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From Trade-to-Trade in US Treasuries
(CFAP, Cambridge Judge Business School, University of Cambridge, 2010-05)
The aim of this paper is to model the trading intensity of the US Treasury bond market which has a unique expandable limit order book which distinguishes its structure from other asset markets. An analysis of tick data ...
Ground movements due to excavation in clay: physical and analytical models
(University of CambridgeDepartment of Engineering, 2010-11-16)
In view of the recent catastrophes associated with deep excavations, there is an urgent need to provide vital guidelines on the design of the construction process. To develop a simple tool for predicting ground deformation ...
Morale: definitions, dimensions and measurement
(University of CambridgeJudge Business School, 2010-04-13)
Morale is a commonly used term both in business and society but the concept of morale is relatively poorly defined and understood. In a recent paper Liefooghe et al. (2004) expressed surprise that ‘…when reviewing the ...
Generalised Bayesian matrix factorisation models
(University of CambridgeDepartment of EngineeringSt John's College, 2011-03-15)
Factor analysis and related models for probabilistic matrix factorisation are of central importance to the unsupervised analysis of data, with a colourful history more than a century long. Probabilistic models for matrix ...
Long-term behaviour of twin tunnels in London clay
(University of CambridgeDepartment of EngineeringCorpus Christi College, 2011-03-15)
The assessment of ageing tunnels requires a deeper understanding of the long-term behaviour of twin tunnels, whilst lack of permeability data limits the accuracy of long-term predictions. This thesis therefore investigates ...
Bayesian methods in music modelling
(University of CambridgeDepartment of Engineering, 2011-03-15)
This thesis presents several hierarchical generative Bayesian models of musical signals designed to improve the accuracy of existing multiple pitch detection systems and other musical signal processing applications whilst ...
An empirical analysis of subprime consumer credit demand
(2010)
We test the interest rate sensitivity of subprime credit card borrowers using a unique panel data set from a UK credit card company. What is novel about our contribution is that we were given details of a randomized interest ...
Cojumping: Evidence from the US Treasury Bond and Futures Market
(2011-02)
The basis between spot and future prices will be affected by jump behavior in each asset price, challenging intraday hedging strategies. Using a formal cojumping test this paper considers the cojumping behaviour of spot ...
The Term Premium and The UK Economy 1980-2007
(2010)
The term premium is estimated from an empirically coherent open economy VAR model of the UK economy where the model specifically accounts for the mixed nature of the data and cointegration between some variables. Using ...
Large eddy simulation of supersonic combustion with application to scramjet engines
(University of CambridgeDepartment of Engineering, 2011-07-12)
This work evaluates the capabilities of the RANS and LES techniques for the simulation of high speed reacting flows. These methods are used to gain further insight into the physics encountered and regimes present in ...