Publisher: Elsevier BV
Date: 09-2017
Publisher: Elsevier BV
Date: 02-1998
Publisher: Pageant Media US
Date: 31-08-2015
Publisher: Elsevier BV
Date: 11-2011
Publisher: Infopro Digital Services Limited
Date: 03-2008
Publisher: American Physical Society (APS)
Date: 08-1999
Publisher: MDPI AG
Date: 09-09-2017
DOI: 10.3390/RISKS5030047
Publisher: Infopro Digital Services Limited
Date: 10-2017
Publisher: IOP Publishing
Date: 10-1998
Publisher: World Scientific Pub Co Pte Lt
Date: 09-2015
DOI: 10.1142/S2424786315500243
Abstract: A variable annuity contract with guaranteed minimum withdrawal benefit (GMWB) promises to return the entire initial investment through cash withdrawals during the policy life plus the remaining account balance at maturity, regardless of the portfolio performance. Under the optimal withdrawal strategy of a policyholder, the pricing of variable annuities with GMWB becomes an optimal stochastic control problem. So far in the literature these contracts have only been evaluated by solving partial differential equations (PDE) using the finite difference method. The well-known least-squares or similar Monte Carlo methods cannot be applied to pricing these contracts because the paths of the underlying wealth process are affected by optimal cash withdrawals (control variables) and thus cannot be simulated forward in time. In this paper, we present a very efficient new algorithm for pricing these contracts in the case when transition density of the underlying asset between withdrawal dates or its moments are known. This algorithm relies on computing the expected contract value through a high order Gauss–Hermite quadrature applied on a cubic spline interpolation. Numerical results from the new algorithm for a series of GMWB contract are then presented, in comparison with results using the finite difference method solving corresponding PDE. The comparison demonstrates that the new algorithm produces results in very close agreement with those of the finite difference method, but at the same time it is significantly faster virtually instant results on a standard desktop PC.
Publisher: MDPI AG
Date: 27-07-2017
DOI: 10.3390/RISKS5030042
Publisher: Elsevier BV
Date: 03-2019
Publisher: Walter de Gruyter GmbH
Date: 2022
Abstract: The Schwartz–Smith two-factor model is commonly used for pricing of derivatives in commodity markets. For estimating and forecasting the term structures of futures prices, the logarithm of commodity spot price is represented as the sum of short- and long-term factors being the unobservable state variables. The futures prices derived as functions of the spot price lead to the simultaneous set of measurement equations, which is used for joint estimation of unobservable state variables and the model parameters through a filtering procedure. We propose a modified model where the error terms in the measurement equations are assumed to be serially correlated. In addition, for comparative analysis, the modelling of the logarithmic returns of futures prices is also considered. Out-of-s le prediction performances of two proposed models were illustrated using European Unit Allowances (EUA) futures prices from January 2017 to April 2021. Historically, this period corresponds to the second half of Phase III, and the beginning of Phase IV of the European Union Emission Trading System (EU-ETS).
Publisher: Infopro Digital Services Limited
Date: 2006
Publisher: Springer Berlin Heidelberg
Date: 2011
Publisher: American Physical Society (APS)
Date: 02-2000
Publisher: Springer Singapore
Date: 2019
Publisher: Routledge
Date: 30-06-2023
Publisher: Infopro Digital Services Limited
Date: 09-2013
Publisher: Modelling and Simulation Society of Australia and New Zealand
Date: 29-11-2015
Publisher: Springer Science and Business Media LLC
Date: 19-11-2022
Publisher: University of Bern
Date: 14-02-2023
Abstract: Background Accelerometry has gained increasing popularity and yields numerous physical activity (PA) outcomes (Rowlands et al., 2019). These include traditional cut-point-based (i.e. light, moderate, and vigorous PA) and cut-point-free metrics (i.e. intensity gradient [IG] and average acceleration [AvAcc]). IG reflects the intensity distribution of PA across the day (Rowlands et al., 2018 Fairclough et al., 2019). AvAcc is a proxy for the daily volume of PA ( Rowlands et al., 2018 Fairclough et al., 2019). Cut-point-based metrics are commonly expressed in minutes per day, making their interpretation simple (Troiano et al., 2014). Yet, the measured acceleration needs to be categorised by setting population- and device-dependent cut-points to obtain these metrics (Troiano et al., 2014). Cut-point-free metrics, on the other hand, are comparable across studies, accelerometer brands (Migueles et al., 2022), and erse populations (Rowlands et al., 2018). However, their interpretation is not easy. Besides, it is unknown how cut-point-free metrics are associated with cardiorespiratory fitness (CRF), an important health indicator in healthy in iduals and patient populations with impaired CRF (Kodama et al., 2009). We thus aimed to 1) compare the association of CRF with cut-point-free metrics to that with cut-point-based metrics in a prospective cohort of healthy adults aged 20 to 89 years and patients with heart failure, and 2) provide age-, sex-, and CRF-related reference values for healthy adults. Methods The COmPLETE study was cross-sectional. Healthy in iduals were recruited via unaddressed letters sent to randomly selected postal districts in the Basel area (Wagner et al., 2019). Patients with heart failure were approached as described elsewhere (Wagner et al., 2019). Subjects were asked to wear GENEActiv accelerometers on their non-dominant wrist for up to 14 days and undergo cardiopulmonary exercise testing on a cycle ergometer to determine CRF. Raw accelerometer data were processed using the R-package GGIR (Migueles et al., 2019 van Hees et al., 2013). Associations between CRF and accelerometer metrics were examined using multiple linear regression models adjusted for sex, age, and body mass index. Percentile curves were generated with Generalised Additive Models for Location, Scale, and Shape (Stasinopoulos & Rigby, 2008). Results Four hundred and sixty-three healthy adults and 67 patients with heart failure were included in the analyses. IG and AvAcc provide complementary information on PA. Both metrics were independently associated with CRF in healthy in iduals. The best cut-point-free regression model (AvAcc+IG) performed similar to the best cut-point-based model (vigorous activity) and explained 73.9% and 74.2% of the variance in CRF, respectively. In patients with heart failure, IG was associated with CRF, independent of AvAcc. Cut-point-free models (IG+AvAcc, IG alone) had comparable predictive value for CRF as the best cut-point-based metric (moderate-to-vigorous activity). We produced age-, sex-, and CRF-related reference values for IG, AvAcc, moderate-to-vigorous, and vigorous activity for healthy adults. Moreover, we developed a web-based application (rawacceleration) facilitating the interpretation of cut-point-free metrics. Conclusions Cut-point-free metrics are not only more robust than cut-point-based metrics, but also have similar predictive value for CRF and, in turn, indirectly for the risk of mortality and longevity (Kodama et al., 2009 Mok et al., 2019). This may be the case in both healthy in iduals and patients with heart failure. Our findings together with those of previous studies (Rowlands et al., 2018 Fairclough et al., 2019), therefore, provide a rationale that cut-point-free metrics facilitate the capture of the volume and intensity distribution of the PA profile across populations, and thus may be a viable alternative to cut-point-based metrics in describing PA. Our reference values will enhance the utility of IG and AvAcc and facilitate their interpretation. Finally, our web-based application will simplify this process and also support the translation of cut-point-free metrics into meaningful outcomes. References Fairclough, S. J., Taylor, S., Rowlands, A. V., Boddy, L. M., & Noonan, R. J. (2019) Average acceleration and intensity gradient of primary school children and associations with indicators of health and well-being. Journal of Sports Sciences, 37(18), 2159-2167. 0.1080/02640414.2019.1624313 Kodama, S., Saito, K., Tanaka, S., Maki, M., Yachi, Y., Asumi, M., Sugawara, A., Totsuka, K., Shimano, H., Ohashi, Y., Yamada, N., & Sone, H. (2009). Cardiorespiratory fitness as a quantitative predictor of all-cause mortality and cardiovascular events in healthy men and women: A meta-analysis. JAMA, 301(19), 2024-35.0.1001/jama.2009.681 Migueles, J. H., Molina-Garcia, P., Torres-Lopez, L. V., Cadenas-Sanchez, C., Rowlands, A. V., Ebner-Priemer, U. W., Koch, E. D., Reif, A., & Ortega, F. B. (2022). Equivalency of four research-grade movement sensors to assess movement behaviors and its implications for population surveillance. Science Reports, 12, Article 5525. 0.1038/s41598-022-09469-2 Migueles, J. H., Rowlands, A. V., Huber, F., Sabia, S., & van Hees, V. T. (2019). GGIR: A research community–driven open source R package for generating physical activity and sleep outcomes from multi-day raw accelerometer data. Journal for the Measurement of Physical Behaviour, 2(3),188-96. 0.1123/jmpb.2018-0063 Mok, A., Khaw, K.-T., Luben, R., Wareham, N., & Brage, S. (2019). Physical activity trajectories and mortality: Population based cohort study. BMJ, 365, l2323. 0.1136/bmj.l2323 Rowlands, A. V., Edwardson, C. L., Davies, M. J., Khunti, K., Harrington, D. M., & Yates, T. (2018). Beyond cut points: Accelerometer metrics that capture the physical activity profile. Medicine & Science in Sports & Exercise, 50(6), 1323-32. 0.1249/MSS.0000000000001561 Rowlands, A. V., Fairclough, S. J., Yates, T., Edwardson, C. L., Davies, M., Munir, F., Khunti, K., & Stiles, V. H. (2019). Activity intensity, volume, and norms: Utility and interpretation of accelerometer metrics. Medicine & Science in Sports & Exercise, 51(11), 2410-2422. 0.1249/MSS.0000000000002047 Stasinopoulos, D. M., & Rigby, R. A. (2008). Generalized additive models for location scale and shape (GAMLSS) in R. Journal of Statistical Software, 23(7), 1 - 46. 0.18637/jss.v023.i07 Troiano, R. P., McClain, J. J., Brychta, R. J., & Chen, K. Y. (2014). Evolution of accelerometer methods for physical activity research. British Journal of Sports Medicine, 48(13), 1019-1023. 0.1136/bjsports-2014-093546 van Hees, V. T., Gorzelniak, L., Dean León, E. C., Eder, M., Pias, M., Taherian, S., Ekelung, U., Renström, F., Franks, P. W., Horsch, A., & Brage, S. (2013). Separating movement and gravity components in an acceleration signal and implications for the assessment of human daily physical activity. PloS one, 8(4), Article e61691. 0.1371/journal.pone.0061691 Wagner, J., Knaier, R., Infanger, D., Arbeev, K., Briel, M., Dieterle, T., Hanssen, H., Faude, O., Roth, R., Hinrichs, T., & Schmidt-Trucksäss, A. 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Publisher: Elsevier BV
Date: 1998
Publisher: Springer Science and Business Media LLC
Date: 06-06-2017
Publisher: Elsevier BV
Date: 03-2015
Start Date: 02-2016
End Date: 06-2021
Amount: $343,700.00
Funder: Australian Research Council
View Funded Activity