Macquarie University, Sydney Macquarie University ResearchOnline

Showing items 1 - 15 of 48.

Add to Quick Collection   All 48 Results

Sort:
 Add All Items to Quick Collection
Date: 2013
Language: eng
Resource Type: conference paper
Identifier: http://hdl.handle.net/1959.14/274841
Description: This study examines the impact of corporate earnings announcements on trading activity and speed of price adjustment, analyzing algorithmic and non–algorithmic trades during the immediate period pre– ... More
Reviewed: Reviewed
Date: 2013
Language: eng
Resource Type: conference paper
Identifier: http://hdl.handle.net/1959.14/230472
Description: This study examines the price effects of investment-grade corporate bond transactions on the Australian Securities Exchange. Results indicate that both purchases and sales of exchange traded corporate ... More
Reviewed: Reviewed
Date: 2013
Language: eng
Resource Type: conference paper
Identifier: http://hdl.handle.net/1959.14/230465
Description: This study examines the price behaviour surrounding both director trades, and associated market announcements, for the Australian market. Using a sample of director trades executed between 2005 and 20 ... More
Reviewed: Reviewed
Date: 2012
Language: eng
Resource Type: conference paper
Identifier: http://hdl.handle.net/1959.14/188893
Description: We discuss an optimal asset allocation problem in a wide class of discrete-time regime-switching models including the hidden Markovian regime-switching (HMRS) model, the interactive hidden Markovian r ... More
Reviewed: Reviewed
Date: 2011
Language: eng
Resource Type: conference paper
Identifier: http://hdl.handle.net/1959.14/163384
Description: We consider the portfolio selection problem of a member of a defined contribution pension plan in a hidden Markov-modulated economy modulated by a continuous-time, finite-state, hidden Markov chain wh ... More
Reviewed: Reviewed
Date: 2010
Language: eng
Resource Type: conference paper
Identifier: http://hdl.handle.net/1959.14/294873
Description: This study is the first to examine intraday variations in quoted depth on the Nasdaq, a competitive dealer market. Consistent with prior literature, we document a negative association between the intr ... More
Reviewed: Reviewed
Date: 2010
Language: eng
Resource Type: conference paper
Identifier: http://hdl.handle.net/1959.14/1140920
Description: 14 page(s)
Reviewed: Reviewed
Date: 2010
Language: eng
Resource Type: conference paper
Identifier: http://hdl.handle.net/1959.14/110253
Description: In this paper, we develop an option valuation model in the context of a discrete-time multivariate Markov chain model using the Esscher transform. The multivariate Markov chain provides a flexible way ... More
Full Text: Full Text
Reviewed: Reviewed
Authors: Ferris, Shauna
Date: 2009
Language: eng
Resource Type: conference paper
Identifier: http://hdl.handle.net/1959.14/154883
Description: This paper describes the causes of the collapse of the Penn Square Bank in 1982, and the flow on effects to the US financial system - that is, it examines the systemic risk factors. The paper makes co ... More
Reviewed: Reviewed
Date: 2008
Language: eng
Resource Type: conference paper
Identifier: http://hdl.handle.net/1959.14/139844
Description: A risk minimization problem is considered in a continuous-time Markovian regime-switching financial model modulated by a continuous-time, finite-state Markov chain. We interpret the states of the chai ... More
Full Text: Full Text
Reviewed: Reviewed
Date: 2008
Language: eng
Resource Type: conference paper
Identifier: http://hdl.handle.net/1959.14/1170205
Description: 6 page(s)
Reviewed: Reviewed
Date: 2007
Language: eng
Resource Type: conference paper
Identifier: http://hdl.handle.net/1959.14/139076
Description: Recently Markov-modulated compound Poisson models have gained its popularity in modelling insurance claims in the actuarial science literature. A Markov-modulated compound Poisson model can provide a ... More
Full Text: Full Text
Reviewed: Reviewed
Date: 2007
Language: eng
Resource Type: conference paper
Identifier: http://hdl.handle.net/1959.14/83476
Description: Under the new capital accord stress tests are to be included in market risk regulatory capital calculations. This development necessitates a coherent and objective framework for stress testing portfol ... More
Reviewed: Reviewed
Date: 2007
Language: eng
Resource Type: conference paper
Identifier: http://hdl.handle.net/1959.14/138056
Description: In this note, we summarize some of our recent works on pricing derivative securities under nonlinear time series models.
Reviewed: Reviewed
Date: 2007
Language: eng
Resource Type: conference paper
Identifier: http://hdl.handle.net/1959.14/89684
Description: In this paper we propose a simple approach that allows us to track the impact of capital market size on the risk/return profile of capital markets. The thought motivating the study is that markets of ... More
Full Text: Full Text
Reviewed: Reviewed