Modelling stock market liquidity in Australia and the Asia Pacific Region

澳大利亚和亚太地区股票市场流动性建模

• 批准号: LP0455281
• 负责人: Prof David Allen
• 金额: $ 21.03万
• 依托单位: Edith Cowan University
• 依托单位国家: 澳大利亚
• 项目类别: Linkage Projects
• 财政年份: 2005
• 资助国家: 澳大利亚
• 起止时间: 2005-02-18 至 2009-01-01
• 项目状态: 已结题
• 来源: https://dataportal.arc.gov.au/RGS/Web/Grants/LP0455281
• 关键词: Modelling; stock; market; liquidity; Australia

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.

该项目将开发评估澳大利亚和亚太地区股票市场流动性的新方法。这些方法将使用行业合作伙伴SIRCA提供的基于高频交易的数据。这些数据将成为衡量市场流动性的智能信息真实的时间算法的基础。它们将纳入时间序列计量经济学最新发展的概括和扩展，并将在统计上加以校准和评价。这些新方法对市场参与者和监管机构至关重要，他们将能够应用它们来评估市场深度和流动性，并大幅降低交易成本。