DOMAIN-DRIVEN LOCAL EXCEPTIONAL PATTERN MINING FOR
Contact CMCRC for this article Author(s): Yuming Ou, Longbing Cao, Chao Luo and Chengqi Zhang
MACHINE LEARNING TECHNIQUES AND USE OF EVENT INFORMATION FOR STOCK MARKET PREDICTION: A SURVEY AND EVALUATION
Contact CMCRC for this article Author(s): Paul D. Yoo, Maria H. Kim, Tony Jan
HOW DOES DARK TRADING AFFECT PRICE DISCOVERY?
Price discovery (as an element of market efficiency) is one of the cornerstones of market quality the other being market fairness. Research by the CMCRC illustrates how recent developments in Dark Trading in the Canadian stock market have affected the efficiency of these markets relative to their southern near neighbour market. We find that the
SPAIN, IRELAND AND THE EURO CRISIS
The impact of the GFC in Europe has been, or perhaps remains, arguably more severe than the Great Depression in terms of breadth, depth and persistence. Notwithstanding the capital requirement regime for banks that is governed by the various Basel accords, there is a straightforward policy proposal that addresses the majority of the failings exposed
CAN DISCRETION PREDICT DIRECTOR RETURNS?
Directors execute trades in their companies’ shares for a variety of reasons. Their actions may have information value for other investors seeking to mimic these strategies. This paper tests whether directors’ discretionary trading has a predictive value, and also provides a better understanding of the information flow in equity markets. Sean Hardy USYD, CIFR /
OWNERSHIP CONCENTRATION, INDUSTRIAL COMPETITION AND INFORMATION ASYMMETRY
Managers and major shareholders typically have an information advantage over outside investors when trading a company’s shares. Numerous studies have been done into the relation between ownership concentration, industry competition and information asymmetry, but rarely using Australian data. The output of this study is particularly relevant for regulators, as it examines conditions that might limit
HEDGING AND IMMUNIZATION OF LONGEVITY RISK
Increasing life expectancy rates are extending the liability profiles of annuity income providers. However, the challenge of devising asset allocation strategies to fund these liabilities is complicated by a lack of appropriate assets. This thesis demonstrates portfolio management strategies to address this challenge. Estelle Liu UNSW, CIFR / CMCRC Honours Scholarship Program 2014 Keywords: Annuity, risk
IS THERE AN OPTIMAL CLOSING PRICE MECHANISM?
Concerns regarding the prevalence of manipulation of closing prices have prompted substantial changes to the mechanisms used to close trading at stock exchanges around the world. Nicholas Cordi USYD, CIFR / CMCRC Honours Scholarship Program 2014 Sean Foley USYD Keywords: Close price, Random Auction Ending, Manipulation Closing prices are important for, among others, benchmarking
AN INTRODUCTION TO ACTIVE LEARNING, AND ITS APPLICATION TO BUSINESS COACHING
Speaker: Tom Osborn Seminar Date: Tuesday November 21 12:00pm Brief abstract: Active learning is a branch of semi-supervised machine learning for domains where data is expensive and where precise understanding is critical. Traditionally, active learning builds a model of a domain with a trade-off between exploration and exploitation probing of a domain to generate labelled data usefully. Earlier applications
APPLYING THE LESSONS OF START-UPS TO CORPORATE INNOVATION
Speaker: Andrew Stead, Firemark Labs Seminar Date: Tuesday November 14 12:00pm Brief abstract: The growing gap between customer expectations and what corporates are able to deliver is being filled by start-ups. Unencumbered by legacy systems and shareholder demands, start-ups are free to seek opportunities to create value for and own the customer. IAG has built Firemark to respond