Price Discovery in Equity and Volatility Futures for Trading and Hedging. This project aims to develop a multivariate asynchronous technique to analyse the price discovery of movements in equity stock indices, volatility index futures and exchange traded products. This project expects to generate new knowledge in the area of financial econometrics using an innovative mixed frequency sampling approach to establish robust causal inferences. Expected outcomes of the project include enhanced econome ....Price Discovery in Equity and Volatility Futures for Trading and Hedging. This project aims to develop a multivariate asynchronous technique to analyse the price discovery of movements in equity stock indices, volatility index futures and exchange traded products. This project expects to generate new knowledge in the area of financial econometrics using an innovative mixed frequency sampling approach to establish robust causal inferences. Expected outcomes of the project include enhanced econometric theory and its implementation in applied finance. This should provide significant benefits in the price discovery of the equity index in Australia, including insights that will help Australian funds in hedging and trading volatility.Read moreRead less
Australian Laureate Fellowships - Grant ID: FL120100034
Funder
Australian Research Council
Funding Amount
$2,002,560.00
Summary
Black swans and unknown unknowns: financial markets and their interaction with the macroeconomy in the presence of unanticipated contingencies. Unforeseen contingencies, also called 'black swans' or 'unknown unknowns' pose serious difficulties for decisionmakers. This project will examine how financial regulation can be improved to reduce the vulnerability of the financial system and the macroeconomy to unforeseen shocks.
Hedge Funds in Superannuation Portfolios: Are the Returns Worth the Risks? In recent years superannuation funds have delivered negative returns to members due to poorly performing stockmarkets. In striving to achieve higher rates of return, superannuation trustees have commenced allocating retirement savings to a new type of investment opportunity, termed hedge funds. There is a paucity of research about this new type of investment, particularly relating to the non-linear nature of hedge funds ....Hedge Funds in Superannuation Portfolios: Are the Returns Worth the Risks? In recent years superannuation funds have delivered negative returns to members due to poorly performing stockmarkets. In striving to achieve higher rates of return, superannuation trustees have commenced allocating retirement savings to a new type of investment opportunity, termed hedge funds. There is a paucity of research about this new type of investment, particularly relating to the non-linear nature of hedge funds returns. This study will investigate the risk and return trade-off of including hedge funds in superannuation portfolios and provide trustees with empirical tools to determine the optimal allocation to hedge funds.Read moreRead less
Transforming Banking Service Delivery Through Connected Communities. This project aims to develop a deeper understanding of the potential that the increased connectedness between customers has for organisations in the services sector. The massive uptake of social technologies demonstrates the high demand for connectedness. However, to date corporations and their customers have insufficient means to utilise such communities. Using the banking sector as an example, the project's outcomes intend to ....Transforming Banking Service Delivery Through Connected Communities. This project aims to develop a deeper understanding of the potential that the increased connectedness between customers has for organisations in the services sector. The massive uptake of social technologies demonstrates the high demand for connectedness. However, to date corporations and their customers have insufficient means to utilise such communities. Using the banking sector as an example, the project's outcomes intend to show how digital communities can improve the delivery of services and facilitate new co-delivery and brokerage models.Read moreRead less
Modelling the Risk of Defined Contribution Superannuation Plans. The provision of retirement income is undergoing significant change - a shift from unfunded social security towards private funding and, within the privately funded sector, a shift from defined-benefit (DB) to defined-contribution (DC) plans. The research will develop a new framework, based on stochastic simulation, to undertake innovative critical analyses of the riskiness of DC superannuation plans. It extends existing work by ....Modelling the Risk of Defined Contribution Superannuation Plans. The provision of retirement income is undergoing significant change - a shift from unfunded social security towards private funding and, within the privately funded sector, a shift from defined-benefit (DB) to defined-contribution (DC) plans. The research will develop a new framework, based on stochastic simulation, to undertake innovative critical analyses of the riskiness of DC superannuation plans. It extends existing work by the inclusion of insitutional, regulatory and labour market features of the superannuation system. The results of the research, based on more finite modelling and greater economic accuracy, will be vital in informing retirement policy.Read moreRead less
The Management of Asymmetric Risk in a Modern Investment Portfolio. Due to compulsory superannuation legislation, the future lifestyle of all Australians is dependent upon the successful management of investment funds. A large component of funds management is risk management. This project will generate practical management tools to enable portfolio managers to significantly enhance their risk-management strategies. A direct link between risk management and performance drives funds managers to ....The Management of Asymmetric Risk in a Modern Investment Portfolio. Due to compulsory superannuation legislation, the future lifestyle of all Australians is dependent upon the successful management of investment funds. A large component of funds management is risk management. This project will generate practical management tools to enable portfolio managers to significantly enhance their risk-management strategies. A direct link between risk management and performance drives funds managers to carefully manage their risk exposure. Any developments that reduce the risk of a portfolio will ultimately enhance portfolio returns. Higher returns on superannuation investments will result in an improved future standard of living for all Australians.Read moreRead less
An econometric investigation of technical analysis as a portfolio selection strategy in Australia. This project will provide an in-depth analysis of the returns of portfolios of Australian equities formed by using technical trading rules. The research will determine whether or not any abnormal returns earned by these means are attributable to firm-specific or market-wide factors. This project represents the first attempt to interpret technical analysis in a portfolio framework and will provide v ....An econometric investigation of technical analysis as a portfolio selection strategy in Australia. This project will provide an in-depth analysis of the returns of portfolios of Australian equities formed by using technical trading rules. The research will determine whether or not any abnormal returns earned by these means are attributable to firm-specific or market-wide factors. This project represents the first attempt to interpret technical analysis in a portfolio framework and will provide valuable information on the informational efficiency of Australian capital markets. As there is currently no single definitive study of technical analysis in Australia, this project will fill a significant void in the current academic literature and provide evidence of great practical relevance to Australian investment practitioners.Read moreRead less
Eat, cook, grow: Ubiquitous technology for sustainable food culture in the city. Raising people's awareness of healthy and ecological food options with nutritional data and educational information does not foster a sustained practice towards a more environmentally friendly food culture. This study seeks to develop a better understanding how to go beyond just informing and into supporting and sustaining action and change. Drawing on interaction design, ubiquitous computing and real- time informat ....Eat, cook, grow: Ubiquitous technology for sustainable food culture in the city. Raising people's awareness of healthy and ecological food options with nutritional data and educational information does not foster a sustained practice towards a more environmentally friendly food culture. This study seeks to develop a better understanding how to go beyond just informing and into supporting and sustaining action and change. Drawing on interaction design, ubiquitous computing and real- time information, the study will deliver research findings that inform viable new design approaches and information interfaces which will strengthen Australia's position to resolve the problems of obesity, malnutrition and ecological issues of mass food processing, and contribute to the sustainability of life in Australian cities.Read moreRead less
Linkage Infrastructure, Equipment And Facilities - Grant ID: LE0775726
Funder
Australian Research Council
Funding Amount
$306,270.00
Summary
Australian Mirror of the UCSC Genome Database and Browser. Modern medical, biological, agricultural, and environmental research and industries are being transformed by access to genomic information that details the DNA sequence of various species, as well as of different strains and individuals within populations. This information is being generated at an exponentially increasing speed, and requires large computational resources. This facility will provide Australian researchers, R&D organizati ....Australian Mirror of the UCSC Genome Database and Browser. Modern medical, biological, agricultural, and environmental research and industries are being transformed by access to genomic information that details the DNA sequence of various species, as well as of different strains and individuals within populations. This information is being generated at an exponentially increasing speed, and requires large computational resources. This facility will provide Australian researchers, R&D organizations and industry with state-of-the-art genomic data storage and analysis capability, which will permit both public and proprietary access, and accelerate Australian research and development in genetic medicine, pharmaceuticals, animal breeding and biodiversity.Read moreRead less
Security Applications of Combinatorial Puzzles. This project provides a basis for improving the implementation and maintenance of key management systems. The application of discrete mathematics to information security will help safeguard Australia, will provide opportunities for Australians to take a leading role in an important area and will develop a research network, bridging both theoretical and practical aspects of mathematics and computer science. The project will enhance Australia's inter ....Security Applications of Combinatorial Puzzles. This project provides a basis for improving the implementation and maintenance of key management systems. The application of discrete mathematics to information security will help safeguard Australia, will provide opportunities for Australians to take a leading role in an important area and will develop a research network, bridging both theoretical and practical aspects of mathematics and computer science. The project will enhance Australia's international reputation by establishing collaborations with well-respected international mathematicians and computer scientists. The proposal contains topics suitable for the training of new graduates, allowing them to make high quality original research contributions in a novel and important area. Read moreRead less