Modelling stock market liquidity using ACD models
Modelling stock market liquidity using ACD models
This research project continues the work of the 2004 ARC linkage grant Modelling Stock Market Liquidity in Australia and the Asia Pacific Region (LP0455281).
Professor David Allen has continued work on applications of Auto-regressive Conditional Density models (ACD) collaborating with Dr Shelton Peiris from The University of Sydney and Dr Nagaratnam Jeyasreedharan from The University of Tasmania.
These models have been the subject of further research and were a component of the PhD thesis of Ms. Josephine Sudiman titled The Impact of Tick Size on Liquidity and Information Asymmetry: Evidence from The Indonesian Stock Exchange (2012). This thesis is still in the process of examination.
Researchers
- Professor David Allen (Lead Chief Investigator);
- Dr Shelton Peiris, University of Sydney (Associate Investigator); and
- Dr Nagaratnam Jeyasreedharan, University of Tasmania (Associate Investigator).