Research in empirical
finance and applied financial econometrics

The Auckland Centre for Financial Research strives to achieve excellence in empirical finance and applied financial econometric research by developing world-class researchers, establishing relationships with leading academics and institutes, and engaging with industry.

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Applied Finance Letters

AFL is our open access journal.

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Our people

Members are elected based on the quality of their recent academic research output.

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Featured
microstructure-model
currency-tails
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Featured

LGBT policies impact investor behaviour

This overview is based on the academic paper entitled “LGBT policy, investor trading behavior, and return comovement”, authored by Nhut H. Nguyen, Hung X. Do, Lily Nguyen, Quan M.P. Nguyen

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Mood, music and money: what our Spotify playlists reveal about the emotional nature of financial markets

Our paper finds a new measure of the mood of a nation in a particular point in time which is continuous, and more importantly, language free.

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microstructure-model

Microstructure model based on the Cox-BESQ process with application to optimal execution policy

In this work we build a model to describe the evolution of an asset at high frequency.

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currency-tails

The predictive power of currency tails

Currency tails can explain and predict the evolution of the currency risk premium.

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Natural gas storage forecasts: Is the crowd wiser?

How do crowdsourced forecasts compare to professional predictions? Have a look at our featured research into natural gas storage forecasts.

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