Price Discovery in Equity and Volatility Futures for Trading and Hedging

用于交易和对冲的股票和波动率期货的价格发现

• 批准号: DP230101472
• 负责人: Prof Gulasekaran Rajaguru
• 金额: $ 17.71万
• 依托单位: Bond University
• 依托单位国家: 澳大利亚
• 项目类别: Discovery Projects
• 财政年份: 2023
• 资助国家: 澳大利亚
• 起止时间: 2023-01-01 至 2025-12-31
• 项目状态: 未结题
• 来源: https://dataportal.arc.gov.au/RGS/Web/Grants/DP230101472
• 关键词: Price; Discovery; Equity; Volatility; Futures

This project aims to develop a multivariate asynchronous technique to analyse the price discovery of movements in equity stock indices, volatility index futures and exchange traded products. This project expects to generate new knowledge in the area of financial econometrics using an innovative mixed frequency sampling approach to establish robust causal inferences. Expected outcomes of the project include enhanced econometric theory and its implementation in applied finance. This should provide significant benefits in the price discovery of the equity index in Australia, including insights that will help Australian funds in hedging and trading volatility.

本项目旨在开发一种多元异步技术，以分析股票指数、波动指数期货和交易所交易产品的价格发现。该项目预计将在金融计量经济学领域产生新的知识，使用创新的混合频率抽样方法来建立强大的因果推理。该项目的预期成果包括加强计量经济学理论及其在应用金融中的应用。这将为澳大利亚股票指数的价格发现带来重大好处，包括有助于澳大利亚基金对冲和交易波动的见解。