Maker-Taker Fee, Liquidity Competition, and High Frequency Trading
This paper analyzes how a maker-taker fee reduction affects market competition, liquidity, and high frequency trading. The purposes are threefold:
1) whether reducing the exchange maker-taker fee attracts liquidity from off-exchange venues;
Understanding chronic disease comorbidities from Baseline Networks - knowledge discovery utilising administrative healthcare data
Hospitals routinely collect admitted patients’ data for administrative purposes and for reporting to the government and health insurers. These heterogeneous and mostly untapped data contain rich semantic information about patients’ health conditions in the form of standard disease codes.
Conference link 14-11-16
Which institutional investor types are most informed? Evidence from reported portfolio holdings
The funds management industry has grown rapidly over the past decades and plays a vital role in making financial market more efficient and to provide value to its investors. There are a wide variety of institutional investor types, all with different c
Summary 01-08-16
Joint prediction of onset chronic conditions
Chronic conditions can be costly but also preventable as well as predictable. We develop a model to predict in the short term (2-3 years) the onset of one or more chronic conditions. Five chronic conditions are considered: heart disease, stroke, diabetes, hypertension and cancer.
SummaryFull Paper 16-04-16
A long-term study of defendant firms in shareholder class action lawsuits
In the US, shareholders can form a class action to sue a company under S10b-5 of the Securities Exchange Act for allegedly releasing misleading information, or for failing to disclose material information. The substantial cost of litigation, and its associated impact on shareholder value, has prompted debate over whether to reform access to the shareholder class action mechanism. However, the debate is as yet unguided by any study of the long-term financial impact on firms involved in litigation.
Analysis of LAGIC & Solvency II’s Impact on Life Insurers
Solvency II is a European Union (EU) legislative program that introduces a harmonised insurance regulatory regime across the region. The program is one of the first insurance regulations in the world to follow the Basel Accord approach, with a 3-pillar structure that covers capital requirements, risk management and disclosure requirements. In Australia, the Life and General Insurance Capital (LAGIC) regime, which governs life and general insurers, follows a similar approach. In common with Solvency II, LAGIC adopts a risk-based approach for insurers, aimed at tailoring insurers’ capital requirements to their actual risk exposure. This is because the insurance industry is widely considered to be of systemic importance to the financial sector of the economy. This study focuses on Pillar 1, which deals with the capital requirements of the insurance regulations.
Pricing and Hedging of Guaranteed Minimum Benefits in Variable Annuities
The shift from defined benefit to defined contribution superannuation schemes within developed countries has correspondingly increased the importance of retirement savings and investment plans. Variable annuities (VAs) with guaranteed minimum benefits (GMBs) are gaining in popularity as products that can meet the demands of the ageing population. However, guaranteeing policyholders a minimum level of return exposes insurance providers to equity risk.
Limit Order Placement by High-Frequency Traders
The recent high profile court cases in the U.S., UK and China on high frequency trading (HFT) have further elevated the concerns about HFT. In particular, a core issue in the ongoing debate is the impact of HFT on market liquidity.
Dr Hui Zheng (USYD) and Prof. Avanidhar Subrahmanyam (UCLA ) Summary Paper 17-02-16
Predicting Chronic Diseases From Healthcare Data-A Framework Based On Graph Theory And Social Network Measures
The study illustrates a framework to predict the progression of chronic diseases from a new perspective using graph theory and social network analysis methods.
Summary-poster 10-12-15
A framework for administrative claim data to explore healthcare coordination and collaboration
Previous studies have documented the application of electronic health insurance claim data for health services research purposes.
Article Link 08-10-15
Case-mix based peer clustering
We consider the problem of clustering hospitals based on their case-mix distributions. Hospitals belong to the same cluster if they offer the same mix of services and have similar demand for those services. The cluster labels can be used to control for case-mix in hospital level analyses.
24-09-15
Joint prediction of chronic conditions onset: comparing multivariate probits with Multiclass Support Vector Machines
We consider the problem of building accurate models that can predict, in the short term (2-3 years), the onset of one or more specific chronic conditions at individual level.
24-09-15
AN APPROACH TO EMPOWER PATIENTS TO MANAGE DIABETES
Timely information and education can enhance the ability of consumers to make informed choices about their health, lifestyle and modifiable disease risk factors.
24-09-15
Adapting graph theory and social network measures on healthcare data – a new framework to understand chronic disease progression
The paper presents an approach that applies social network theory to understand chronic disease progression.
Submitted to the Australasian Workshop on Health Informatics and Knowledge Management
24-09-15
Exchange Trading Rules, Surveillance and Insider Trading
Are rules and their enforcement effective at mitigating insider trading? A study shows that rules and surveillance together have the potential to mitigate the perpetration of market manipulation but also to exacerbate the profits from such manipulative activities.
Professor Douglas Cumming, Feng Zhan, Professor Michael Aitken Summary Full Article 19-03-15
A Social Network framework to explore healthcare collaboration
A patient-centric approach to healthcare leads to an informal social network among medical professionals.
This chapter presents a research framework to:
View Paper 18-03-15
Leveraging Big Data Analytics to reduce healthcare costs
The healthcare sector deals with large volumes of electronic data related to patient services.
View Paper 18-03-15
Anomalies Detection in Healthcare Services
Srinivasan, U. “Anomalies Detection in Healthcare Services” Using several practical examples of cost and quality-of-care outliers, the author presents a framework to detect outliers and anomalies in healthcare services.
View Paper 18-03-15
Application of network analysis on healthcare
Fei Wang, Uma Srinivasan, Shahadat Uddin, and Sanjay Chawla. “Application of network analysis on healthcare”. In Advances in Social Networks Analysis and Mining (ASONAM), 2013 IEEE/ACM International Conference on IEEE, 2014.
View Paper 18-03-15
Tikhonov or lasso regularization: Which is better and when. In Tools with Artificial Intelligence
Fei Wang, Sanjay Chawla, and Wei Liu. “Tikhonov or lasso regularization: Which is better and when. In Tools with Artificial Intelligence” (ICTAI), 2013 IEEE 25th International Conference on, pages 795–802. IEEE, 2013.
View paper 18-03-15
Data Science and the Policy Completion Problem
Sanjay Chawla, Federico Girosi, Fei Wang “Data Science and the Policy Completion Problem” The link between policy analysis and data science is more delicate than it may appear.
Full Article 16-03-15