Contact
School of Finance & Economics
University of Technology, Sydney
PO Box 123, Broadway
NSW 2007 Australia
Webpage

Professor Anthony D. Hall

Position Held

Professor of Finance and Economics, School of Finance and Economics, University of Technology, Sydney

Employment

1997 - Professor of Economics and Finance, University of Technology, Sydney
2002 - Director, Quantitative Finance Research Centre, University of Technology, Sydney.
2002 Visiting Professor, Economics Department, European University Institute, San Domenico di Fiesole, Italy (April 02).
2000 Jean Monnet Fellow, Economics Department, European University Institute, San Domenico di Fiesole, Italy (September 00 to February 01).
1992-1997 Associate Professor of Finance, School of Business, Bond University
1976-1991 Senior Lecturer in Econometrics, Department of Statistics, Faculty of Economics and Commerce, Australian National University
1989-1991 Visiting Professor of Economics, Department of Economics, University of California, San Diego

Graduate Students

Doctoral (5), Masters (1)

Research Interests

Financial econometrics, Applied Finance,
Term structure models

Selected Research Grants

ARC Discovery Grant, 2003-2005, DP0344335, $110,000 with P. Kofman, “When Markets Fail: A Comparative Assessment of Costs and Benefits of Trade Interruption”.
CMCRC and ac3, 2002-2003, with N. El Hassan, X.He, O-K. Kwon and E. Schlogl, “Computational Finance Research Project”, $440,000.
ARC Large Grant, 1998-99, A79800829, $87,000 with P. Kofman, "Modelling Regulated Derivatives Trading"

Selected Recent Publications

  • A Survival Analysis of Australian Equity Mutual Funds, with A.C. Cameron, Australian Journal of Management, (2003) forthcoming.
  • A Bayesian Approach to Variable Selection in Logistic Regression with Application to Predicting Earnings Direction from Accounting Information, with R. Bird and R. Gerlach, Australian and New Zealand Journal of Statistics, 44 (2002) 155-168.
  • Using Bayesian variable selection methods to choose style factors in global stock return models, with S. Hwang and S.E. Satchell, Journal of Banking and Finance, 26 (2002) 2301-2325.
  • Regulatory tools and price changes in futures markets, with P. Kofman, Australian Economic Papers, 40 (2001) 520-540.
  • The Prediction of Earnings Movements Using Accounting Data: An Update and Extension of Ou and Penman, with R. Bird and R. Gerlach, Journal of Asset Management, 2 (2001) 180-195.
  • Limits to Linear Price Behaviour: Futures Prices Regulated by Limits, with P. Kofman, Journal of Futures Markets, 21 (2001) 463-488.
  • A Nonlinear Time Series Model Of El Niño, with J. Skalin and T. Teräsvirta, Environmental Modelling and Software, 16 (2001) 139-146.
  • The Integrity of Futures Markets: Optimizing Price Limits, with P. Kofman and A. Siouclis, in Models of Futures Markets, B.A. Goss (editor), Routledge, London, (2000) 135-167.