H69 - Economics and Business Building
The University of Sydney
NSW 2006 Australia
|Telephone||+61 2 9036 9308|
Dr. Tina Viljoen has a PhD in Finance from the University of Sydney. Her research interests and expertise are primarily in the areas of security microstructure on issues related to high frequency trading and efficiency of capital markets.
She also holds a Bachelor of Information Systems, from the University of Johannesburg, South Africa and an honours and master degree in Investment Management at the same institution.
Gerace D, Zheng H, Westerholm J and Viljoen T 2015 Forthcoming 'Dynamic Trading Strategies With Fleeting Orders', World Finance Conference, Buenos Aires, Argentina, 24th July 2015
Viljoen T, Westerholm J and Zheng H 2014 'Algorithmic Trading, Liquidity, and Price Discovery: An Intraday Analysis of the SPI 200 Futures', The Financial Review (Special Issue on Computerized and High-Frequency Trading), vol.49:2, pp. 245-70
Frino A, Viljoen T, Westerholm J, Zheng H and Wang GHK 2013 'Are Algorithmic Trades Informed? An Empirical Analysis of Algorithmic Trading around Earnings Announcements (Semifinalist for one of four best paper awards - Market Microstructure category)', Financial Management Association Annual Meeting FMA 2013, Chicago, United States, 19th October 2013
Frino A, Viljoen T, Wang GHK, Westerholm J and Zheng H 2013 'Are Algorithmic Trades Informed? An Empirical Analysis of Algorithmic Trading Around Earnings Announcements (Semifinalist for the CFA Institute Research Award)', Financial Management Association Asia Conference 2013, Shanghai, China, 19th April 2013
Frino A, Viljoen T, Wang GHK, Westerholm J and Zheng H 2013 'Are Algorithmic Trades Informed? An Empirical Analysis of Algorithmic Trading Around Earnings Announcements', The Symposium on the Financial Econometrics and Market Microstructure 2013, Melbourne, Australia, 1st February 2013
Viljoen T, Westerholm J and Zheng H 2012 'Fleeting Orders and Dynamic Trading Strategies', 10th INFINITI Conference on International Finance, Dublin, Ireland, 12th June 2012
Viljoen T, Westerholm J and Zheng H 2011 'Liquidity and Price Discovery of Algorithmic Trading: An Intraday Analysis on the SPI Futures Contract', 24th Australasian Finance and Banking Conference 2011, Sydney, Australia, 16th December 2011
Viljoen T, Westerholm J and Zheng H 2010 'The effect on liquidity and spreads from the introduction of algorithmic trading', 8th INFINITI Conference on International Finance, Dublin, Ireland, 15th June 2010
2014 - 2015
The aim of this project is to test the following hypotheses in the Australian share markets:
This research has important implications for insider trading regulation, and is expected to contribute to greater market efficiency, integrity and fairness. The outcomes will promote theoretical developments in the literature that ultimately will help policy makers to optimise the trade-off between protecting uninformed investors from trading with insiders, versus the ability of insiders to trade freely on public information. At the end of this project we aim to provide distinct policy recommendations regarding methods for detecting and measuring insider trading in three areas a) trades connected directly to the insider’s family, b) trades connected to directors with interlocking directorships with an insider and c) trades connected to employees of securities firms. Our previous research provides strong indications that increased transparency of all trades that directors and their network of past and present associates are involved with, will significantly reduce the profitability of trades based on inside information.
CIFR Research Project