56 citations · 62 across the 4 of their papers we have counts for
Showing 2019Show all
2 papers · 1 filter
econ.EM2019
A multifactor regime-switching model for inter-trade durations in the limit order market
Zhicheng Li, Haipeng Xing, Xinyun Chen
This paper studies inter-trade durations in the NASDAQ limit order market and finds that inter-trade durations in ultra-high frequency have two modes. One mode is to the order of a…
q-fin.TR2019★ 1 cited
A singular stochastic control approach for optimal pairs trading with proportional transaction costs
Haipeng Xing
Optimal trading strategies for pairs trading have been studied by models that try to find either optimal shares of stocks by assuming no transaction costs or optimal timing of trad…