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
Building flexible multivariate models and their application in Finance. The project will develop methods for analyzing the properties of dependent measurements that may evolve through time. The new methods will significantly improve on current best statistical practice and will be applied to important problems in the financial sector such as asset allocation and risk management. The financial sector is a vital part of the Australian economy and it is important to understand the joint behavior of ....Building flexible multivariate models and their application in Finance. The project will develop methods for analyzing the properties of dependent measurements that may evolve through time. The new methods will significantly improve on current best statistical practice and will be applied to important problems in the financial sector such as asset allocation and risk management. The financial sector is a vital part of the Australian economy and it is important to understand the joint behavior of financial assets in order to understand and allow for risk. The methods will have immediate application in other disciplines such as medicine, engineering and the environmental sciences. The project will train a postdoctoral student and three PhD students in cutting edge financial econometrics. Read moreRead less
Integrated Photonics for Secure Communication and Related Applications in Financial Transaction Data Analysis. The project includes excellent basic science, semiconductor device fabrication and applied mathematics with explicitly identified consequences for innovation. There is strong potential for national economic benefits through the manufacture of new integrated photonic devices, the application of these devices in secure communication systems, the research of advanced non-linear analysis pr ....Integrated Photonics for Secure Communication and Related Applications in Financial Transaction Data Analysis. The project includes excellent basic science, semiconductor device fabrication and applied mathematics with explicitly identified consequences for innovation. There is strong potential for national economic benefits through the manufacture of new integrated photonic devices, the application of these devices in secure communication systems, the research of advanced non-linear analysis protocols, and the implementation of these in financial transaction analysis. Professional development and research education of postgraduate students and early career researchers will be carried out in a multi-disciplinary research environment with ongoing uptake of the research in industry and commercial sectors.Read moreRead less
Group orbits in garmonic analysis and ergodic theory. Researchers from many areas need a type of mathematical analysis which involves the behaviour of a system - which may be a set of data points - under repeated application of some operation or group of operations. The structures arising from this kind of process are known as group orbits. The project gives information about their nature. Two major types of orbits are considered, coming from actions of discrete groups on measure spaces, and fro ....Group orbits in garmonic analysis and ergodic theory. Researchers from many areas need a type of mathematical analysis which involves the behaviour of a system - which may be a set of data points - under repeated application of some operation or group of operations. The structures arising from this kind of process are known as group orbits. The project gives information about their nature. Two major types of orbits are considered, coming from actions of discrete groups on measure spaces, and from smooth actions of Lie groups on manifolds, where powerful geometric methods are available. The project will yield new understandings of entropy, and new approaches to Fourier analysis.Read moreRead less
Ergodic theory and number theory. Recent advances in the theory of measured dynamical systems investigated by the proponents include new versions of entropy, and the study of spectral theory for non-singular systems. These will be further developed in this joint project with the French CNRS. The results are expected to have interesting applications in physics and number theory.
Entropy and maximal entropy in Markov systems. Entropy is a measure of how well-ordered a system is: chaotic systems have high entropy. Two approaches to entropy are available, via the limiting behaviour of the orbits of points, which yields topological entropy, and via the behaviour of the distributions of measures of partitions, yielding measure-theoretic entropy. The topological entropy is the least upper bound of entropies of all possible measures. We study when there is a measure which real ....Entropy and maximal entropy in Markov systems. Entropy is a measure of how well-ordered a system is: chaotic systems have high entropy. Two approaches to entropy are available, via the limiting behaviour of the orbits of points, which yields topological entropy, and via the behaviour of the distributions of measures of partitions, yielding measure-theoretic entropy. The topological entropy is the least upper bound of entropies of all possible measures. We study when there is a measure which realises this bound, describing the structure of such systems via Markov and Bratteli diagrams. Our methods will be applied to new versions of entropy for non-singular systems. This will assist in the description of chaotic behaviour.Read moreRead less
Symmetries in analysis. Technical research is like an iceberg. The 10% you see in applications is supported by 90% hidden, long-term, sometimes abstruse or theoretical-sounding work. The area of mathematical analysis has, for over 200 years, proved its worth as part of the unseen 90%, giving us such important tools as Fourier analysis, statistical mechanics and quantum mechanics. Australia is known as a world leader in mathematical analysis, and it is important for the country to maintain that e ....Symmetries in analysis. Technical research is like an iceberg. The 10% you see in applications is supported by 90% hidden, long-term, sometimes abstruse or theoretical-sounding work. The area of mathematical analysis has, for over 200 years, proved its worth as part of the unseen 90%, giving us such important tools as Fourier analysis, statistical mechanics and quantum mechanics. Australia is known as a world leader in mathematical analysis, and it is important for the country to maintain that edge in a number of key disciplines, so we can continue to participate in global technological advance. The project has an international focus which will enable that to happen. It will also provide training for the next generation of mathematicians. Read moreRead less
Dynamical systems: theory and practice. Mathematical science has proven a crucial platform for science and technology: it may have a long lead-time to application but its impacts are more profound than glamorous technical developments. Australia has an economic imperative to maintain investment in fundamental mathematics. Dynamical systems underpin a wide range of applications in physics, engineering, information science, finance and economics. This project will improve our capacity to model sy ....Dynamical systems: theory and practice. Mathematical science has proven a crucial platform for science and technology: it may have a long lead-time to application but its impacts are more profound than glamorous technical developments. Australia has an economic imperative to maintain investment in fundamental mathematics. Dynamical systems underpin a wide range of applications in physics, engineering, information science, finance and economics. This project will improve our capacity to model systems and to study their evolution, giving us better predictive power. It will keep Australia in the forefront of international research, providing a basis of expertise not otherwise available to Australian researchers and industry. Read moreRead less
Non-commutative analysis and differential calculus. This project is in an area of central mathematical importance and will lead to important scientific advances that will keep Australia at the forefront internationally in this field of research. There is an emphasis on international networking and we will collaborate with leading researchers in USA and France.
Functional and harmonic analysis of function spaces: synthesis, development and applications. Recent advances in mathematics are on the borderlines of its branches. This interdisciplinary project develops and binds the research areas attracting growing interest of prominent mathematicians during the last 30 years because of not only its theoretical value, but also its ties with the key equations describing a multitude of physical phenomena and the theoretical foundation of numerical methods. Th ....Functional and harmonic analysis of function spaces: synthesis, development and applications. Recent advances in mathematics are on the borderlines of its branches. This interdisciplinary project develops and binds the research areas attracting growing interest of prominent mathematicians during the last 30 years because of not only its theoretical value, but also its ties with the key equations describing a multitude of physical phenomena and the theoretical foundation of numerical methods. The Euler, Helmholtz, Lamb, Navier-Stokes and acoustic equations, studied in terms of function spaces, govern incompressible viscous fluid flows and wave propagations. Contributing to both pure mathematics and, particularly, Short-Term Tsunami Prediction, the project will enhance Australia's research reputation.Read moreRead less