Evaluating the Performance of Active Australian Equity Managers Utilising their Daily Portfolio Holdings and Trades. The aim is to evaluate the performance of active institutional Australian equity fund managers by statistical and mathematical modelling of their trades. Using a unique dataset of daily portfolio holdings and trades, we compare the trading styles of those who have persistently outperformed the market with those that have not so as to reveal drivers of superior performance. Such a ....Evaluating the Performance of Active Australian Equity Managers Utilising their Daily Portfolio Holdings and Trades. The aim is to evaluate the performance of active institutional Australian equity fund managers by statistical and mathematical modelling of their trades. Using a unique dataset of daily portfolio holdings and trades, we compare the trading styles of those who have persistently outperformed the market with those that have not so as to reveal drivers of superior performance. Such a study has been impossible until now due to non-disclosure of trades. Understanding the fundamental origins of fund performance enhances the overall returns to investors, provides a new ratings system yielding superior information, and redirects the nest-eggs of "mums and dads" towards better-performing managers.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
Integrated Financial Fraud Detection in Enterprise Applications. Fraud costs the Australian economy at least $3 billion per year. The incidence of fraud within the Australian economy is increasing. Australian entities are ill-prepared to detect and prevent fraud against their businesses with very few developing or implementing any form of fraud control strategy (AS 8001-2003). The growing use of the Internet by organisations for electronic commerce increases their exposure to fraudulent activiti ....Integrated Financial Fraud Detection in Enterprise Applications. Fraud costs the Australian economy at least $3 billion per year. The incidence of fraud within the Australian economy is increasing. Australian entities are ill-prepared to detect and prevent fraud against their businesses with very few developing or implementing any form of fraud control strategy (AS 8001-2003). The growing use of the Internet by organisations for electronic commerce increases their exposure to fraudulent activities. Inevitably much of the cost of fraud is passed on to the customers and the community at large. By providing large organisations with an approach to assist in detecting fraudulent behaviour in accounting systems, it is envisaged that this research will assist in reducing the impact of fraud on society.Read moreRead less
Intelligent techniques to exploit the dynamic temporal structure in detection of attacks in credit application fraud. Obtaining credit using fraudulent information costs financial institutions billions of dollars. This project develops fraud detection methods in credit applications, working with credit bureau data. Existing fraud detection models are mostly applicable to transaction fraud, rather than application fraud, and are static. Fraudsters however constantly change their method of attack. ....Intelligent techniques to exploit the dynamic temporal structure in detection of attacks in credit application fraud. Obtaining credit using fraudulent information costs financial institutions billions of dollars. This project develops fraud detection methods in credit applications, working with credit bureau data. Existing fraud detection models are mostly applicable to transaction fraud, rather than application fraud, and are static. Fraudsters however constantly change their method of attack. The temporal characteristics of fraud attacks provide an additional source of information that can be exploited to gain increased predictive power. We propose a hybrid intelligent approach to construct models that are sensitive to the temporal dynamics of fraud attacks, and evolve to acknowledge the changing behaviour of fraudsters.Read moreRead less
Practical methodologies for agent-oritented conceptual modelling. Conceptual modelling involves using knowledge representation techniques to support the requirements engineering phase of the software life-cycle. Agent-oriented conceptual modelling is a relatively new technique that offers significant benefits in modelling complex organisational information systems. However, several problems need to be addressed with current agent-oriented conceptual modelling languages and methodologies. In the ....Practical methodologies for agent-oritented conceptual modelling. Conceptual modelling involves using knowledge representation techniques to support the requirements engineering phase of the software life-cycle. Agent-oriented conceptual modelling is a relatively new technique that offers significant benefits in modelling complex organisational information systems. However, several problems need to be addressed with current agent-oriented conceptual modelling languages and methodologies. In the context of a PhD dissertation, this project will develop an improved agent-oriented conceptual modelling framework and related requirements elicitation techniques drawing on advances in Artificial intelligenct, Requireents Engineering and Organisational Semiotics. The practical deliverables of this project will address the needs of a large complex government organisation.Read moreRead less
Fault-Based Test Case Generation for Software. This research explores ways to generate fault based test cases from specifications to verify software applications. This will help to enhance knowledge and skills on frontier software technologies for building and transforming Australian IT industries. The results provide knowledge, methodologies and technologies to software industry in Australia on building better quality software faster. In addition, it will help to reveal faults earlier in the de ....Fault-Based Test Case Generation for Software. This research explores ways to generate fault based test cases from specifications to verify software applications. This will help to enhance knowledge and skills on frontier software technologies for building and transforming Australian IT industries. The results provide knowledge, methodologies and technologies to software industry in Australia on building better quality software faster. In addition, it will help to reveal faults earlier in the development phase. Software companies in Australia can apply these techniques to improve their software development process and, hence, enhance the quality of their product. They can also adapt the knowledge to manage and enhance the quality of their outsourcing projects.Read moreRead less
Semantic Authentication of Visual Data. Data authentication systems can detect the smallest modification to a message. Authentication systems for media objects such as images, and audio and video clips have a different requirement they must ensure authenticity of the content without needing all the changes to be detectable. The aims of this project are to develop a framework for design and analysis of image and video authentication systems, and construct secure and flexible systems that can be ....Semantic Authentication of Visual Data. Data authentication systems can detect the smallest modification to a message. Authentication systems for media objects such as images, and audio and video clips have a different requirement they must ensure authenticity of the content without needing all the changes to be detectable. The aims of this project are to develop a framework for design and analysis of image and video authentication systems, and construct secure and flexible systems that can be used in practice. This research addresses the urgent need of providing security for multimedia objects in electronic commerce and is of high importance to the acceptance of advanced communication and information services.Read moreRead less
Data Exchange and Service Integration with Applications in Health Information Systems. This project will research and develop an innovative new approach to facilitate real data exchange and service integration across different medical organisations. This approach will significantly improve the quality of health care by providing a solid foundation for integrated medical services, offering on demand and effective access to fragmentally stored patients medical information and minimise the number o ....Data Exchange and Service Integration with Applications in Health Information Systems. This project will research and develop an innovative new approach to facilitate real data exchange and service integration across different medical organisations. This approach will significantly improve the quality of health care by providing a solid foundation for integrated medical services, offering on demand and effective access to fragmentally stored patients medical information and minimise the number of data entry errors injected into the medical information systems. The novel integration model will also enable a new autonomous approach for demographic data collection which is essential for evidenced resource allocation, policy making and disease prevention.Read moreRead less
From Business Processes to Process Spaces. A grand challenge facing the next generation service -oriented computing comes from the needs for bringing benefits of services composition to end-users. The project will deliver innovative, useful, and usable concepts and tools to make processes ever more adaptable and sophisticated while becoming simple to access and reuse. The project will provide an ideal opportunity to train research students in cutting edge technologies. It will make significant c ....From Business Processes to Process Spaces. A grand challenge facing the next generation service -oriented computing comes from the needs for bringing benefits of services composition to end-users. The project will deliver innovative, useful, and usable concepts and tools to make processes ever more adaptable and sophisticated while becoming simple to access and reuse. The project will provide an ideal opportunity to train research students in cutting edge technologies. It will make significant contributions to the e-Research and services science paradigms.Read moreRead less