Linkage Projects - Grant ID: LP0562008

Funding Activity

Website
http://dataportal.arc.gov.au/NCGP/Web/Grant/Grant/LP0562008

Funding Status
Closed

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Funded Activity Summary

Investment Approaches and Applications in Financial Markets: Evolutionary Kernel Based Subset Time-Series Using Semi-Parametric Approaches. The project will develop new investment assessments based on subset time-series modeling. Innovative evolutionary kernel smoothing algorithms using semi-parametric approaches will be introduced. The project will make three important applications of this modeling in financial markets: a) benchmarking and evaluation of inflation-indexed bonds; b) evaluation of the performance of global diversified investment funds; and c) prediction to provide early warning of the emergence of destabilising deflation or inflation. These three applications will lead to improved risk management practices and investment performance. Recursive algorithms will provide new statistical methods to study investment asset price movements and market volatility.

Funded Activity Details

Start Date: 30-11-2006

End Date: 01-12-2011

Funding Scheme: Linkage Projects

Funding Amount: $446,599.00

Funder: Australian Research Council

Research Topics

ANZSRC Field of Research (FoR)

Stochastic Analysis And Modelling | Statistics | Statistical Theory

ANZSRC Socio-Economic Objective (SEO)

Mathematical sciences | Other |

Other Keywords

Mathematical sciences | Other | Statistical Theory | Statistics | Stochastic Analysis And Modelling

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