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Grant Award View - GA28899

Monitoring financial bubbles using high-frequency data

Contact Details

ARC NCGP General Enquiries

:
02 6287 6600

:

GA ID:
GA28899
Agency:
Australian Research Council
Approval Date:
27-Nov-2018
Publish Date:
18-Dec-2018
Category:
Humanities, Arts and Social Sciences (HASS) Research
Grant Term:
1-Jan-2019 to 31-Dec-2022
Original: 1-Jan-2019 to 31-Dec-2021
Value (AUD):
$371,771.46 (GST inclusive where applicable)
Original: $375,000.00
Variations:
One-off/Ad hoc:
No
Aggregate Grant Award:
No
PBS Program Name:
ARC 18/19 Discovery
Grant Program:
Discovery Early Career Researcher Award
Grant Activity:
Monitoring financial bubbles using high-frequency data
Purpose:
This project aims to develop an econometric procedure for monitoring speculative behaviour, often labelled as bubbles, in financial markets. There has been widespread recognition that financial speculation can inflict harm on the real economy. Crises or recessions are often preceded by excessive asset market speculation. This project will utilise intraday information for bubble detection and address major technical challenges arising from high-frequency financial data. It is expected to significantly improve the speed and accuracy of bubble detection, thereby providing more timely and precise warning alerts for investment decisions, market surveillance and policy action.
GO ID:
GO896
GO Title:
Discovery Early Career Researcher Award commencing in 2019
Internal Reference ID:
DE19 Round 1
Selection Process:
Targeted or Restricted Competitive
Confidentiality - Contract:
No
Confidentiality - Outputs:
No

Grant Recipient Details
Recipient Name:
Macquarie University
Recipient ABN:
90 952 801 237

Grant Recipient Location
Suburb:
MACQUARIE UNIVERSITY
Town/City:
MACQUARIE UNIVERSITY
Postcode:
2109
State/Territory:
NSW
Country:
AUSTRALIA

Grant Delivery Location
State/Territory:
NSW
Postcode:
2109
Country:
AUSTRALIA

Contact Details

ARC NCGP General Enquiries

:
02 6287 6600

: