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
Competition and Collaboration in the Market for Digital Publishing. This is a pioneer, in-depth analysis of the shifting relationships and alliances between key stakeholders in digital publishing, in a context of complexity, rapid technological change and Australian involvement in high value electronic information service markets. Using a multi-staged approach, the project aims to identify the fundamental requirements and expectations of key stakeholders in digital publishing. The outcomes will ....Competition and Collaboration in the Market for Digital Publishing. This is a pioneer, in-depth analysis of the shifting relationships and alliances between key stakeholders in digital publishing, in a context of complexity, rapid technological change and Australian involvement in high value electronic information service markets. Using a multi-staged approach, the project aims to identify the fundamental requirements and expectations of key stakeholders in digital publishing. The outcomes will include an ecological analysis of the digital publishing space and a redefinition of value propositions and business models with practical significance for Australia's participation in the information economy in general, and for the development of the digital publishing industry in particular. Read moreRead less
PreferPeer: Towards Efficient Location-aware Preference Search in Mobile Peer-to-Peer Databases. Our research is right in the forefront of ICT research, leading the international effort of extending database technologies to support data management and query processing in very large scale highly mobile data. The proposed PreferPeer stands to open up major research directions in mobile point-to-point computing. Advances in this project will bring significant economic and social benefits to Austral ....PreferPeer: Towards Efficient Location-aware Preference Search in Mobile Peer-to-Peer Databases. Our research is right in the forefront of ICT research, leading the international effort of extending database technologies to support data management and query processing in very large scale highly mobile data. The proposed PreferPeer stands to open up major research directions in mobile point-to-point computing. Advances in this project will bring significant economic and social benefits to Australia. The research outcome of this project will directly benefit the following sectors: telecommunications, transportation, supply chain management, logistics, mobile computing, mobile e-commerce and marketing, air traffic control, defence, and so on, where efficient access to large amounts of highly mobile and distributed information is vital.Read moreRead less
Exploiting Views in Extensible Markup Language (XML) Data Processing. This project addresses an important technical issue in smart information use, which is among Australian National Research Priorities. The techniques developed in this project will enable Australian organizations to build smarter and more efficient information systems, hence making them more competitive in the global market. The problems in this project are technically challenging, solving them in Australia will enhance Austr ....Exploiting Views in Extensible Markup Language (XML) Data Processing. This project addresses an important technical issue in smart information use, which is among Australian National Research Priorities. The techniques developed in this project will enable Australian organizations to build smarter and more efficient information systems, hence making them more competitive in the global market. The problems in this project are technically challenging, solving them in Australia will enhance Australia's international research reputation. The project will also boost Australia's research capability by training PhD and honours students.
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Comparative analysis and exploration of collections of data clusterings. Data clustering is an important technique for extracting knowledge from complex datasets. It is widely used by Australian science, government and industry, in areas such as genomics, proteomics, crime analysis, marketing and customer profiling. This project will develop new techniques that will allow users to explore and analyse collections of data clusterings. This will improve the current generation of clustering softw ....Comparative analysis and exploration of collections of data clusterings. Data clustering is an important technique for extracting knowledge from complex datasets. It is widely used by Australian science, government and industry, in areas such as genomics, proteomics, crime analysis, marketing and customer profiling. This project will develop new techniques that will allow users to explore and analyse collections of data clusterings. This will improve the current generation of clustering software and allow deeper investigation of challenging and complex data.
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SeqSeeker: a search engine for large numbers of very long sequences. Large sets of very long sequences arise in many important domains. Well known examples are time series sequences in financial markets and meteorology and DNA and protein sequences in biology. This project will develop a search system, SeqSeeker, that can perform search on massive databases of such sequences. This will allow experts from many domains to get more value from their data and to investigate datasets which are cu ....SeqSeeker: a search engine for large numbers of very long sequences. Large sets of very long sequences arise in many important domains. Well known examples are time series sequences in financial markets and meteorology and DNA and protein sequences in biology. This project will develop a search system, SeqSeeker, that can perform search on massive databases of such sequences. This will allow experts from many domains to get more value from their data and to investigate datasets which are currently beyond the reach of today's technology.Read moreRead less