Professor Tony Hall

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.

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.

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. 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).

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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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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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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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 Ni±o 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 Ni±o 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 Ni±o Southern Oscillation a few months ahead.

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. & 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., 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.

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.
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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.

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. & 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

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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