Understanding the Behaviour and Impact of Bond Markets. [ 2009-01-01 - 2011-12-31 ]

Research Grant

Researchers: Dungey, Mardi (Principal investigator) ,  A/Prof Olan Henry (Chief Investigator) ,  Dr Mardi Dungey (Chief Investigator) ,  Prof Michael McKenzie (Chief Investigator)

Brief description Understanding the Behaviour and Impact of Bond Markets. An improved understanding of the way in which the timing of transactions on financial markets interact enables better choices to be made in terms of designing market systems and conventions. The US Treasury market is arguably the most important market in the world, and uses an expandable limit order book. Better understanding of this market will help in choices about new system design, and in how news transmitted through this market may impact on other markets. In particular this project will consider the role of the microstructure of the US Treasury market in the 2007-2008 financial crisis.

Funding Amount $230,000

Funding Scheme Discovery Projects

View this grant in the ARC Data Portal