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Online Research @ Cardiff
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Number of items: 22.
Liu, Anqi, Chen, Jing, Yang, Steve Y. and Hawkes, Alan G.
2020.
The flow of information in trading: an entropy approach to market regimes.
Entropy
22
(9)
, 1064.
10.3390/e22091064
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Chen, Jing
2020.
A fractional Hawkes process.
Presented at: Nonlocal and Fractional Operators in honour of Prof. Renato Spigler,
Rome, Italy,
12-13 April 2019.
Published in: Garrappa, Roberto, Mainardi, Francesco and Beghin, Luisa eds.
Nonlocal and fractional operators: Theory and applications to physics, probability and numerical analysis.
SEMA SIMAI Springer Series
Springer,
Item availability restricted. |
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Calice, Giovanni, Chen, Jing and Williams, Julien
2020.
Forecasting options prices using discrete time volatility models estimated at mixed timescales.
Journal of Derivatives
27
(3)
, pp. 45-74.
10.3905/jod.2019.1.094
Item availability restricted. |
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Chen, Jing and Liu, Anqi
2020.
Information transition in trading and its effect on market efficiency: an entropy approach.
Presented at: 1st International Forum on Financial Mathematics and FinTech,
Beijing, China,
29 June - 2 July 2019.
Proceeding of the First International Academic Forum on Financial Mathematics and Financial Technology.
Springer,
Item availability restricted. |
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Chen, Jing and McMillan, David
2020.
Stock returns, illiquidity and feedback trading.
Review of Accounting and Finance
19
(2)
, pp. 135-145.
10.1108/RAF-02-2017-0024
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Chen, Jing, Buckle, Mike, Guo, Qian and Li, Xiaoxi
2019.
The impact of multilateral trading facilities on price discovery: Further evidence from the European markets.
Financial Markets, Institutions and Instruments
28
(4)
, pp. 321-343.
10.1111/fmii.12121
Item availability restricted. |
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| Chen, Jing, Adams, Mike and Upreti, Vineet 2019. Product-market strategy and underwriting performance in the United Kingdom’s (UK) property-casualty insurance market. European Journal of Finance 25 (11) , pp. 1012-1031. 10.1080/1351847X.2019.1578676 |
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| Chen, Jing, McMillan, David G. and Buckle, Mike 2018. Information transmission across European equity markets during crisis periods. Manchester School 86 (6) , pp. 770-788. 10.1111/manc.12226 |
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| Buckle, Mike, Chen, Jing, Guo, Qian and Li, Xiaoxi 2018. The impact of multilateral trading facilities on price discovery. Financial Markets, Institutions and Instruments 27 (4) , pp. 145-165. 10.1111/fmii.12096 |
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| Tong, Chen, Chen, Jing and Buckle, Mike 2018. A network visualisation approach and global stock market integration. International Journal of Finance and Economics 23 , pp. 296-314. |
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Buckle, Mike, Chen, Jing, Guo, Qian and Tong, Chen
2018.
Do ETFs lead the price moves? Evidence from the major US markets.
International Review of Financial Analysis
58
, pp. 91-103.
10.1016/j.irfa.2017.12.005
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| Chen, Jing, Dongb, Yizhe, Houc, Wenxuan and McMillan, David G 2018. Does feedback trading drive return of cross-listed shares? Journal of International Financial Markets, Institutions and Money 53 , pp. 179-199. 10.1016/j.intfin.2017.09.018 |
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Khashanah, Khaldoun, Chen, Jing and Hawkes, Alan
2018.
A slightly depressing jump model: intraday volatility pattern simulation.
Quantitative Finance
18
(2)
, pp. 213-224.
10.1080/14697688.2017.1403139
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Chen, J., Hawkes, A. G., Scalas, E. and Trinh, M.
2018.
Performance of information criteria for selection of Hawkes process models of financial data.
Quantitative Finance
18
(2)
, pp. 225-235.
10.1080/14697688.2017.1403140
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Yang, Steve Y., Liu, Anqi, Chen, Jing and Hawkes, Alan G.
2018.
Applications of multi-variate Hawkes process to joint modelling of sentiment and market return events.
Quantitative Finance
18
(2)
, pp. 295-310.
10.1080/14697688.2017.1403156
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Chen, Jing, Ma, Diandian, Song, Xiaojong and Tippett, Mark
2017.
Negative real interest rates.
European Journal of Finance
23
(15)
, pp. 1447-1467.
10.1080/1351847X.2016.1158729
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| Chen, Maggie, Hawkes, Alan, Khashnah, Khaldoun, McMillan, David, Rosenbaum, Mathieu, Scalas, Enrico and Yang, Steve 2017. Editors’ foreword: special issue of Quantitative Finance on ‘Hawkes processes in finance’. Quantitative Finance 18 (2) , pp. 191-192. 10.1080/14697688.2018.1404804 |
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| Buckle, Mike, Chen, Jing and Williams, Julian 2014. How predictable are equity covariance matrices? Evidence from high-frequency data for four markets. Journal of Forecasting 33 (7) , pp. 542-557. 10.1002/for.2310 |
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| Buckle, Mike, Chen, Jing and Williams, Julian M. 2014. Realised higher moments: theory and practice. The European Journal of Finance 22 (13) , pp. 1272-1291. 10.1080/1351847X.2014.885456 |
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| Calice, Giovanni, Chen, Jing and Williams, Julian M. 2013. Are there benefits to being naked? The returns and diversification impact of capital structure arbitrage. The European Journal of Finance 19 (9) , pp. 815-840. 10.1080/1351847X.2011.637115 |
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| Calice, Giovanni, Chen, Jing and Williams, Julian 2013. Liquidity spillovers in sovereign bond and CDS markets: An analysis of the Eurozone sovereign debt crisis. Journal of Economic Behavior & Organization 85 , pp. 122-143. 10.1016/j.jebo.2011.10.013 |
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| Chen, Jing, Buckland, Roger and Williams, Julian 2011. Regulatory changes, market integration and spillover effects in the Chinese A, B and Hong Kong equity markets. Pacific-Basin Finance Journal 19 (4) , pp. 351-373. 10.1016/j.pacfin.2011.01.002 |
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