Stock Price Impact Models

VicNode ID 2014R14.4

Dr Paul Lajbcygier, Monash University

This collection is comprised of data from a study which focus on stocks that stay within the S&P/ASX200 index during the 2000-2014 periods. We collect two datasets from the Securities Industry Research Centre of Asia-Pacific (SIRCA).The first dataset records details on every order submitted to the ASX central limit order book, including the stock code, the order type (order submission, order revision, order cancellation and execution), the date and time, the order price, the order volume (number of shares), the order value (dollar value), and the order direction (buy or sell order). The second dataset contains information on the intraday bid and ask quotes. The intra-day bid-ask quotes data consist of stock code, date, time, and the best bid and ask quotes in the limit order book.These datasets are processed and analysed using advance queries to study stock price impact models.

Low cost default funds are essential to ensure the best possible retirement outcomes for the majority of Australians. Due to their low cost index funds are expected to provide the platform for many ‘MySuper’ products. We aim to maximize investment outcomes for normal Australian Superannuates over the long run.

Dr Paul Lajbcygier at Monash University was awarded 30 TB of storage for this collection under the RDSI ReDS Scheme—with 20 TB of Vault storage and 10 TB of Computational storage.