Rocode >> Contracting >> StockPrice

Better Superannuation Outcomes:

Fund Indexing, Style and Hedge Funds

This Place Will Alway Be Open

Cluster Project 4

Publications from this work include:

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.
https://rcblog.erc.monash.edu.au/blog/tag/market-impact/


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. Watch a presentation of the Stock Price Systems

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.