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Professor Tony Hall


Tony Hall holds a PhD in econometrics (London School of Economics, 1976). He has taught econometrics at the Australian National University and the University of California, San Diego and finance at the School of Business, Bond University and the University of Technology, Sydney. He has publications in a number of the leading international journals in econometrics, economics and finance including the Review of Economics and Statistics, Review of Economic Studies, International Economic Review, Journal of Econometrics, Econometric Theory, Journal of Business & Economic Statistics, Biometrika, Journal of Futures Markets, Journal of Financial Markets and Journal of Banking and Finance. His research interests cover all aspects of financial econometrics.

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Professor of Financial Economics, Finance Discipline Group
BEc (Hons) (Adel), MEc (ANU), PhD (London)
+61 2 9514 7729

Research Interests

Applied financial econometrics, interest rate modelling, time series methods in econometrics and statistical inference in econometrics.

Can supervise: Yes

Finance; Financial Econometrics; Applied Finance.

Book Chapters

Hall, A.D. & Satchell, S.E. 2010, 'Computing optimal mean/downside risk frontiers: The role of ellipiticity' in Satchell, S (eds), Optimizing Optimization: The Next Generation of Optimization Applications and Theory, Elsevier, USA, pp. 179-199.
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The purpose of this chapter is to analyze and calculate optimal mean/downside risk frontiers for financial portfolios. Focusing on the twO important cases of mean/value at risk and mean/semivariance, we compute analytic expressions for the optimal frontier in the two asset case, where the returns follow an arbitrary (nonnormal) distribution. Our analysis highlights the role of the normality/ellipticity assumption in this area of research. Formulae for mean/variance, mean/expected loss, and meanlsemistandard deviation frontiers are presented under normality/ellipticity. Computational issues are discussed and two propositions that facilitate computation are provided. Finally, the methodology is extended to nonelliptical distributions where simulation procedures are introduced. These can be presented jointly with our analytical approach to give portfolio managers deeper insights into the properties of optimal portfolios.
Hall, A.D. & Hautsch, N. 2008, 'Order aggressiveness and order book dynamics' in Bauwens, L; Pohlmeier, W; Veredas, D (eds), High Frequency Financial Econometrics: Recent Developments, Physica-Verlag, USA, pp. 133-165.
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Pagan, A.R., Hall, A.D. & Martin, V.L. 1996, 'Modeling the term structure' in G.S. Maddala and C.R. Rao (eds), Handbook of Statistics, Elsevier, US, pp. 91-118.

Conference Papers

Hall, A.D., Mercorelli, L.R. & Michayluk, D.M. 2010, 'Modelling adverse selection on electronic order-driven markets', UTS Market Microstructure Conference, Sydney, Australia, March 2010.
Mercorelli, L.R., Michayluk, D.M. & Hall, A.D. 2008, 'Modeling adverse selection on electronic order-driven markets', Seminar Presentation, UBS, Sydney, Australia, May 2008.
Mercorelli, L.R., Michayluk, D.M. & Hall, A.D. 2007, 'Modelling adverse selection on electronic order-driven markets', Seminar Paper, Reserve Bank of Australia, Sydney, Australia, November 2007.
Hall, A.D. 2003, 'Modelling financial markets transactions data: The intensity of trading', Econometric Methodology Conference: The Norwegian Academy of Science and Letters, Oslo, Norway, August 2003 in Econometric Methodology Conference: The Norwegian Academy of Science and Letters, ed --, --, --.
Hall, A.D., Hautsch, N. & McCulloch, J.D. 2003, 'Estimating the intensity of buy and sell arrivals in a limit order book market', European Meeting of the Econometric Society, Stockholm, Sweden, August 2003 in 58th European Meeting of the Econometric Society, ed --, European Meeting of Economtric Society, Stickholm, Sweden, pp. 1-23.
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Hall, A.D., Kofman, P. & McCulloch, J.D. 2003, 'ASX spreads', Australasian Meeting of the Econometric Society, Sydney, Australia, July 2003 in Australasian Meeting of the Econometric Society, ed --, --, --.

Journal Articles

Hall, A.D. & Satchell, S.E. 2013, 'The anatomy of portfolio skewness and kurtosis', The Journal of Asset Management, vol. 14, no. 4, pp. 228-235.
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This article re-examines portfolio higher moments, skewness and kurtosis, to see whether this information can be used to improve portfolio construction and to diagnose any mis-specification of models for portfolio returns. In common with most discussion of quantitative portfolio risk, we assume a linear factor model framework, and some empirical calculations using data from the components of the Dow Jones Industrial Index are carried out. The major insight that we glean from this exercise is that a well-diversified portfolio of skewed stocks can have a symmetric distribution unless we pay some attention to the third moment structure. These ideas are likely to have some potential application to fund of fund construction and the matching of bespoke portfolios to the risk attributes of high-net worth investors.
Hall, A.D. & Hautsch, N. 2007, 'Modelling the Buy and Sell Intensity in a Limit Order Book Market', Journal of Financial Markets, vol. 10, no. 3, pp. 249-286.
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In this paper, we model the buy and sell arrival process in the limit order book market at the Australian Stock Exchange. Using a bivariate autoregressive intensity model we analyze the contemporaneous buy and sell intensity as a function of the state of the market. We find evidence that trading decisions are both information as well as liquidity driven. Confirming predictions from market microstructure theory traders submit market orders by inferring from the recent order flow and the book with respect to upper and lower tail expectations as well as trading directions. However, traders also tend to take liquidity when the liquidity supply is high. Moreover, we findevidence that traders pay more attention to recent order arrivals and the current state of the order book than to the past order flow.
Szidarovszky, F., Coppola, E., Long, J., Hall, A.D. & Poulton, M.M. 2007, 'A Hybrid Artificial Neural Network-Numerical Model for Ground Water Problems', Journal of Ground Water, vol. 45, no. 5, pp. 590-600.
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Numerical models constitute the most advanced physical-based methods for modeling complex ground water systems. Spatial and/or temporal variability of aquifer parameters, boundary conditions, and initial conditions (for transient simulations) can be assigned across the numerical model domain. While this constitutes a powerful modeling advantage, it also presents the formidable challenge of overcoming parameter uncertainty, which, to date, has not been satisfactorily resolved, inevitably producing model prediction errors. In previous research, artificial neural networks (ANNs), developed with more accessible field data, have achieved excellent predictive accuracy over discrete stress periods at site-specific field locations in complex ground water systems. In an effort to combine the relative advantages of numerical models and ANNs, a new modeling paradigm is presented. The ANN models generate accurate predictions for a limited number of field locations. Appending them to a numerical model produces an overdetermined system of equations, which can be solved using a variety of mathematical techniques, potentially yielding more accurate numerical predictions. Mathematical theory and a simple two-dimensional example are presented to overview relevant mathematical and modeling issues. Two of the three methods for solving the overdetermined system achieved an overall improvement in numerical model accuracy for various levels of synthetic ANN errors using relatively few constrained head values (i.e., cells), which, while demonstrating promise, requires further research. This hybrid approach is not limited to ANN technology; it can be used with other approaches for improving numerical model predictions, such as regression or support vector machines (SVMs).
Bird, R.G., Hall, A.D., Momente, F. & Reggiani, F. 2007, 'What Corporate Social Responsibility Activities are Valued by the Market?', Journal of Business Ethics, vol. 76, no. 2, pp. 189-206.
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Corporate management is torn between either focusing solely on the interests of stockholders (the neo-classical view) or taking into account the interests of a wide spectrum of stakeholders (the stakeholder theory view). Of course, there need be no conflict where taking the wider view is also consistent with maximising stockholder wealth. In this paper, we examine the extent to which a conflict actually exists by examining the relationship between a company's positive (strengths) and negative (concerns) corporate social responsibility (CSR) activities and equity performance. In general, we find little evidence to suggest that managers taking a wider stakeholder perspective will jeopardise the interest of its stockholders. However, our findings do suggest that the market is not only influenced by the independent CSR activities, but also the totality of these activities and that the facets that they value do vary over time. It seems that most recently, the market has valued most firms that satisfied minimum requirements in the areas of diversity and environmental protection but were most proactive in the area of employee-relations.
Hall, A.D. & Hautsch, N. 2006, 'Order aggressiveness and order book dynamics', Empirical Economics, vol. 30, no. 4, pp. 973-1005.
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In this paper, we study the determinants of order aggressiveness and traders' order submission strategy in an open limit order book market. Applying an order classification scheme, we model the most aggressive market orders, limit orders as well as cance
Hall, A.D., Szidarovszky, F. & Zhao, J. 2005, 'Some notes on a dynamic model of international fishing', Pure Mathematics and Applications, vol. 15, no. 1, pp. 45-54.
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Cameron, A.C. & Hall, A.D. 2003, 'A survival analysis of Australian equity mutual funds', Australian Journal of Management, vol. 28, no. 2, pp. 209-226.
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Hall, A.D., Hwang, S. & Satchell, S.E. 2002, 'Using bayesian variable selection methods to choose style factors in global stock return models', Journal of Banking and Finance, vol. 26, no. 12, pp. 2301-2325.
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Gerlach, R., Bird, R.G. & Hall, A.D. 2002, 'Bayesian variable selection in logistic regression: predicting company earnings direction', Australian & New Zealand Journal of Statistics, vol. 42, no. 2, pp. 155-168.
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Bird, R.G., Gerlach, R. & Hall, A.D. 2001, 'The Prediction of Earnings Movements Using Accounting Data: An Update & Extension of Ou and Penman', Journal of Asset Management, vol. 2, no. 2, pp. 180-195.
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Hall, A.D., Skalin, J. & Terasvirta, T. 2001, 'A Nonlinear Time Series Model of El Nino', Environmental Modelling & Software, vol. 16, no. 2, pp. 139-146.
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A smooth transition autoregressive model is estimated for the Southern Oscillation Index, an index commonly used as a measure of El Nio events. Using standard measures there is no indication of nonstationarity in the index. A logistic smooth transition autoregressive model describes the most turbulent periods in the data (these correspond to El Nio events) better than a linear autoregressive model. The estimated nonlinear model passes a battery of diagnostic tests. A generalised impulse response function indicates local instability, but as deterministic extrapolation from the estimated model converges, the nonlinear model may still be useful for forecasting the El Nio Southern Oscillation a few months ahead.
Hall, A.D. & Kofman, P. 2001, 'Regulatory Tools & Price Changes in Futures Markets', Australian Economic Papers, vol. 40, no. 4, pp. 520-540.
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Hall, A.D. & Kofman, P. 2001, 'Limits to Linear Price Behaviour: Future Prices Regulated by Limits', Journal of Future Markets, vol. 21, no. 5, pp. 463-488.
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Hall, A.D., Anderson, H.M. & Granger, C. 1992, 'A Cointegration Analysis Of Treasury Bill Yields', Review Of Economics And Statistics, vol. 74, no. 1, pp. 116-126.
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This paper shows that yields to maturity of U.S. Treasury bills are cointegrated, and that during periods when the Federal Reserve specifically targeted short-term interest rates, the spreads between yields of different maturity define the cointegrating
Pesaran, M. & Hall, A.D. 1988, 'Tests Of Non-nested Linear-regression Models Subject To Linear Restrictions', Economics Letters, vol. 27, no. 4, pp. 341-348.
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The standard methods for testing between non-nested or separate regression models require that the models have the same dependent variable. If the models are subject to non-homogeneous linear restrictions, substituting out these restrictions results in a redefinition of the dependent variable before estimation and the standard results will not apply. We derive a Wald-type test statistic to cater for this situation.
Pagan, A.R., Hall, A.D. & Trivedi, P. 1983, 'Assessing the variability of inflation', Review of Economic Studies, vol. 50, no. 163, pp. 585-596.
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Hall, A.D. 1983, 'Confidence Contours For 2 Test Statistics For Non-nested Regression-models', Journal Of Econometrics, vol. 21, no. 1, pp. 155-160.
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In this note we use the concept of implicit null hypotheses introduced by Mizon and Richard (1982) to clarify the relationship between the two test procedures discussed by Pesaran (1974) for testing non-nested regression models. These procedures are, firstly, Pesaran+s version of the Cox (1961,1962) modified likelihood ratio test statistic and, secondly, the `comprehensive test+ which is the usual classical test obtained from combining the two competing models. In particular, we suggest that the two testing procedures have markedly different confidence contours as a result of having different implicit null hypotheses,
Pagan, A.R. & Hall, A.D. 1983, 'Diagnostic tests as residual analysis', Econometric Reviews, vol. 2, no. 2, pp. 159-218.
Many applied workers are strongly oriented to residual analysis for assessing model adequacy. Formal test statistics of adequacy however are frequently derived from likelihood theory, particularly through Lagrange Multipliers. In contraGt, the present paper derives the formal statistics by concentrating Upon the distribution of residuals. It is shown that most existing tests can be derived in this way from a few elementary principles of specification analysis. One advantage of this alternative methodology is that it highlights some difficulties in existing approaches and simultaneously indicates a resolution of them; a good example being testing for heteroscedasticity in simultaneous equations. Other issues such as independence and robustness of diagnostic tests are also easily explored within the proposed framework.
Hall, A.D. & Pagan, A.R. 1981, 'The LIML and related estimators of an equation with moving average disturbances', International Economic Review, vol. 22, no. 3, pp. 719-730.
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Investigates the efficacy of using the limited information maximum likelihood (LIML) estimation in solving the analogous situation in an ordinary simultaneous equation problem for a model with moving average disturbance. Interpretation of an ordinary LIML estimator as a version of a seemingly unrelated regression estimator; Identification of various consistent estimators after during the LIML estimator

Other research activity

Mercorelli, L.R., Michayluk, D.M. & Hall, A.D. 2008, 'Modelling adverse selection on electronic order-driven markets', Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney.
Research Paper Number: 220 Abstract: The vast majority of models that decompose the bid/ask spread assume the quote-driven, specialist structure of the NYSE. This paper critically evaluates these models to construct a model specific for an electronic order-driven exchange. The model not only captures adverse selection and the impact of order flows on price discovery but it includes the imbalance of supply and demand inherent in the public limit order book. With this new model we investigate the change to anonymity on the Australian Securities Exchange (ASX). Following the change to anonymity, both adverse selection and the demand/supply imbalance have an increased impact on prices while order flow has a decreased influence, suggesting the change to anonymity has improved market efficiency. The model also uncovers a change in traders++ behavior once their fear of front-running is reduced. We show that the model is stable and robust across high liquidity stocks as well as stocks with as few as 5 trades per day.
Hall, A.D. & Hautsch, N. 2004, 'A continuous-time measurement of the buy-sell pressure in a limit order book market (QFRC paper #121)'.
Cameron, A.C. & Hall, A.D. 2003, 'A survival analysis of Australian equity mutual funds (QFRC paper #94)'.
Kofman, P. & Hall, A.D. 2003, 'When markets fail: a comparative assessment of costs & benefits of trade interruption', ARC Discovery Grant.
Hall, A.D., Kofman, P. & Manaster, S. 2001, 'Migration of price discovery with constrained futures markets', Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney.
Research Paper Number: 70 Abstract: This paper investigates the information content of futures option prices when the futures price is regulated while the futures option price itself is not. The New York Board of Trade provides the empirical setting for this type of dichotomy in regulation. Most commodity derivatives markets regulate prices of all derivatives on a particular commodity simultaneously. NYBOT has taken an almost unique position by imposing daily price limits on their futures contracts while leaving the options prices on these futures contracts unconstrained. The study takes a particular interest in the volatility and futures prices of the options-implied risk neutral density when the underlying futures contract is locked limit.
Gerlach, R., Bird, R.G. & Hall, A.D. 2000, 'A Bayesian approach to variable selection in logistic regression with application to predicting earnings direction from accounting information', Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney.
Research Paper Number: 47 Abstract: This paper presents a Bayesian technique for the estimation of a logistic regression model including variable selection. The model is used, as in Ou and Penman (1989), to predict the direction of company earnings, one year ahead of time, from a large set of accounting variables from financial statements. We present a Markov chain Monte Carlo sampling scheme, that includes the variable selection technique of Smith and Kohn (1996) and the non-Gaussian estimation method of Mira and Tierney (1997), to estimate the model. The technique is applied to companies in the United States, United Kingdom and Australia. This extends the analysis of Ou and Penman (1989) who studied United States companies only. The results obtained compare favourably to the technique used in Ou and Penamn (1989) for all three regions.
Hall, A.D., Hwang, S. & Satchell, S.E. 2000, 'Using Bayesian variable selection methods to choose style factors in global stock return', Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney.
Research Paper Number: 31 Abstract: This paper applies Bayesian variable selection methods from the statistics literature to give guidance in the decision to include/omit factors in a global (linear factor) stock return model. Once one has accounted for country and sector, it is possible to see which style or styles best explains current asset returns. This study does not find compelling evidence for global styles, once country and sector have been accounted for.