Modelling stock market liquidity in Australia and the Asia Pacific Region

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。这些方法将使用由行业合作伙伴SIRCA提供的高频基于事务的数据。这些数据将成为衡量市场流动性的智能信息实时算法的基础。它们将纳入时间序列计量经济学最新发展的概括和扩展，并将进行校准和统计评估。这些新方法对市场参与者和监管机构至关重要，他们将能够运用这些方法评估市场深度和流动性，并大幅降低交易成本。

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.