Michael Aitken

Research Interests

• Security Market Design (Microstructure) with a special interest in the design of electronic surveillance systems

Publications

Working Papers

• Price and volume effects associated with changes in the composition of the All Ordinaries Index, with Carole Comerton-Forde.
• Intraday trading patterns on the Jakarta Stock Exchange, with Carole Comerton-Forde
• Do closing call markets improve market efficiency?, with Carole Comerton-Forde
• Investigation of Trading in Alternative Security Types on SEATS, with Marvin Wee and Ruben Segara.
• The Impact of Warrant Introductions on the Behaviour of Underlying Securities: Australian Evidence, with Rueben Segara.
  The Intraday Behaviour of the Bid/Ask Schedule Under an Automated Trading Regime, with P Brown and T Walter.
• Intraday Patterns in Returns, Trading Volume, Volatility and Trading Frequency on SEATS, with P Brown and T Walter.
• Infrequent Trading and Firm Size Affects as Explanantiosn for Intraday patterns in Returns of SEATS with P brown and T Walter
• Estimating the premium charged by uninformed investors for participating in the Australian Equities Market with Philip Brown and Marvin Wee.
• PO Price Adjustment Dynamics and Aftermarket Price Discovery, with Frederick H. deB. Harris, Thomas H. McInish and Kathryn Wong, 2002.
• The Impact of Governemnt Bond Tender Offers on Derivative Markets: Australian Evidence, with Natalie Oh and Terry Walter, 2002.
• The Impact of Removing Odd Lots on the Efficiency of the ASX, 2001.
• The Determinanats of Market Impact Cost of Institutional Trading on the ASX, with Nial Almeida, 2002
• The Premium Charged by Uninformed Traders (in particular Passive Institutional) on the ASX, with Nial Almeida, 2002.

Teaching Responsibilities

• PhD Program

Administrative Responsibilities

• CEO, Capital Markets Cooperative Research Centre

Other Information

• 1983-91 Eight Faculty of Commerce Special Research Grants supporting work on the effects of deregulation on the Australian
  securities industry. ($25,000 cash)
• 1989 Unisearch Research Grant with Roger Simnett to develop a bankruptcy prediction model for use by auditors. ($6,500 cash)
• 1990 Australian Stock Exchange Personal Grant to study the microstructure of Australian share markets. ($50,000 cash)
• 1991 Coopers and Lybrand Research Grant to study the information content of segmental reporting. ($1,500 cash)
• 1991 Coopers and Lybrand Research Grant to set up electronic database for prices and financial history information. ($9,000 cash)
• 1990-2 Australian Research Council Grant with Professors Philip Brown and Terry Walter to investigate aspects of the microstructure of Australian share markets. ($66,568 cash)
• 1992-5 Australian Research Council Grant with P Swan to investigate the efficiency and welfare effects of
  simultaneous trading by brokers as principals and agents. ($148,000 cash)
• 1992-4 Australian Stock Exchange Personal Research Grant to study the quality of Australian markets. ($120,000 cash)
• 1993 University of Sydney Research Grant, to study the use of segment reporting by firms that are diversified, with J Pickering. ($4,000 cash)
• 1993 Digital Equipment Corporation Innovators Program, involving the securing of a DEC 3000 alpha machine. ($140,000 in kind)
• 1994-6 Australian Research Council, Collaborative Grant, with P Brown, H Izan and T Walter to study various aspects of the microstructure of Australian equity markets. ($694,000 cash, $300,000 in kind).
• 1994 Australian Research Council, Mechanism C, with P Brown, H Izan and T Walter to provide infrastructure funding to support co-operation between the Australian Stock Exchange and the University system. ($143,000 cash).
• 1995-7 Australian Research Council, Collaborative Grant, with P Booth and G Bradley to study various aspects of the microstructure of Australian wholesale security (OTC) markets. ($800,000 cash, $1,208,600 in kind)
• 1995-7 Australian Research Council, Large Grant, with P Swan to study the costs and benefits of dual trading. ($150,000)
• 1996 Australian Research Council, Infrastructure Grant, with P Swan et al. to establish a centralised computing resource for 11 universities. (ARC - $700,000 cash). Associated funding from Faculty and Central Administration ($300,000 cash)
• 1997-9 Australian Research Council, Collaborative Grant, with A Frino, M McCorry, P Swan, and T Walter to study various aspects of the microstructure of the Sydney Futures Exchange. ($750,000 cash, $250,000 in kind)
• 1997-9 Australian Stock Exchange, Research Infrastructure Grant to sustain the work of SIRCA ($1,200,000)
• 1998-00 Australian Research Council, Collaborative Grant, with P Booth, R Faff and T Valentine to study various aspects of the microstructure of Australian wholesale security (OTC) markets. ($780,000 cash, $1,000,000 in kind)
• 1999-01 IDAP Australia-China Links Research Programme, with P Swan to assist with "Improving the Efficiency and Regulatory Environment of Chinese Security Exchanges" ($191,000)
• 2000-03 Australian Research Council, Collaborative Grant, with M. Briers, C. Plott and H. Outhred to study the development of a market for emission trading. ($510,000 cash, $300,000 in kind)
• 1999 Australian Research Council, Research Infrastructure and Facilities Grant with D. Stokes to sustain the work of SIRCA ($1,110,000: ARC $540,000: industry/universities $550,000)
• 2001-03 Australian Research Council, SPIRT Grant, with A. Frino to research the efficiency of the automation process in futures markets ($570,000: ARC $300,000: Industry $270,000)
• 2001-06 Aus-Industry, Cooperative Research Centre Program, CRC for Technology Enabled Capital Markets to continue a decade of research and development into technological innovation in capital markets (approximately $62 million: Government $14.2 million, Industry $7.5 million cash and $17.6 million in-kind, Universities $4.7 million cash and $18 million in-kind)
• 2002-05 Systemic Infrastructure Initiative (SII), with Michael Briers and Don Stokes to continue the development of
  infrastructure for SIRCA ($8.7 million - Government $5.2 million, Universities $2.5 million, Industry $1 million).