Discovery Projects - Grant ID: DP0345680

Funding Activity

Website
http://dataportal.arc.gov.au/NCGP/Web/Grant/Grant/DP0345680

Funding Status
Closed

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Funded Activity Summary

A Complex Systems Approach to Modelling Time-Varying Risk in the Presence of Market Frictions. Risk and return are two fundamental variables underlying all business decisions. Risk is difficult to measure - potentially leading to sub-optimal outcomes needlessly wasting $millions. This project focuses on two important data problems in risk measurement - thin trading and price limits - applying a complex systems approach. Specifically, we develop a new time varying risk estimator from the class of generalised Tobit models - popular in other areas of economics. Using data across several markets, the new risk measure will be developed, applied and compared to existing approaches. This will improve future decision-making - delivering considerable long-term economic benefits.

Funded Activity Details

Start Date: 01-06-2003

End Date: 31-12-2006

Funding Scheme: Discovery Projects

Funding Amount: $116,000.00

Funder: Australian Research Council

Research Topics

ANZSRC Field of Research (FoR)

Finance | Financial Econometrics | Banking, Finance and Investment

ANZSRC Socio-Economic Objective (SEO)

Finance and investment services |

Other Keywords

Banking, Finance and Investment | Finance | Finance and investment services | Financial Econometrics

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