Open Access. Powered by Scholars. Published by Universities.®
Physical Sciences and Mathematics Commons™
Open Access. Powered by Scholars. Published by Universities.®
Articles 1 - 3 of 3
Full-Text Articles in Physical Sciences and Mathematics
Applications Of Recursive Estimation Methods In Statistical Process Control, Shelton Peiris, Aerambamoorthy Thavaneswaran, David E. Allen, R. Mellor
Applications Of Recursive Estimation Methods In Statistical Process Control, Shelton Peiris, Aerambamoorthy Thavaneswaran, David E. Allen, R. Mellor
Research outputs pre 2011
In recent years there has been a growing interest in recursive estimation techniques as applied to statistical process control (SPC). In cases where prior information about the processes are available, it is shown that procedures based on the “optimal” smoothing can be superior to the classical procedures like Shewhart’s CUSUM control charts (see, for instance, Thavaneswaran, McPherson and Abraham (1998)). This paper reviews the recursive algorithms based on EWMA (exponentially weighted moving average), DLM (dynamic linear modeling), KF (Kalman filtering) and OS (optimal smoothing) in statistical process control with correlated data. We also discuss various relationships among the asymptotic mean …
Some Evidence On The Information Content Of Undisclosed Limit Orders On The Asx, M. Aitken, David E. Allen, Wenling J. Yang
Some Evidence On The Information Content Of Undisclosed Limit Orders On The Asx, M. Aitken, David E. Allen, Wenling J. Yang
Research outputs pre 2011
This paper is concerned with investigating the information content of undisclosed limit orders, and identifying factors that affect their size, plus the examination of the brokers’ behaviour in using undisclosed orders. We adopt a sample of liquid stocks listed on the ASX, and our estimation results indicate that the size of undisclosed orders are affected by a number of factors. Given the ‘stealth trading’ pattern of behaviour observed in large disclosed orders, this paper provides evidence to support a similar pattern of behaviour in the case of undisclosed orders. Our model also provides an appropriate measure for estimating the size …
Effects Of Bank Funds Management Activities On The Disintermediation Of Bank Deposits, David E. Allen, Jerry T. Parwada
Effects Of Bank Funds Management Activities On The Disintermediation Of Bank Deposits, David E. Allen, Jerry T. Parwada
Research outputs pre 2011
This study investigates the alleged disintermediation of banks’ traditional deposit-taking in favour of investment management activities. Using data on Australian bank-affiliated funds and a nine-year record of the parent banks’ liability balances, this study finds that managed funds do not displace bank liabilities. Prudential capital adequacy requirements dissuade banks from using in-house managed investments as indirect conduits for raising funds in the same manner as deposit-taking.