Rocode >> Contracting >> StockPrice
Better Superannuation Outcomes:
Fund Indexing, Style and Hedge Funds
Publications from this work include:
- The information content of special orders
Huu Nhan Duong & Paul Lajbcygier & Van Hoang Vu, Pacific-Basin Finance Journal, TBA 2016
- A Comparison of the Forecasting Ability of Immediate Price Impact Models
Manh Cuong Pham & Huu Nhan Duong & Paul Lajbcygier, Journal of Forecasting, TBA 2016
A working paper has been submitted and has been uploaded to SSRN:
We used a number of MySQL databases to host the ASX orderbook and quote data collected from SIRCA.
The databases where hosted using virtual machines on NeCTAR cloud.
A record for the project may be found on the Research @ Cloud Monash blog.
Immediate Price Impact
The work was accepted for exhibition at the Conference on Recent Developments in Financial Econometrics and Applications on 5 December 2014.
Our study of immediate price impact was conducted using a virtual machines running Windows Server 2012.
A set of PowerPoint slides were made during 2014 detailing the stock price system and maybe found via this link.
A suite of SQL scripts were executed to generate statistics for a range of stock price trading impact algorithims.
This output was post processed using Microsoft Excel and R.
A number of pages are created detailing the usage of a collection of virtual machines on NeCTAR.