Call for Papers – Third Sirca Young Researcher Workshop, November 2013

In May 2012 Sirca announced a series of initiatives that provide additional member benefits. These initiatives are all directed at enhancing research training and research support for our members. They are being overseen by a newly created Membership Research Committee (MRC) and the appointment of Professor Terry Walter as Sirca’s Chief Research Officer.

One such initiative is a Young Researcher Workshop. Under this proposal young researchers working or studying in member universities will travel to Sydney (with travel and accommodation costs being met by Sirca) to present their current finance or accounting research, and to receive expert commentary on the research from a member of the MRC. The Workshop will be held twice per year and five papers will be presented at each workshop.

We now invite young researchers to submit a current research paper for possible inclusion in the third workshop. Submitted papers should be sufficiently advanced to benefit from feedback and suggestions from a seminar presentation. Send papers to the following email address The deadline for submission is 15 September 2013. Notification of the six papers to be included will be made by 16 October 2013, at which time we will also advise the nominated MRC referee who will discuss the paper at the workshop. These six presentations will be made on Friday 8 November 2013. Sirca will also invite a further group of nine young researchers to the workshop as attendees and to participate in shorter research presentations in the afternoon of 7 November 2013. Discussions of these shorter presentations will be provided by young researchers attending the workshop. Sirca will meet all reasonable travel and accommodation costs for the presenters and the invited attendees.

To qualify for inclusion at least one of the authors of the submitted paper must be a young researcher. We define a young researcher to be a person currently engaged in PhD research or one whose PhD thesis was completed less than five years ago. We particularly encourage young researchers in regional universities to apply for the workshop. We prefer papers that are sole authored by a young researcher, however jointly authored papers also qualify.

Sirca wants to track the progress of papers submitted at this workshop and therefore be kept informed of publication outcomes.

The MRC has the following academic members:

  • Kevin Davis (Chairman, Member of the Sirca Limited Board)
  • Terry Walter (Sirca, CRO)
  • Henk Berkman (University of Auckland)
  • Carole Comerton-Forde (University of Melbourne)
  • Mardi Dungey (University of Tasmania)
  • Robert Faff (University of Queensland)
  • Bruce Grundy (University of Melbourne)
  • Ray da Silva Rosa (University of Western Australia)
  • Petko Kalev (University of South Australia)
  • Dave Michayluk (UTS)

Winners of Sirca research prize at the 24th Australasian Banking & Finance Conference

Sirca has been a long term supporter of the Australasian Finance and Banking Conference, organised by the Institute of Global Finance and School of Banking & Finance at the Australian School of Business at UNSW. For many years we have sponsored the Sirca research prize which recognises the best paper to have made use of Sirca data.

We have two sets of winners for the 2011 prize:

Serkan Honeine and Peter L. Swan, “What are the Determinants of Board Performance: Skin in the Game, Composition, Diversity Size?” (see


Chris Single and Russell Poskitt, “Why is US dollar bond funding for international banks more expensive?” (see

Congratulations to the winners and many thanks to the 26 other contenders.

Tick History – time series data

Regular readers of Dinkum Data will know that I have a tendancy to blabber on about the vastness of the Thomson Reuters Tick History resource, and other Sirca datasets, and the incredible value of all this to academic research. Where else can you have a go at measuring the impact of Bulgarian football results on the price of pork bellies!

Many models lend themselves to comparing datasets which have been measured at uniform time intervals, thus removing some of the complexity and noise created by differing underlying market structures. Whilst this obviously removes much relevant rawness, it does nevertheless constitute a valid and active way forward for research.

We often get asked about how data can be retrieved from Tick History in the form of a time series. Tick History does make certain tools available for this. They will by no means please everyone, given the number of different ways time series data can de derived, but it is an important aspect of the database to understand.

After you log on to the database, set up a new request with the assets which you are researching, and set the relevant time period.

Now click on the “Fields” tab, next to “Message Type:” select “Intraday” from the drop-down menu. A further drop-down menu will appear and you will see that you can select between a time period of 1 second, 5 seconds, 1 minute, 5 minutes, 10 minutes, 15 minutes and 1 hour.

You will note in the “Selected Fields:” box on the right of your screen that the database will default in the following fields:

Open, High, Low, Last, Volume, Average Executions Price, VWAP, and No. of Trades

In otherwords, the database does quite a bit of work for you over the time period which you select, by calculating certain bands, averages and aggregates.

A word of caution though, you will need to think through the asset classes and markets which you select. The databasewill not display data where this is not available (eg. VWAP for Foreign Exchange indicative dealable prices), and it does not know when a market is open and shut (eg. large after market block trades, versus smaller average trades during market hours). Have a good think therefore about the underlying market structures of the data you are seeking to retrieve before you set this up, and obviously do not hesitate to contact us if you get stuck.