Associate Professor Craig Ellis

Associate Pro Vice-Chancellor (Education) - Business and Law

 
A graduate of UWS Macarthur, Craig returned to UWS in 2001 having previously lectured at the University of Technology Sydney for over six years.  Craig has published in many international finance and science journals including  ‘Chaos Solitons and Fractals’, ‘International Review of Financial Analysis’,  ‘Japan and the World Economy’, ‘Physica A’ and ‘Economics Letters’. His  research interests include non-linear dynamics and forecasting. Craig has  previously held roles within the School of Economics and Finance as Associate  Head of School (Teaching & Learning) and as Associate Dean Academic for the  College of Business and Law.  

Areas of Research / Teaching Expertise include;

• learning and teaching interests
• corporate finance; financial economics; international finance; portfolio management
• research interests
• capital market efficiency; non-linear dynamics in financial asset  prices; technical analysis in financial markets.

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Positions Current and Previous

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Qualifications

Awards

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Publications

Refereed journal articles

• Franco-Laverde, J., Littlewood, A., Ellis, C., Schraner, I. and Varua, M. 2012. FMCG Portfolio Budget Allocation to Price Promotions Using Modern Portfolio Theory (MPT). International Review of Business Research Papers. 8(5). 16-30
• Sundmacher, M. and  Ellis, C. 2011. Bank ‘ratings arbitrage’: Is LGD a blind spot in economic  capital calculations? International Review of Financial Analysis. 20(1). 6-11.Presented at the 13th Finsia – Melbourne Centre for Financial Studies, Banking and Finance Conference. Melbourne, Australia. September 29-30, 2008 as “Economic Capital, Loan Pricing and ‘Ratings Arbitrage’"
• Batten, J., Ellis, C. and Fetherston, T. 2008. Sample Period Selection  and Long-Term Dependence: New Evidence from the Dow Jones. Chaos Solitons and  Fractals. 36(5) 1126-1140.Presented at the 2005 Econophysics Colloquium. Canberra, Australia. Nov 14-18, 2005
• Ellis, C., Wilson, P. and Zurbruegg, R. 2007. Real Estate ‘Value’ Stocks  and International Diversification. Journal of Property Research. 24(3) 265 –  287. Presented at the Twelfth Pacific Rim Real Estate Society Conference. Auckland, New Zealand. January 22-25, 2006
• Ellis, C. and Hudson, C. 2007. Scale Adjusted Volatility and the Dow  Jones Index. Physica A. 378 (2). 374-386
• Ellis, C. 2007. The Sampling Properties of Hurst Exponent Estimates. Physica  A. 375(1) 159-173
• Ellis, C. and Wilson, P. 2006. Expert System Portfolios of Australian  and UK Securitised Property Investments. Pacific Rim Property Research Journal.  12(1). 107-128
• Ellis, C. 2006. The Mis-specification of the Expected Rescaled Adjusted Range. Physica A. 363 (2). 469-476
• Ellis, C. and Parbery, S. 2005. Is Smarter Better? A Comparison of Adaptive and Simple Moving Average Trading Strategies. Research in International Business and Finance. 19(3). 399-411
• Ellis, C. and Wilson, P. 2005. Can a Neural Network Property Portfolio Selection Process Outperform the Property Market? Journal of Real Estate Portfolio Management. 11(2). 105-121.Presented at the 2004 FMA Annual Meeting. New Orleans, USA. Oct 6-9, 2004
• Batten, J., Ellis, C. and Hogan, W. 2005. Decomposing Intraday Dependence in Currency Markets: Evidence from the AUD/USD Spot Market. Physica  A. 352 (2-4). 558-572

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• Batten, J., and Ellis, C. 2005. Parameter Estimation Bias and Volatility Scaling in Black-Scholes Option Prices. International Review of Financial Analysis. 14 (2). 165-176. Presented at the Annual Research Conference in Financial Risk. Budapest, Hungary. July 12-14, 2000, and at the 7th Annual Conference of the Multinational Finance Society. Philadelphia, USA. April 5-8, 2000 as “Foreign Exchange Market Volatility and the ‘Interval Effect’”.
• Batten, J., Ellis, C. and Fetherston, T. 2005. Return Anomalies on the Nikkei: Are They Statistical Illusions? Chaos Solitons and Fractals. 23 (4). 1125-1136. Presented at the 13th Annual PACAP/FMA Finance Conference. Seoul, Korea. July 5-7, 2001, and at the Annual Research Conference in Financial Risk. Budapest, Hungary. July 12-14, 2001 as “Are Long-Term Return Anomalies on the Nikkei Statistical Illusions?”
• Ellis, C. and Wilson, P. 2005. A Stochastic Approach to Modelling the USD/AUD Exchange Rate. International Journal of Managerial Finance. 1 (1).  36-48. Presented at the 2004 FMA Annual Meeting. New Orleans, USA.. Oct 6-9, 2004 as "A Stochastic Approach to Modelling and Forecasting Dependent Time-Series"
• Ellis, C. and Wilson, P. 2004. Another Look at the Forecast Performance of ARFIMA Models. International Review of Financial Analysis. 13 (1). 63-81.
  Presented at the 2003 FMA Annual Meeting. Denver. Oct 10-12, 2003. Also presented at the 12th Annual PACAP/FMA Finance Conference. Melbourne, Australia. July 6-8, 2000
• Batten, J., Ellis, C. and Hogan, W. 2003. The Behaviour of Credit Spreads on Yen Denominated Eurobonds. International Journal of Applied Economics and Econometrics. 11(3). 335-358
• Batten, J., Ellis, C. and Hogan, W. 2002. Scaling the Volatility of Credit Spreads: Evidence from Australian Dollar Eurobonds. International Review of Financial Analysis. 11 (3). 331-344
  Presented at the 11th Annual PACAP/FMA Finance Conference. Singapore. July 8-10, 1999
• Batten, J. and Ellis, C. 2001. Scaling Relationships of Gaussian Processes. Economics Letters. 72 (3). 291-296. Presented at the Annual Research Conference in Financial Risk. Budapest, Hungary. July 12-14, 2001
• Batten, J., Ellis, C. and Fetherston, T. 2000. Are Long-Term Return Anomalies Illusions: Evidence from the Spot Yen. Japan and the World Economy. (12) 4. 337-349.
  Presented at the 2000 European FMA Finance Conference. May 25-26, Edinburgh, UK. Also presented at the 2000 FMA Annual Meeting. October 25-28, Seattle, USA.
• Wilson, P., Okunev, J, Ellis, C. and Higgins, D. 2000. Comparing Univariate Forecasting Techniques in Property Markets. Journal of Real Estate Portfolio Management. 6(3). 283-306.
  Presented at the 15th American Real Estate Society Conference. Tampa, USA. April 7-10, 1999
• Batten, J., Ellis, C. and Mellor, R. 1999. Scaling Laws in Variance as a Measure of Long-Term Dependence. International Review of Financial Analysis. 8(2). 123-138.
  Presented at the European Financial Management Association Conference. Barcelona, Spain. June 3-4, 1999
• Ellis, C. 1999. Estimation of the ARFIMA (p, d, q) Fractional Differencing Parameter (d) Using the Classical Rescaled Adjusted Range Technique. International Review of Financial Analysis. 8(1). 53-65.
  Presented at the 10th Annual PACAP/FMA Finance Conference. Kuala Lumpur, Malaysia.. October 26-28, 1998
• Batten, J. and Ellis, C. 1996a. Fractal Structures and Naive Trading Systems: Evidence from the Spot US Dollar/Japanese Yen. Japan and the World Economy. 8. 411-421.
  Presented at the APFA/PACAP Finance Conference. Taipei. July 8-10, 1996.
• Batten, J. and Ellis, C. 1996b. Technical Trading System Performance in the Australian Share Market: Some Empirical Evidence. Asia Pacific Journal of Management. 13 (1). 87-99
  Presented at the 3rd Annual Conference on Asia Pacific Financial Markets. Singapore. September 9-11, 1993

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Book chapters

• Ellis, C. and Sundmacher, M. 2009a. The  Economic Implications of Volatility Scaling by the Square-Root-of-Time Rule.  In: Gregoriou, G.N. (ed.), Stock Market  Volatility, Taylor and Francis: London
• Ellis, C. And Sundmacher, M. 2009b. How  'Normal' are Emerging Market Returns? In: Gregoriou, G.N. (ed.), Emerging Markets: Performance Analysis and  Innovation, Taylor and Francis: London
• Ellis, C. and Hogan, W. 2006. The Distribution of Yen Denominated Credit  Spreads. In Jonathan A. Batten, Thomas A. Fetherston and Peter G. Szilagyi,  Editors, Japanese Fixed Income Markets: Money, Bond and Interest Rate  Derivatives. Elsevier-North Holland: Netherlands

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Mongraphs and refereed proceedings  

• Ellis, C. and Sundmacher, M. 2011. Dependence and Return Distributions During Crises: Evidence From Emerging Asian Economics. In: Batten, J.A. and Szilagyi, P.G. (eds), The Impact of the Global Financial Crisis on Emerging Financial Markets. Contemporary Studies in Economics and Financial Analysis. Volume 86. Emerald Books: United Kingdom. 449-471
• Ellis, C. 2005. Does Statistical Dependence Matter? Evidence from the USD/AUD. In: Batten, J.A. and Fetherston, T.A. (eds), Asian Pacific Financial Markets in Comparative Perspective: Issues and Implications for the 21st Century. Contemporary Studies in Economics and Financial Analysis. Volume 86. Elsevier Science: Netherlands. 53-72
• Ellis, C., and Wilson, P. 2005. The Use of Expert Systems in Property Portfolio Construction. Proceedings of the Financial Markets Asia Pacific 2005 Conference. ISBN 1 74108 096 7
• Batten, J. Ellis, C. and Hogan, W. 2000. The Time-Series Properties of Credit Spreads: Evidence from Australian Dollar Eurobonds. Advances in Pacific Basin Financial Markets. Volume VI. 261-293
• Ellis, C. 2000. Teaching Finance Using Spreadsheets: A Case History. Finance Educators Conference. Proceedings of the 2000 Annual Conference. 93-105. ISBN 0 7300 0841 X
• Batten, J. and Ellis, C. 1998. Statistical Long-Term Dependence in Currency Futures Markets. Advances in Pacific Basin Financial Markets. Volume IV. 159-170
• Batten, J. and Ellis, C. 1996c. Fractal Structures in Currency Markets: Evidence from the Spot Australian/U.S.Dollar. Advances in Pacific Basin Financial Markets. Volume II. 173-181.
  Presented at the Asia Pacific Finance Association 1st Annual Conference. Sydney, Australia. September 28-30, 1994

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Working Papers

• Batten, J., Ellis, C. and Fetherston, T. 2004. Return Anomalies on the Nikkei: Are They Statistical Illusions? University of Western Sydney. Australasian Finance Working Papers Series. 4(1). May
• Batten, J. Ellis, C. and Hogan, W. 2004. Price Discovery and Dependence in the AUD/USD Spot Market. University of Western Sydney. Australasian Finance Working Papers Series. 4 (1). May.
  Presented at the 2002 FMA Annual Meeting. San Antonio. October 16-19 as “Time Varying Dependence in the Intraday AUD/USD Spot Market”
• Batten, J. and Ellis, C. 2001. Scaling Relationships of Gaussian Processes. Deakin University. School of Accounting & Finance Working Paper No: 2001_02
• Batten, J. and Ellis, C. 2001. Scaling Foreign Exchange Volatility. Deakin University. School of Accounting & Finance Working Paper No: 2001_01
• Ellis, C. and Wilson, P. 1999. A Stochastic Approach to Modelling and Forecasting Dependent Time-Series. University of Technology, Sydney. Quantitative Finance Research Group Research Paper. 26. December.
  Presented at the 2002 APFA/PACAP/FMA Finance Conference. Tokyo. July 14-17, 2002
• Batten, J. and Ellis, C. 1999. Volatility Scaling in Foreign Exchange Markets. Nanyang Technological University. Centre for Research in Financial Services Working Paper Series. 99-04. April
• Batten, J., Ellis, C. and Hogan, W. 1999. Scaling the Volatility of Credit Spreads: Evidence from Australian Dollar Eurobonds. Nanyang Technological University. Centre for Research in Financial Services Working Paper Series. 99-03. April
• Ellis, C. 1999. The Price of Risk. University of Technology, Sydney. School of Finance and Economics Working Paper Series. No. 86. August
• Ellis, C. 1998. Modelling the Expected Value of the Classical Rescaled Adjusted Range for Long-term Dependent Series. University of Technology, Sydney. School of Finance and Economics Working Paper Series. No. 79. April
• Ellis, C. 1996. Mis-specification in the Estimation of the Expected Rescaled Adjusted Range Statistic: the Case versus Peters. University of Technology, Sydney. School of Finance and Economics Working Paper Series. No. 69. October
• Batten, J. and Ellis, C. 1995. Intervention and Long Term Bias: Evidence from the Spot U.S. Dollar/Japanese Yen Fractal Structure. University of Western Sydney - Macarthur Discussion Paper Series. E 9505. October

Other journal articles

• Batten, J., Ellis, C. and Hogan, W. 2003. The Time-Series Behaviour of Credit Spreads on Yen Eurobonds. The Journal of Finance and Banking. 2(1). 137-159

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Other refereed conference papers

• Varua, M., Ellis, C. and Sundmacher, M. “Student Perceptions of the Quality of Economics and Accounting Education at UWS”.
  Presented at the 16th Annual Australasian Teaching Economics Conference. Sydney, Australia. June 30-July 1, 2011
• Batten, J., Ellis, C. and Szilagyi, P.G. “Scaled Volatility as a Measure of Financial Market Efficiency”.
  Presented at the International Conference on Econophysics (2011 Shanghai, China. June 4-6, 2011
• Batten, J. and Ellis, C. “Scaling Properties of Foreign Exchange Returns”.
  Presented at the 2010 Econophysics Colloquium. Taipei, Taiwan. November 4-6, 2010
• Krishnamurtia, C., Tian, G., Guo, M., and Ellis, C. “No News Is Not Good News: Evidence From the Intraday Return Volatility-Volume Relationship in Shanghai Stock Exchange”.
  Presented at the Time-Varying Correlation and Volatility Symposium, University of New South Wales, November 28, 2008
• Batten, J., Ellis, C. and Hogan, W. “The Behaviour of Credit Spreads on Yen Denominated Eurobonds.”
  Presented at the 1999 Australasian Meeting of the Econometric Society. Sydney, Australia. July 7-9, 1999 and at the 12th Annual Australasian Finance and Banking Conference. Sydney, Australia. December 16-17, 1999, as “Credit Spreads of Yen Denominated Eurobonds: Issues for Credit Spread Derivatives”
• Ellis, C. “The Price of Risk”.
  Presented at the 11th Annual PACAP/FMA Finance Conference. Singapore. July 8-10, 1999
• Wilson, P., Ellis, C. and Okunev, J. “Forecasts in the Property Sector Using Spectral Regression.”
  Presented at the 6th European Real estate Society Conference. Athens, Greece. June 23-25, 1999
• Batten, J. and Ellis, C. “Scaling and Self-Similarity in Derivative Markets.”
  Presented at the Annual Meeting, Midwest Finance Association. Chicago, USA.. March 21-23, 1996

Professional Memberships

• Senior Associate, Financial Services Institute of Australasia (finsia)

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