Physical Sciences and Mathematics Commons^™

On The Evolution Of Probability-Weighting Function And Its Impact On Gambling, Steven Li, Yun Hsing Cheung

Research outputs pre 2011

It is well known that individuals treat losses and gains differently and there exists non-linearity in probability. The asymmetry between gains and losses is highlighted by the reflection effect. The non-linearity in probability is described by the curvature of the probability-weighting function. This paper studies the evolution of the probability-weighting function. It is assumed that the probability weighting for an individual follows a mean-reverting stochastic process. The Monte Carlo simulation technique is employed to study the evolution of the weighting function. The evolution of the probability- weighting function implies that an individual does not treat gains or losses consistently over …

Wetland Vegetation Monitoring, 2000/2001 (Salinity Action Plan), B. Franke, R. Gurner, R. Froend

Research outputs pre 2011

This report represents the vegetation component of a project designed to provide ongoing monitoring of wetland salinity and biological resources in wetlands of the agricultural zone of south-west Western Australia. Maintenance of wetland biological diversity in the agricultural zone is one of the major objectives of the Salinity Action Plan. Due to their low position in the landscape, wetlands are the habitat most affected by salinisation.

Heckman's Methodology For Correcting Selectivity Bias : An Application To Road Crash Costs, Margaret Giles

Research outputs pre 2011

Aggregate road crash costs are traditionally determined using average costs applied to incidence figures found in Police-notified crash data. Such data only comprise a non-random sample of the true population of road crashes, the bias being due to the existence of crashes that are not notified to the Police. The traditional approach is to label the Police-notified sample as 'non-random' thereby casting a cloud over data analyses using this sample. Heckman however viewed similar problems as 'omitted variables' problems in that the exclusion of some observations in a systematic manner (so-called selectivity bias) has inadvertently introduced the need for an …

Are Bank Deposits And Bank-Affiliated Managed Funds Close Substitutes?, David E. Allen, Jerry T. Parwada

Research outputs pre 2011

This study tests the hypothesis that bank liabilities and managed funds are close substitutes. Some literature associates the alleged decline in banking business with the disintermediation of banks’ traditional deposit-taking business in favour of investment management. A comparative assessment of managed fund and bank deposit qualitative attributes fails to support substitutability. Using data on Australian bank-affiliated funds and a nine-year record of bank liability balances, this study finds that, empirically, managed funds do not displace bank liabilities. Prudential capital adequacy requirements dissuade banks from using in-house managed investments as indirect conduits for raising funds in the same manner as deposit …

Some Statistical Models For Durations And Their Applications In Finance, Harry Zheng, David E. Allen, Lyn C. Thomas

Research outputs pre 2011

We first consider a new class of time series models (introduced by Engle and Russell (1998)) use in statistical applications in finance. These models treat the time between events (durations) as a stochastic process and the corresponding durations are modelled using a theory similar to that of autoregressive processes. This new class of time series models is called Autoregressive Conditional Duration (ACD) models. Various extensions and the statistical properties of this class of ACD models are given. We also suggest some alternative models for durations arising from the market microstructure literature. An estimation procedure is discussed. The theory is illustrated …

The Duration Derby : A Comparison Of Duration Based Strategies In Asset Liability Management, Harry Zheng, David E. Allen, Lyn C. Thomas

Research outputs pre 2011

Macaulay duration matched strategy is a key tool in bond portfolio immunization. It is well known that if term structures are not at or changes are not parallel, then Macaulay duration matched portfolio can not guarantee adequate immunization. In this paper the approximate duration is proposed to measure the bond price sensitivity to changes of interest rates of non- at term structures. Its performance in immunization is compared with those of Macaulay, partial and key rate durations using the US Treasury STRIPS and Bond data. Approximate duration turns out to be a possible contender in asset liability management: it does …

Working For Excellence In The E-Conomy: 2nd International We-B Conference, Sue Stoney (Ed.)

Research outputs pre 2011

Welcome to Perth, Western Australia, and to the 2nd International We-B Conference 2001 "working for excellence in the e-conomy" hosted by the We-B Centre, School of Management Information Systems at Edith Cowan University.

This is an international conference for academics and industry specialists in e-business, e-government and related fields. The conference has drawn participants from national and international organisations.

All submitted papers were subjected to an anonymous peer review process managed by the Conference Committee.