Website
https://dataportal.arc.gov.au/NCGP/API/grants/LP0455281
Funding Status
Closed
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Funded Activity Summary
Modelling stock market liquidity in Australia and the Asia Pacific Region. This project will develop new methods of assessing stock market liquidity in Australia and the Asia-Pacific region. These methods will use high frequency transactions-based data provided by the industry partner, SIRCA. The data will be the basis of smart information real time algorithms for measuring market liquidity. They will incorporate generalizations and extensions of recent developments in time series econometrics, and will be calibrated and evaluated statistically. The novel methods will be crucial to market participants and to regulators, who will be able to apply them to assess market depth and liquidity, and reduce trading costs substantially.Funded Activity Details
Start Date: 02-2005
End Date: 2009
Funding Scheme: Linkage Projects
Funding Amount: $295,000.00
Funder: Australian Research Council
Research Topics
ANZSRC Field of Research (FoR)
Time-Series Analysis | Finance Economics | Econometric And Statistical Methods | Econometrics
