Price Discovery in Equity and Volatility Futures for Trading and Hedging

该项目旨在开发一种多变量异步技术，以分析股票指数、波动率指数期货和交易所交易产品的价格发现。该项目期望在金融计量学领域产生新的知识，使用一种创新的混合频率抽样方法来建立可靠的因果推理。该项目的预期成果包括改进的计量经济学理论及其在应用金融中的实施。这应该会在澳大利亚股票指数的价格发现方面提供重大好处，包括有助于澳大利亚基金对冲和交易波动性的见解。

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.