What is causing the growth in dark pools? New research from the Capital Markets Cooperative Research Centre (CMCRC), forthcoming in the Journal of Financial Economics, has found that SEC trading rules may be providing dark venues a regulatory advantage over traditional stock exchanges by allowing some traders to circumvent time priority, leading to the rapid
Politicians could soon be held accountable for all their quotes! A study demonstrates that sequence labelling techniques produce excellent results for quote attribution of the news. Tim O’Keefe CMCRC PhD candidate University of Sydney A/Professor James Curran CMCRC Research Associate University of Sydney Keywords: Information technology, natural language processing News stories are often driven by
Has the introduction of the ASX’s ETF Market Making Scheme improved efficiency and increased trading activity? A new study answers these questions. Jag Dosanjh PhD candidate, U. Sydney Prof. David Michayluk U. of Technology Sydney Dr Elvis Jarnecic Senior Lecturer, U. Sydney Keywords: Capital markets, market design An exchange-traded fund (ETF) is composed of a group
nvestment study shows one way “Flight to Quality” is the way forward for Australian retirees in the long term, especially as it comes with “downside protection”. Camille Schmidt CMCRC PhD Candidate Macquarie Graduate School of Management Professor David Gallagher CMCRC Project Leader Macquarie Graduate School of Management Keywords: Investment Management Future retirees and the baby boomer
A new study looks at evidence from the Sydney Futures Exchange (SFE) on the influence of improved pre-trade transparency (PTT) on the information content of the limit order book (LOB). Kevin Sun CMCRC PhD Researcher U. of South AustraliaHe graduated with a First Class Honours degree from Monash University and was the winner of the
A CMCRC study reveals that prior to the public release of stock recommenda- tions, associated institutions experience abnormal trading volume suggesting evidence of “tipping” to privileged clients. This effect is greatest for small and mid-cap stocks. Ming Ying Lim CMCRC PhD candidate Macquarie U. A/Professor Andrew Lepone CMCRC Research Associate U. of Sydney Keywords: Capital markets,
Underwriters of dividend re-investment plans have a legitimate interest in hedging their exposure by going short. However new evidence from CMCRC researchers finds significant abnormal selling volume in the underwriting broker’s channel during the pricing period resulting in a lower issue price. Sean FoleyLecturer, U. SydneyU. of Sydney Produced in collaboration with Associate Professor Graham
The development of a sophisticated and workable Named Entity Linking (NEL) system will enable the creation of new software allowing users to find vast amounts of news information about a named entity at the touch of a button. Will Radford CMCRC PhD candidate U. of Sydney A/Professor James Curran CMCRC Research Associate U. of Sydney
Do fundamental accounting-based scoring models like the FSCORE and GSCORE predict winners and losers for non-U.S. stocks? A new study tests these models on Australian stocks and finds they perform well. Sean Foley PhD candidate, U. Sydney CMCRC ResearcherAngelo Aspiris CMCRC Research Leader Keywords: Investment management, predictive modelling Fundamental investment managers in the U.S. are well
Chinese policymakers perhaps view stamp duty increases on their share markets as a way of reducing short term speculation and resulting stock price volatility when they believe the market to be overheated; new research examines the implications of this and sees if this policy has been successful. PhD candidate, UNSW, CMCRC ResearcherLynn Zhu is a