Modelling stock market liquidity using ACD models
As an extension of work on the 2004 ARC linkage grant LP0455281 Modelling stock market liquidity in Australia and the Asia Pacific Region, Professor Allen has continued work on applications of Auto-regressive Conditional Density models (ACD) collaborating with Dr Shelton Peiris of the University of Sydney and Dr. Nagaratnam Jeyasreedharan, University of Tasmania who is visiting FEMARC and the School for collaborative research purposes in 2009/2010.