1 citations · 1 across the 3 of their papers we have counts for
3 papers
stat.ME2023
A nonlinearity and model specification test for functional time series
Xin Huang, Han Lin Shang, Tak Kuen Siu
An important issue in functional time series analysis is whether an observed series comes from a purely random process. We extend the BDS test, a widely-used nonlinear independence…
q-fin.TR2016
Generalized Optimal Liquidation Problems Across Multiple Trading Venues
Qing-Qing Yang, Wai-Ki Ching, Jia-Wen Gu +1
In this paper, we generalize the Almgren-Chriss's market impact model to a more realistic and flexible framework and employ it to derive and analyze some aspects of optimal liquida…
q-fin.TR2015★ 1 cited
On Optimal Pricing Model for Multiple Dealers in a Competitive Market
Wai-Ki Ching, Jia-Wen Gu, Qing-Qing Yang +1
In this paper, the optimal pricing strategy in Avellande-Stoikov's for a monopolistic dealer is extended to a general situation where multiple dealers are present in a competitive…