Website
http://dataportal.arc.gov.au/NCGP/API/grants/DP170101227
Funding Status
Closed
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Funded Activity Summary
Liquidity in financial markets. This project aims to develop a theory which models the effect of liquidity on option prices under different market conditions. Economic or financial crises are inevitable and affect economics. During or after a major financial crisis, market liquidity usually becomes risky and needs to be studied. Through both empirical and theoretical explorations, this project will quantify and measure liquidity risk and its effect on the options markets. It will develop a framework to help market regulators manage illiquidity, enhance the efficiency of option trading in illiquid markets and help in the detection of market manipulation.Funded Activity Details
Start Date: 06-2017
End Date: 12-2021
Funding Scheme: Discovery Projects
Funding Amount: $369,000.00
Funder: Australian Research Council
Research Topics
ANZSRC Field of Research (FoR)
Financial Mathematics | Applied Mathematics | Investment and Risk Management |
ANZSRC Socio-Economic Objective (SEO)
Finance Services | Expanding Knowledge in the Mathematical Sciences
