Zobrazeno 1 - 10
of 53
pro vyhledávání: '"Wing Lon Ng"'
Publikováno v:
PLoS ONE, Vol 13, Iss 9, p e0201810 (2018)
Allogrooming is a key aspect of chimpanzee sociality and many studies have investigated the role of reciprocity in a biological market. One theoretical form of reciprocity is time-matching, where payback consists of an equal duration of effort (e.g.
Externí odkaz:
https://doaj.org/article/83185b24955643969bebb48ac733ae98
Publikováno v:
Cogent Economics & Finance, Vol 5, Iss 1 (2017)
We present a cross-sectional volatility index (CSV) applied to an Asian market as an alternative to the VIX. One problem with the construction of a VIX-styled index is that it depends on the price of calls and puts, however, the CSV index may be appl
Externí odkaz:
https://doaj.org/article/c4cb26337cc349c19c1020e3a0db5806
Autor:
Wing Lon Ng, Vince Vella
Publikováno v:
Expert Systems with Applications. 55:70-86
We investigate the viability of Type-2 fuzzy systems in high frequency trading.We propose Type-2 models based on a generalisation of the popular ANFIS model.Type-2 models score significant risk adjusted performance improvements over Type-1.Benefits o
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::ef9e374868fe651f27f64ef36619f379
https://doi.org/10.1016/j.eswa.2016.01.056
https://doi.org/10.1016/j.eswa.2016.01.056
Autor:
Wing Lon Ng
Publikováno v:
Quantitative Finance, 8, 4, 353-361
This paper focuses on the liquidity of electronic stock markets applying a sequential estimation approach of models for volume durations with increasing threshold values. A modified ACD model with a Box-Tukey transformation and a flexible generalized
Externí odkaz:
http://www.ssoar.info/ssoar/handle/document/22109
Publikováno v:
Phelps, S & UCL University College London & Middlesex University 2018, ' Precise time-matching in chimpanzee allogrooming does not exist after a short delay ', PloS one, vol. 13, no. 9 . https://doi.org/10.1371/journal.pone.0201810
PLoS ONE, Vol 13, Iss 9, p e0201810 (2018)
PLoS ONE, Vol 13, Iss 9, p e0201810 (2018)
Allogrooming is a key aspect of chimpanzee sociality and many studies have investigated the role of reciprocity in a biological market. One theoretical form of reciprocity is time-matching, where payback consistsof an equal duration of effort (e.g. t
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::080bc2743a1945cb382c6900656ccd1f
https://pubmed.ncbi.nlm.nih.gov/30204753
https://pubmed.ncbi.nlm.nih.gov/30204753
Autor:
Jun Qi jqik@essex.ac.uk, Wing Lon Ng
Publikováno v:
World Congress on Engineering 2009 (Volume 2). 2009, p1337-1343. 7p. 3 Charts, 3 Graphs.
Autor:
Manuel Kleinknecht, Wing Lon Ng
Publikováno v:
Intelligent Systems in Accounting, Finance and Management. 22:263-281
The new Basel III framework increases the banks' market risk capital requirements. In this paper, we introduce a new risk management approach based on the unconditional coverage test to minimize the regulatory capital requirements. Portfolios optimiz
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::6308749626f7151279f142b8a4e8e719
https://doi.org/10.1002/isaf.1370
https://doi.org/10.1002/isaf.1370
Publikováno v:
The Journal of Risk. 17:71-99
This paper studies the predictive power of the time-varying shape of the credit default swap (CDS) term structure to explain changes in future implied and excess implied volatility (implied volatility of the company over and above the market volatili
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::2901873084dd9be6117fca6fbb80a287
https://doi.org/10.21314/jor.2015.298
https://doi.org/10.21314/jor.2015.298
Publikováno v:
SSCI
Directional Change (DC) is a technique to summarize price movements in a financial market. According to the DC concept, data is sampled only when the magnitude of price change is significant according to the investor. Unlike with time series, DC samp
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::88c187412dddf8440a75ec7f19f7a5fe
Autor:
Wing Lon Ng, Vince Vella
Publikováno v:
Intelligent Systems in Accounting, Finance and Management. 22:153-178
The majority of existing artificial intelligence AI studies in computational finance literature are devoted solely to predicting market movements. In this paper we shift the attention to how AI can be applied to control risk-based money management de
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::c1dd61cdf6eae93e902a86080aaa8769
https://doi.org/10.1002/isaf.1359
https://doi.org/10.1002/isaf.1359