Modelling stock market liquidity in Australia and the Asia Pacific Region. This project will develop new methods of assessing stock market liquidity in Australia and the Asia-Pacific region. These methods will use high frequency transactions-based data provided by the industry partner, SIRCA. The data will be the basis of smart information real time algorithms for measuring market liquidity. They will incorporate generalizations and extensions of recent developments in time series econometrics, ....Modelling stock market liquidity in Australia and the Asia Pacific Region. This project will develop new methods of assessing stock market liquidity in Australia and the Asia-Pacific region. These methods will use high frequency transactions-based data provided by the industry partner, SIRCA. The data will be the basis of smart information real time algorithms for measuring market liquidity. They will incorporate generalizations and extensions of recent developments in time series econometrics, and will be calibrated and evaluated statistically. The novel methods will be crucial to market participants and to regulators, who will be able to apply them to assess market depth and liquidity, and reduce trading costs substantially.Read moreRead less
Information Content of Order Flows in the Foreign Exchange and Commodities Markets. The Australian economy depends heavily on resources and commodities markets. The Australian dollar is the sixth most actively traded currency in the world and is more volatile than all other major currencies except the Japanese yen. The proposed study seeks to improve volatility forecasts and hedging effectiveness for foreign exchange and commodity risks, which will create significant benefits for the Australian ....Information Content of Order Flows in the Foreign Exchange and Commodities Markets. The Australian economy depends heavily on resources and commodities markets. The Australian dollar is the sixth most actively traded currency in the world and is more volatile than all other major currencies except the Japanese yen. The proposed study seeks to improve volatility forecasts and hedging effectiveness for foreign exchange and commodity risks, which will create significant benefits for the Australian economy, corporations, and investors. In addition, the project will enhance investment performance and risk management practice of financial institutions, improving the overall safety of our financial system. It will also foster research culture and increase research capacity of Australian financial institutions.Read moreRead less
Maximum likelihood estimation of the parameters of stochastic differential equations. The primary objective of this project is to develop efficient algorithms for estimating the parameters of stochastic differential equations (SDEs) by simulated and exact maximum likelihood. The research will draw on both parametric and non-parametric analysis in novel ways to construct estimation procedures that are computationally feasible. These methods will then be applied in the area of finance and used to ....Maximum likelihood estimation of the parameters of stochastic differential equations. The primary objective of this project is to develop efficient algorithms for estimating the parameters of stochastic differential equations (SDEs) by simulated and exact maximum likelihood. The research will draw on both parametric and non-parametric analysis in novel ways to construct estimation procedures that are computationally feasible. These methods will then be applied in the area of finance and used to estimate the parameters of stochastic-volatility models, thus contributing to knowledge in a prominent area of complex systems, namely financial risk. The execution of this collaborative project will deliver quality research training in the topical area of mathematical finance and produce high-calibre postgraduates.
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Stochastic Index Numbers and Their Application in Accounting, Economics and Finance. Index numbers of prices, such as the Consumer Price Index and the All Ordinaries Index, are among the most important economic statistics for the whole economy. But despite their importance, currently constructed price indexes do not use all the information available in the underlying price data, namely the dispersion among the individual prices. This project will develop and apply a methodology for a new approa ....Stochastic Index Numbers and Their Application in Accounting, Economics and Finance. Index numbers of prices, such as the Consumer Price Index and the All Ordinaries Index, are among the most important economic statistics for the whole economy. But despite their importance, currently constructed price indexes do not use all the information available in the underlying price data, namely the dispersion among the individual prices. This project will develop and apply a methodology for a new approach to index numbers that incorporates this information and leads to tractable ways of estimating the whole distribution of the index value, rather than just one number. The practical usefulness of this mthodology will be demonstrated with applications in accounting (sustainable earnings), economics (real exchange rates) and finance (share prices).Read moreRead less
Forecasting Risk Thresholds for Portfolio Management and Regulation. The project will develop new models and methods for dynamic risk modelling, assessment of portfolio risk, and forecasting of portfolio risk thresholds. These novel methods will have extensive applications across investment portfolios for banks and financial institutions globally. The techniques will feature a dynamic updating of risk estimates, and more accurate forecasting of portfolio risk, the correlations of portfolio asset ....Forecasting Risk Thresholds for Portfolio Management and Regulation. The project will develop new models and methods for dynamic risk modelling, assessment of portfolio risk, and forecasting of portfolio risk thresholds. These novel methods will have extensive applications across investment portfolios for banks and financial institutions globally. The techniques will feature a dynamic updating of risk estimates, and more accurate forecasting of portfolio risk, the correlations of portfolio asset classes, and Value at Risk (VaR) thresholds. The innovative methods and models will permit both financial institutions and regulatory authorities to model VaR thresholds more accurately, and enable investment managers to regulate and benchmark their portfolios more effectively against international best practice.
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Quantifying Country Credit Risk Ratings and Volatility, and Measuring the Impact of Fundamentals. National/community benefits include developing a superior quantifiable ratings method to the qualitative rankings produced by leading international country credit risk ratings agencies, measuring the impact of economic/financial fundamentals on risk ratings, and analysing their fluctuations across countries and risk categories over time. The project provides a solution to the major problems underlyi ....Quantifying Country Credit Risk Ratings and Volatility, and Measuring the Impact of Fundamentals. National/community benefits include developing a superior quantifiable ratings method to the qualitative rankings produced by leading international country credit risk ratings agencies, measuring the impact of economic/financial fundamentals on risk ratings, and analysing their fluctuations across countries and risk categories over time. The project provides a solution to the major problems underlying qualitative country risk ratings, namely the irregularity and infrequency of their measurement, and emphasizes the practicality of the results. Expected outcomes include a clearer understanding of how to quantify qualitative rankings and their fluctuations, using information intelligently, and promoting an innovation and knowledge culture.Read moreRead less
Understanding and Modeling Individual Choices in Applied Economics. The fellowship will create a critical mass of researchers in choice modeling theory and methods in areas that Australia needs to sustain economic progress and plan for the future. It will significantly advance knowledge in several major areas: design of health insurance markets; tests for adverse selection in insurance markets; ability of people to plan for retirement (superannuation choices); ability of people to plan and choos ....Understanding and Modeling Individual Choices in Applied Economics. The fellowship will create a critical mass of researchers in choice modeling theory and methods in areas that Australia needs to sustain economic progress and plan for the future. It will significantly advance knowledge in several major areas: design of health insurance markets; tests for adverse selection in insurance markets; ability of people to plan for retirement (superannuation choices); ability of people to plan and choose in dynamic environments; and decisions to adopt new technologies/products in evolving technology markets. The outcome will be new ways to understand and predict choices that can significantly improve practices in business and other organisations.Read moreRead less
Higher order moment contagion testing: implications of the US subprime mortgage crisis for Australia. Even though crises are usually short lived, the long term implications of changes in asset values may be profound, particularly for superannuation assets. Implications of financial crises are also profound for institutions such as the RBA who change policy to achieve domestic objectives. The understanding of how internationally based financial crises affect Australia is important particularly wh ....Higher order moment contagion testing: implications of the US subprime mortgage crisis for Australia. Even though crises are usually short lived, the long term implications of changes in asset values may be profound, particularly for superannuation assets. Implications of financial crises are also profound for institutions such as the RBA who change policy to achieve domestic objectives. The understanding of how internationally based financial crises affect Australia is important particularly when domestic inflationary pressures would appear to precipitate the need for the RBA to take the opposite policy stance to that prevalent of central banks internationally. This proposal highlights these relationships to provide insights into portfolio allocation decisions and provides information to facilitate well founded decisions by policy makers.Read moreRead less
Special Research Initiatives - Grant ID: SR0354895
Funder
Australian Research Council
Funding Amount
$40,000.00
Summary
Financial Integrity Research Network (FIRN). FIRN will be directed towards innovation in the integrity and efficiency of Australia's financial system. To address pressing problems and threats associated with this key component of Australia's infrastructure, FIRN will bring together a multi-disciplinary network featuring internationally renowned academics in a unique collaborative research effort which will cross conventional disciplinary boundaries including financial economics, applied statist ....Financial Integrity Research Network (FIRN). FIRN will be directed towards innovation in the integrity and efficiency of Australia's financial system. To address pressing problems and threats associated with this key component of Australia's infrastructure, FIRN will bring together a multi-disciplinary network featuring internationally renowned academics in a unique collaborative research effort which will cross conventional disciplinary boundaries including financial economics, applied statistics, actuarial science, financial mathematics, market micro-structure, accounting and information systems. FIRN will be supported by SIRCA's world-class financial research infrastructure and industry network. It will deliver a range of innovative research, educational, professional development and applied outcomes.Read moreRead less
ARC Financial Integrity Research Network. The integrity of the financial system is constantly under stress because of the development of ever more complex financial instruments, structures and strategies, and the associated research technologies that continues to accelerate worldwide. FIRN's vision is to harness the considerable strengths of Australia's internationally renowned finance, accounting and economics researchers into a research agenda to address issues concerning the integrity of the ....ARC Financial Integrity Research Network. The integrity of the financial system is constantly under stress because of the development of ever more complex financial instruments, structures and strategies, and the associated research technologies that continues to accelerate worldwide. FIRN's vision is to harness the considerable strengths of Australia's internationally renowned finance, accounting and economics researchers into a research agenda to address issues concerning the integrity of the financial system. It will enable Australian research in this area to match the scale and impact of similar research in other major international financial centres, and play an essential role in placing Australia among the world's leaders in financial markets related research.Read moreRead less