UTS site search

Professor Anthony 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.

Image of Anthony Hall
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.


Hall, A.D. & Satchell, S.E. 2010, 'Computing optimal mean/downside risk frontiers: The role of ellipiticity' in Satchell, S. (ed), Optimizing Optimization: The Next Generation of Optimization Applications and Theory, Elsevier, USA, pp. 179-199.
View/Download from: UTS OPUS
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.
View/Download from: UTS OPUS
Pagan, A.R., Hall, A.D. & Martin, V. 1996, 'Modeling the term structure' in Maddala, G.S. & Rao, C.R. (eds), Handbook of Statistics, Elsevier, US, pp. 91-118.


Hall, A.D., Jacobs, J. & Pagan, A.R. 2013, 'Macroeconometric system modelling @ 75', Ken@75: Conference in Honour of Kenneth F. Wallis, Warwick, UK.

Journal articles

Hall, A.D., Satchell, S.E. & Spence, P.J. 2015, 'Evaluating the impact of inequality constraints and parameter uncertainty on optimal portfolio choice', Applied Economics, vol. 47, no. 45, pp. 4801-4813.
View/Download from: UTS OPUS or Publisher's site
© 2015 Taylor & Francis. We present new analytical results for the impact of portfolio weight constraints on an investor's optimal portfolio when parameter uncertainty is taken into account. While it is well known that parameter uncertainty and imposing weight constraints results in reduced certainty equivalent returns, in the general case, there are no analytical results. In a special case, commonly used in the funds management literature, we derive analytical expression for the certainty equivalent loss that does not depend on the risk aversion parameter. We illustrate our theoretical results using hedge fund data, from the perspective of a fund-of-fund manager. Our contribution is to formalize the framework to investigate this problem, as well as providing tractable analytical solutions that can be implemented using either simulated or asset manager returns.
Lo, D.K. & Hall, A.D. 2015, 'Resiliency of the limit order book', Journal of Economic Dynamics and Control, vol. 61, pp. 222-244.
View/Download from: Publisher's site
© 2015 Elsevier B.V. This study contributes to our understanding of the liquidity replenishment process in limit order book markets. A measure of resiliency is proposed and quantified for different liquidity shocks through the impulse response functions generated from a high frequency vector autoregression. The model reveals a rich set of liquidity dynamics. Liquidity shocks were found to have immediate detrimental effects on other dimensions of liquidity but the replenishment process generally occurs quickly, indicating limit order books are resilient. Cross-sectionally, resiliency is found to be consistently high across all large stocks, consistent with competition for liquidity provision coming from computerized algorithms. For other stocks, greater variation in resiliency is observed, indicating more selective participation by these liquidity providers.
Hall, A.D. & Satchell, S.E. 2013, 'The anatomy of portfolio skewness and kurtosis', Journal of Asset Management, vol. 14, no. 4, pp. 228-235.
View/Download from: UTS OPUS or Publisher's site
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. © 2013 Macmillan Publishers Ltd.
Szidarovszky, F., Coppola, E.A., Long, J., Hall, A.D. & Poulton, M.M. 2007, 'A hybrid artificial neural network-numerical model for ground water problems', Ground Water, vol. 45, no. 5, pp. 590-600.
View/Download from: UTS OPUS or Publisher's site
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). © 2007 National Ground Water Association.
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.
View/Download from: UTS OPUS or Publisher's site
Bird, R., 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.
View/Download from: UTS OPUS or Publisher's site
Hall, A.D. & Hautsch, N. 2006, 'Order aggressiveness and order book dynamics', EMPIRICAL ECONOMICS, vol. 30, no. 4, pp. 973-1005.
View/Download from: UTS OPUS or Publisher's site
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.
View/Download from: UTS OPUS
Cameron, A.C. & Hall, A.D. 2003, 'A Survival Analysis of Australian Equity Mutual Funds'.
View/Download from: UTS OPUS
Determining which types of mutual (or managed) investment funds are good financial investments is complicated by potential surbivorship biases. This project adds to a small recent international literature on the patterns and determinants of mutual fund survivorship. We use statistical techniques for survival data that are rarely applied in finance. Of specific interest is the hazard rate of fund closure, which gives the variation over time in the conditional probability of fund closure given fund survival to date. For a sample of 251 retail investment funds in Australia from 1980 to 1999 we identify a hump-shaped hazard function that reaches its maximum after about five or six years, a pattern similar to the UK findings of Lunde, Timmermann and Blake (1999). We also consider the impact of monthly and annual fund performance (gross and relative to a market benchmark). Returns relative to the benckmark are much more important than gross returns, with hgiher relative returns associated with lower hazard of fund closure. There appears to be an asymmetric response to performance, with positive shocks having a larger impact on the hazard rate than negative shocks.
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 & FINANCE, vol. 26, no. 12, pp. 2301-2325.
View/Download from: UTS OPUS or Publisher's site
Gerlach, R., Bird, R. & Hall, A. 2002, 'Bayesian variable selection in logistic regression: predicting company earnings direction', Australian New Zealand Journal of Statistics, vol. 44, no. 2, pp. 155-168.
View/Download from: UTS OPUS or Publisher's site
Bird, R., Gerlach, R. & Hall, A.D. 2001, 'The prediction of earnings movements using accounting data: An update and extension of Ou and Penman', Journal of Asset Management, vol. 2, no. 2, pp. 180-195.
View/Download from: UTS OPUS or Publisher's site
Hall, A.D. & Kofman, P. 2001, 'Regulatory Tools & Price Changes in Futures Markets', Australian Economic Papers, vol. 40, no. 4, pp. 520-540.
View/Download from: UTS OPUS or Publisher's site
Hall, A.D. & Kofman, P. 2001, 'Limits to linear price behavior: Futures prices regulated by limits', Journal of Futures Markets, vol. 21, no. 5, pp. 463-488.
View/Download from: UTS OPUS or Publisher's site
This article analyzes the behavior of futures prices when the exchange is regulated by price limits. With a model analogous to exchange-rate target-zone models, we tested for the existence of a nonlinear S-shape relation between observed and theoretical futures prices. This phenomenon reflects the adjustments in traders' expectations even when limits are not actually hit. The approach is illustrated for five agricultural futures contracts traded at the Chicago Board of Trade. There is some evidence of nonlinearity in quiet periods. In cases of fundamental realignments, that is, volatile periods, this nonlinearity disappears. © 2001 John Wiley & Sons, Inc.
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.
View/Download from: UTS OPUS or Publisher's site


Hall, A.D. & Hautsch, N., 'A Continuous-Time Measurement of the Buy-Sell Pressure in a Limit Order Book Market'.
In this paper, we investigate the buy and sell arrival process in a limit order book market. Using an intensity framework allows to estimate the simultaneous buy and sell intensity and to derive a continuous-time measure for the buy-sell pressure in the market. Based on limit order book data from the Australian Stock Exchange (ASX), we show that the buy-sell pressure is particularly influenced by recent market and limit orders and the current depth in the ask and bid queue. We find evidence for the hypothesis that traders use order book information in order to infer from the price setting behavior of market participants. Furthermore, our results indicate that the buy-sell pressure is clearly predictable and is a significant determinant of trade-to-trade returns and volatility.