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University of Technology Sydney
(58 results)-
White Papers
Using Laptop PCs for Laboratory Work in a Postgraduate Wireless Technology Subject
December 1, 2008, 12:00am PST
This paper presents the experiences in a UTS LTPF and HP funded project to enhance the learning outcomes of postgraduate students in Engineering Courses at University of Technology Sydney. The...
Provided by University of Technology Sydney
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White Papers
Cloud Computing: Highly-Scalable Remote Computing for Small and Medium Businesses
October 28, 2009, 12:00am PDT
This paper has mainly looked at the marketing details for different cloud businesses, and how beneficial it would be for startups to take up these clouds based infrastructures. After looking at...
Provided by University of Technology Sydney
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White Papers
Real Time Services Over the Internet
December 31, 2007, 12:00am PST
Real time Internet traffic such as Voice over IP (VoIP) is difficult to estimate and simulate. Since the process is non-ergodic the authors must use ensemble averages rather than time averages,...
Provided by University of Technology Sydney
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White Papers
Overview of WiMAX Cellular Technology
November 24, 2009, 12:00am PST
High cost of ICT (Information and Communication Technology) infrastructure leads to a gap between the developed countries and the least developed countries in terms of the access to information,...
Provided by University of Technology Sydney
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White Papers
Securing Data Transfer in the Cloud Through Introducing Identification Packet and UDT -Authentication Option Field: A Characterization
October 1, 2010, 12:00am PDT
The emergence of various technologies has since pushed researchers to develop new protocols that support high density data transmissions in Wide Area Networks. Many of these protocols are TCP...
Provided by University of Technology Sydney
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White Papers
Asset Price Regulators Unite: You Have Macroeconomic Stability To Win And The Microeconomic Losses Are Second-Order
April 1, 2010, 12:00am PDT
The Global Financial Crisis (GFC) has rekindled debate about the desirability of governmental interference in asset markets - either through the operation of policy levers, or, through the chosen...
Provided by University of Technology Sydney
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White Papers
The Market Response To Exploration, Resource And Reserve Announcements By Mining Companies: Australian Data
April 1, 2010, 12:00am PDT
This paper is the first to conduct an event study on the market response to exploration, resource and reserve announcements made by mining firms. Results from an event study using a matched firm...
Provided by University of Technology Sydney
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White Papers
Hedge Fund Excess Returns Under Time-Varying Beta
October 1, 2010, 12:00am PDT
The authors construct a time-varying factor model of hedge fund returns that accounts for market risk, leverage, and illiquidity and tail events. Prior to analysis they investigate database biases...
Provided by University of Technology Sydney
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White Papers
The Economic Costs Of US Stock Mispricing
September 14, 2010, 12:00am PDT
The USAGE model for the United States is used to quantify economic costs due to stock mispricing, made operational by shocking Tobin's q. The simulations quantify a potentially large impact even...
Provided by University of Technology Sydney
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White Papers
Conditional Style Rotation Model On Enhanced Value And Growth Portfolios: The European Experience
May 1, 2008, 12:00am PDT
Academic and professional attention has been devoted in the past to the analysis of the potential value-enhancement generated by strategies based on macroeconomic models and applied to portfolios...
Provided by University of Technology Sydney
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White Papers
Adaptive Forecasting Of Exchange Rates With Panel Data
October 27, 2010, 12:00am PDT
This paper investigates the statistical and economic implications of adaptive forecasting of exchange rates with panel data and alternative predictors. The candidate exchange rate predictors are...
Provided by University of Technology Sydney
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White Papers
Using Dynamic Copulae For Modeling Dependency In Currency Denominations Of A Diversifed World Stock Index
August 25, 2010, 12:00am PDT
This aim of this paper is to model the dependency among log-returns when security account prices are expressed in units of a well diversified world stock index. The paper uses the equi-weighted...
Provided by University of Technology Sydney
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White Papers
Simulation Of Diversified Portfolios In A Continuous Financial Market
August 18, 2010, 12:00am PDT
The paper analyzes the simulated long-term behavior of well diversified portfolios in continuous financial markets. It focuses on the equi-weighted index and the market portfolio. The paper...
Provided by University of Technology Sydney
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White Papers
M6 - On Minimal Market Models And Minimal Martingale Measures
July 1, 2010, 12:00am PDT
The well-known absence-of-arbitrage condition NFLVR from the fundamental theorem of asset pricing splits into two conditions, called NA and NUPBR. The authors give a literature overview of several...
Provided by University of Technology Sydney
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White Papers
The Economic Plausibility Of Strict Local Martingales In Financial Modelling
June 1, 2010, 12:00am PDT
The context for this paper is a continuous financial market consisting of a risk-free savings account and a single non-dividend-paying risky security. The authors present two concrete models for...
Provided by University of Technology Sydney
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White Papers
Small Traders In Currency Futures Markets Format
May 1, 2010, 12:00am PDT
This paper examines the interrelation between small traders' open interest and large hedging and speculation in the Canadian dollar, Swiss franc, British pound, and Japanese yen futures markets....
Provided by University of Technology Sydney
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White Papers
Time-varying Beta: A Boundedly Rational Equilibrium Approach
May 1, 2010, 12:00am PDT
By taking into account conditional expectations and the dependence of the systematic risk of asset returns on micro- and macro-economic factors, the conditional CAPM with time-varying betas...
Provided by University of Technology Sydney
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White Papers
The Financial Instability Hypothesis: A Stochastic Microfoundation Framework
March 19, 2010, 12:00am PDT
This paper examines the dynamics of financial distress and in particular the mechanism of transmission of shocks from the financial sector to the real economy. The analysis is performed by...
Provided by University of Technology Sydney
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White Papers
Differences In Opinion And Risk Premium
February 1, 2010, 12:00am PST
When people agree to disagree, this paper examines the impact of the disagreement among agents on market equilibrium and equity premium. Within the standard mean variance framework, the authors...
Provided by University of Technology Sydney
-
White Papers
The British Russian Option
January 1, 2010, 12:00am PST
Following the economic rationale of [10] and [11] the authors present a new class of lookback options (by first studying the canonical 'Russian' variant) where the holder enjoys the early exercise...
Provided by University of Technology Sydney
-
White Papers
Dynamics Of Moving Average Rules In A Continuous-time Financial Market Model
January 1, 2010, 12:00am PST
Within a continuous-time framework, this paper proposes a stochastic Heterogeneous Agent Model (HAM) of financial markets with time delays to unify various moving average rules used in...
Provided by University of Technology Sydney
-
White Papers
Financialization, Crisis And Commodity Correlation Dynamics
January 1, 2010, 12:00am PST
The authors study bi-variate conditional volatility and correlation dynamics for individual commodity futures and financial assets from May 1990-July 2009 using DSTCC- GARCH (Silvennoinen and...
Provided by University of Technology Sydney
-
White Papers
Modelling Co-movements And Tail Dependency In The International Stock Market Via Copulae
September 29, 2009, 12:00am PDT
This paper examines international equity market co-movements using time-varying copulae. The authors examine distributions from the class of Symmetric Generalized Hyperbolic (SGH) distributions...
Provided by University of Technology Sydney
-
White Papers
A Visual Criterion For Identifying Ito Diffusions As Martingalesor Strict Local Martingales
November 1, 2009, 12:00am PDT
It is often important, in applications of stochastic calculus to financial modeling, to know whether a given local martingale is a martingale or a strict local martingale. The authors address this...
Provided by University of Technology Sydney
-
White Papers
Real World Pricing Of Long Term Contracts
November 6, 2009, 12:00am PST
Long dated contingent claims are relevant in insurance, pension fund management and derivative pricing. This paper proposes a paradigm shift in the valuation of long term contracts, away from...
Provided by University of Technology Sydney
-
White Papers
A Hybrid Commodity And Interest Rate
November 11, 2009, 12:00am PST
A joint model of commodity price and interest rate risk is constructed analogously to the multi-currency LIBOR Market Model (LMM). Going beyond a simple "Re-interpretation" of the multi-currency...
Provided by University of Technology Sydney
-
White Papers
A Framework For CAPM With Heterogenous Beliefs
September 4, 2009, 12:00am PDT
The authors introduce heterogeneous beliefs into the mean-variance framework of the standard CAPM, in contrast to the standard approach which assumes homogeneous beliefs. By assuming that agents...
Provided by University of Technology Sydney
-
White Papers
Market Stability Switches In A Continuous-time Financial Market With Heterogeneous Beliefs
July 1, 2009, 12:00am PDT
By considering a financial market of fundamentalists and trend followers in which the price trend of the trend followers is formed as a weighted average of historical prices, the authors establish...
Provided by University of Technology Sydney
-
White Papers
A Dynamic Analysis Of The Microstructure Of Moving Average Rules In A Double Auction Market
July 6, 2009, 12:00am PDT
Inspired by the theoretically oriented dynamic analysis of moving average rules in Chiarella, He and Hommes (CHH) (2006a) model, this paper conducts a dynamic analysis of a microstructure model of...
Provided by University of Technology Sydney
-
White Papers
Empirical Behavior Of A World Stock Index From Intra-day To Monthly Time Scales
June 15, 2009, 12:00am PDT
Most of the papers that study the distributional and fractal properties of financial instruments focus on stock prices or foreign exchange rates. This typically leads to mixed results concerning...
Provided by University of Technology Sydney
-
White Papers
The British Asian Option
May 1, 2009, 12:00am PDT
Following the economic rationale of [7] and [8] the authors present a new class of Asian options where the holder enjoys the early exercise feature of American options whereupon his payoff...
Provided by University of Technology Sydney
-
White Papers
Asset Markets And Monetary Policy
April 27, 2009, 12:00am PDT
Monetary policy has pursued the concept of inflation targeting. This has been implemented in many countries. Here interest rates are supposed to respond to an inflation gap and output gap. Despite...
Provided by University of Technology Sydney
-
White Papers
Portfolio Analysis And Zero-beta CAPM With Heterogeneous Beliefs
January 20, 2009, 12:00am PST
With the standard mean variance framework, by assuming heterogeneity and bounded rationality of investors, this paper examines their impact on the market equilibrium and implications to the...
Provided by University of Technology Sydney
-
White Papers
Heterogeneous Expectations And Exchange Rate Dynamics
January 20, 2009, 12:00am PST
This paper presents a continuous-time model of exchange rates relying not only on macroeconomic factors but also having a market microstructure component. The driving macroeconomic factor is the...
Provided by University of Technology Sydney
-
White Papers
Viability Of Markets With An Infinite Number Of Assets
December 1, 2008, 12:00am PST
A study of the boundedness in probability of the set of possible wealth outcomes of an economic agent is undertaken. The wealth-process set is structured with reasonable economic properties,...
Provided by University of Technology Sydney
-
White Papers
Multiplicative Approximation Of Wealth Processes Involving No-short-sale Strategies
December 1, 2008, 12:00am PST
A financial market model with general semi martingale asset-price processes and where agents can only trade using no-short-sale strategies is considered. The authors show that wealth processes...
Provided by University of Technology Sydney
-
White Papers
A Visual Classification Of Local Martingales
December 1, 2008, 12:00am PST
This paper considers the problem of when a local martingale is a martingale or a universally integrable martingale, for the case of time-homogeneous scalar diffusions. Necessary and sufficient...
Provided by University of Technology Sydney
-
White Papers
Real World Pricing For A Modified Constant Elasticity Of Variance Model
November 14, 2008, 12:00am PST
This paper considers a Modified Constant Elasticity of Variance (MCEV) model. This model uses the familiar constant elasticity of variance form for the volatility of the Growth Optimal Portfolio...
Provided by University of Technology Sydney
-
White Papers
Exchange Options Under Jump-diffusion Dynamics
September 8, 2008, 12:00am PDT
Margrabe provides a pricing formula for an exchange option where the distributions of both stock prices are log-normal with correlated Wiener components. Merton has provided a formula for the...
Provided by University of Technology Sydney
-
White Papers
On The Numerical Stability Of Simulation Methods For SDES
August 29, 2008, 12:00am PDT
When simulating discrete time approximations of solutions of Stochastic Differential Equations (SDEs), numerical stability is clearly more important than numerical efficiency or some higher order...
Provided by University of Technology Sydney
-
White Papers
Estimation of Trust Metrics for MANET Using QoS Parameter and Source Routing Algorithms
June 16, 2007, 12:00am PDT
Estimation of trust in ad-hoc networks is an inevitable basis for hybrid networks to inter-operate. The contributions in this paper provide a framework for estimating the trust between nodes in an...
Provided by University of Technology Sydney
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White Papers
A Longitudinal Study Of Financial Risk Tolerance
January 1, 2009, 12:00am PST
Academics are divided as to whether risk tolerance is a genetic and enduring personality trait and as a consequence is less likely to change over the life of an individual or, as with some...
Provided by University of Technology Sydney
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White Papers
Exact Simulation Of The 3/2 Model
May 19, 2011, 12:00am PDT
This paper discusses the exact simulation of the stock price process underlying the 3/2 model. Using a result derived by Craddock and Lennox using Lie Symmetry Analysis, the authors adapt the...
Provided by University of Technology Sydney
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White Papers
Applying Shape And Phase Restrictions In Generalized Dynamic Categorical Models Of The Business Cycle
July 26, 2010, 12:00am PDT
To match the NBER business cycle features it is necessary to employ Generalised Dynamic Categorical (GDC) models that impose certain phase restrictions and permit multiple indexes. Theory suggests...
Provided by University of Technology Sydney
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White Papers
Institutional Ownership And IPO Performance: Australian Evidence
January 1, 2010, 12:00am PST
The duo IPO anomalies of underpricing and long run underperformance have inspired a plethora of studies. Yet few have examined the impact of majority investors in IPOs, namely institutional...
Provided by University of Technology Sydney
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White Papers
Examining Requirements Change Rework Effort: A Study
July 1, 2010, 12:00am PDT
Although software managers are generally good at new project estimation, their experience of scheduling rework tends to be poor. Inconsistent or incorrect effort estimation can increase the risk...
Provided by University of Technology Sydney
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White Papers
Scenario Analysis With Recursive Utility: Dynamic Consumption Plans For Charitable Endowments
December 1, 2007, 12:00am PST
The authors determine optimal consumption paths under a series of returns scenarios for charitable endowments with distinct tastes over investment risk and inter-temporal substitution. Charities...
Provided by University of Technology Sydney
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White Papers
Discounting And Consumption Over An Uncertain Horizon: Draw-down Plans For Family Trusts
December 1, 2007, 12:00am PST
Individuals, endowments and trusts face uncertain lifetimes. When the planning horizon of an entity is stochastic and Pareto distributed, hyperbolic discounting and time-varying consumption rates...
Provided by University of Technology Sydney
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White Papers
Some Effects Of Transaction Taxes Under Different Microstructures
December 1, 2007, 12:00am PST
The authors show that the effectiveness of transaction taxes depends on the market microstructure. Within the model, heterogeneous traders use a blend of technical and fundamental trading...
Provided by University of Technology Sydney
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White Papers
On Financial Markets Where Only Buy-and-hold Trading Is Possible
February 1, 2008, 12:00am PST
A financial market model where agents can only trade using realistic buy-and-hold strategies is considered. Minimal assumptions are made on the nature of the asset-price process - in particular,...
Provided by University of Technology Sydney
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White Papers
The Toll Of Subrational Trading In An Agent Based Economy
March 1, 2008, 12:00am PST
In an agent-based exchange economy, the authors measure the loss of wealth for rational agents due to the presence of varying proportions of subrational (boundedly rational) traders that do not...
Provided by University of Technology Sydney
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White Papers
Modelling Adverse Selection On Electronic Order-driven Markets
March 17, 2008, 12:00am PDT
The vast majority of models that decompose the bid/ask spread assume the quote-driven, specialist structure of the NYSE. This paper critically evaluates these models to construct a model specific...
Provided by University of Technology Sydney
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White Papers
Valuing Guaranteed Minimum Death Benefit Options In Variable Annuities Under A Benchmark Approach
April 17, 2008, 12:00am PDT
Variable Annuities (VAs) represent a marked change from earlier life products in the guarantees that they offer and it is no longer possible to manage the risks of these liabilities using...
Provided by University of Technology Sydney
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White Papers
Strong Predictor-corrector Euler Methods For Stochastic Differential Equations
February 15, 2008, 12:00am PST
This paper introduces a new class of numerical schemes for the path wise approximation of solutions of Stochastic Differential Equations (SDEs). The proposed family of strong predictor-corrector...
Provided by University of Technology Sydney
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White Papers
A Stylised Model For Extreme Shocks: Four Moments Of The Apocalypse
August 15, 2007, 12:00am PDT
The authors present a method for calculating the extreme tail quantiles, over arbitrary holding periods, of a continuous-time stochastic volatility model of the form proposed by Scott (1987) with...
Provided by University of Technology Sydney
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White Papers
Quadratic Hedging Of Basis Risk
June 1, 2008, 12:00am PDT
When a contingent claim is written on an asset or process which is not traded, it is natural to enquire about the effectiveness of hedging with a correlated security. In this situation the market...
Provided by University of Technology Sydney
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White Papers
A Macroeconomic Foundation For The Nelson And Siegel Class Of Yield Curve Models
June 21, 2008, 12:00am PDT
Yield curve models of the Nelson and Siegel (1987) class have proven themselves popular empirical tools in finance and economics, but they lack a formal theoretical justification. Hence, this...
Provided by University of Technology Sydney
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White Papers
Heterogeneity, Bounded Rationality And Market Dysfunctionality
October 1, 2008, 12:00am PDT
As the main building blocks of the modern finance theory, homogeneity and rational expectation have faced difficulty in explaining many market anomalies, stylized factors, and market inefficiency...
Provided by University of Technology Sydney
-
White Papers
On The Numerical Stability Of Simulation Methods For SDES
August 29, 2008, 12:00am PDT
When simulating discrete time approximations of solutions of Stochastic Differential Equations (SDEs), numerical stability is clearly more important than numerical efficiency or some higher order...
Provided by University of Technology Sydney
-
White Papers
Exchange Options Under Jump-diffusion Dynamics
September 8, 2008, 12:00am PDT
Margrabe provides a pricing formula for an exchange option where the distributions of both stock prices are log-normal with correlated Wiener components. Merton has provided a formula for the...
Provided by University of Technology Sydney
-
White Papers
Real World Pricing For A Modified Constant Elasticity Of Variance Model
November 14, 2008, 12:00am PST
This paper considers a Modified Constant Elasticity of Variance (MCEV) model. This model uses the familiar constant elasticity of variance form for the volatility of the Growth Optimal Portfolio...
Provided by University of Technology Sydney
-
White Papers
A Visual Classification Of Local Martingales
December 1, 2008, 12:00am PST
This paper considers the problem of when a local martingale is a martingale or a universally integrable martingale, for the case of time-homogeneous scalar diffusions. Necessary and sufficient...
Provided by University of Technology Sydney
-
White Papers
Multiplicative Approximation Of Wealth Processes Involving No-short-sale Strategies
December 1, 2008, 12:00am PST
A financial market model with general semi martingale asset-price processes and where agents can only trade using no-short-sale strategies is considered. The authors show that wealth processes...
Provided by University of Technology Sydney
-
White Papers
Viability Of Markets With An Infinite Number Of Assets
December 1, 2008, 12:00am PST
A study of the boundedness in probability of the set of possible wealth outcomes of an economic agent is undertaken. The wealth-process set is structured with reasonable economic properties,...
Provided by University of Technology Sydney
-
White Papers
Heterogeneous Expectations And Exchange Rate Dynamics
January 20, 2009, 12:00am PST
This paper presents a continuous-time model of exchange rates relying not only on macroeconomic factors but also having a market microstructure component. The driving macroeconomic factor is the...
Provided by University of Technology Sydney
-
White Papers
Portfolio Analysis And Zero-beta CAPM With Heterogeneous Beliefs
January 20, 2009, 12:00am PST
With the standard mean variance framework, by assuming heterogeneity and bounded rationality of investors, this paper examines their impact on the market equilibrium and implications to the...
Provided by University of Technology Sydney
-
White Papers
Asset Markets And Monetary Policy
April 27, 2009, 12:00am PDT
Monetary policy has pursued the concept of inflation targeting. This has been implemented in many countries. Here interest rates are supposed to respond to an inflation gap and output gap. Despite...
Provided by University of Technology Sydney
-
White Papers
The British Asian Option
May 1, 2009, 12:00am PDT
Following the economic rationale of [7] and [8] the authors present a new class of Asian options where the holder enjoys the early exercise feature of American options whereupon his payoff...
Provided by University of Technology Sydney
-
White Papers
Empirical Behavior Of A World Stock Index From Intra-day To Monthly Time Scales
June 15, 2009, 12:00am PDT
Most of the papers that study the distributional and fractal properties of financial instruments focus on stock prices or foreign exchange rates. This typically leads to mixed results concerning...
Provided by University of Technology Sydney
-
White Papers
A Dynamic Analysis Of The Microstructure Of Moving Average Rules In A Double Auction Market
July 6, 2009, 12:00am PDT
Inspired by the theoretically oriented dynamic analysis of moving average rules in Chiarella, He and Hommes (CHH) (2006a) model, this paper conducts a dynamic analysis of a microstructure model of...
Provided by University of Technology Sydney
-
White Papers
Market Stability Switches In A Continuous-time Financial Market With Heterogeneous Beliefs
July 1, 2009, 12:00am PDT
By considering a financial market of fundamentalists and trend followers in which the price trend of the trend followers is formed as a weighted average of historical prices, the authors establish...
Provided by University of Technology Sydney
-
White Papers
A Framework For CAPM With Heterogenous Beliefs
September 4, 2009, 12:00am PDT
The authors introduce heterogeneous beliefs into the mean-variance framework of the standard CAPM, in contrast to the standard approach which assumes homogeneous beliefs. By assuming that agents...
Provided by University of Technology Sydney
-
White Papers
A Hybrid Commodity And Interest Rate
November 11, 2009, 12:00am PST
A joint model of commodity price and interest rate risk is constructed analogously to the multi-currency LIBOR Market Model (LMM). Going beyond a simple "Re-interpretation" of the multi-currency...
Provided by University of Technology Sydney
-
White Papers
Real World Pricing Of Long Term Contracts
November 6, 2009, 12:00am PST
Long dated contingent claims are relevant in insurance, pension fund management and derivative pricing. This paper proposes a paradigm shift in the valuation of long term contracts, away from...
Provided by University of Technology Sydney
-
White Papers
A Visual Criterion For Identifying Ito Diffusions As Martingalesor Strict Local Martingales
November 1, 2009, 12:00am PDT
It is often important, in applications of stochastic calculus to financial modeling, to know whether a given local martingale is a martingale or a strict local martingale. The authors address this...
Provided by University of Technology Sydney
-
White Papers
Modelling Co-movements And Tail Dependency In The International Stock Market Via Copulae
September 29, 2009, 12:00am PDT
This paper examines international equity market co-movements using time-varying copulae. The authors examine distributions from the class of Symmetric Generalized Hyperbolic (SGH) distributions...
Provided by University of Technology Sydney
-
White Papers
Financialization, Crisis And Commodity Correlation Dynamics
January 1, 2010, 12:00am PST
The authors study bi-variate conditional volatility and correlation dynamics for individual commodity futures and financial assets from May 1990-July 2009 using DSTCC- GARCH (Silvennoinen and...
Provided by University of Technology Sydney
-
White Papers
Dynamics Of Moving Average Rules In A Continuous-time Financial Market Model
January 1, 2010, 12:00am PST
Within a continuous-time framework, this paper proposes a stochastic Heterogeneous Agent Model (HAM) of financial markets with time delays to unify various moving average rules used in...
Provided by University of Technology Sydney
-
White Papers
The British Russian Option
January 1, 2010, 12:00am PST
Following the economic rationale of [10] and [11] the authors present a new class of lookback options (by first studying the canonical 'Russian' variant) where the holder enjoys the early exercise...
Provided by University of Technology Sydney
-
White Papers
Differences In Opinion And Risk Premium
February 1, 2010, 12:00am PST
When people agree to disagree, this paper examines the impact of the disagreement among agents on market equilibrium and equity premium. Within the standard mean variance framework, the authors...
Provided by University of Technology Sydney
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