← All authors Christopher Ting Hiroshima University (from arXiv:1912.04565, 2019) · ORCID · OpenAlex
15 papers in scope · 14 published · 1 on the econ.EM arXiv · 158 citations · h-index 8 (over the papers listed here)
Papers (1 of 15)
Adaptive order flow forecasting with multiplicative error models
published 2022 · Digital Finance · 5 citations · first circulated 2014
with Andrija Mihoci, Meng-Jou Lu, Kainat Khowaja, Wolfgang K. HHrdle
working paper 2019 · arXiv
Volume Information in Nikkei and TOPIX Futures Transactions
published 2017 · Zhōngguó cáiwù xuékān
with Chyng Wen Tee
Variance Risk Premiums of Commodity ETFs
published 2016 · Journal of Futures Markets · 8 citations
with Chyng Wen Tee
The term structure of S&P 100 model-free volatilities
published 2013 · Quantitative Finance · 2 citations
with Kian Guan Lim
The impact of transaction duration, volume and direction on price dynamics and volatility
published 2010 · Quantitative Finance · 11 citations · first circulated 2005
with Anthony S. Tay, Yiu Kuen Tse, Mitch Warachka, Mitchell Craig Warachka
Using High-Frequency Transaction Data to Estimate the Probability of Informed Trading
published 2009 · Journal of Financial Econometrics · 48 citations
with Aaron Tay, Yiu-Kuen Tse, Mitchell Craig Warachka, Anthony S. Tay, Yiu Kuen Tse, Mitch Warachka
A functional approach to the price impact of stock trades and the implied true price
published 2007 · Journal of Empirical Finance · 8 citations
with Roger D. Huang
Optimal liquidation strategies and their implications
published 2006 · Journal of Economic Dynamics and Control · 13 citations
with Mitch Warachka, Yonggan Zhao
Which Daily Price is Less Noisy?
published 2006 · Financial Management · 18 citations
Intraday stock prices, volume, and duration: a nonparametric conditional density analysis
published 2005 · Empirical Economics · 9 citations
with Anthony S. Tay
The implied jump risk of LIBOR rates
published 2005 · Journal of Banking & Finance · 10 citations
with Lim Kian Guan, Mitch Warachka
Microscopic chaos and Gaussian diffusion processes
published 2002 · Physica A Statistical Mechanics and its Applications · 17 citations
with Lock Yue Chew
MAGNOCELLULAR PATHWAY FOR ROTATION INVARIANT NEOCOGNITRON
published 1993 · International Journal of Neural Systems · 2 citations
An adaptive algorithm for neocognitron to recognize analog images
published 1993 · Neural Networks · 7 citations
with Keng-Chee Chuang
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