ORCA
Online Research @ CardiffÂ
Browse by Current Cardiff authors
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Number of items: 11.
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Chen, Jing and Liu, Anqi
2021.
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.
Financial Mathematics and Fintech
Springer,
pp. 59-77.
Item availability restricted. |
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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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Liu, Anqi, Paddrik, Mark, Yang, Steve Y. and Zhang, Xingjia
2020.
Interbank contagion: an agent-based model approach to endogenously formed networks.
Journal of Banking and Finance
112
, 105191.
10.1016/j.jbankfin.2017.08.008
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| Liu, Anqi, Mo, Cheuk Yin Jeffrey, Paddrik, Mark E. and Yang, Steve Y. 2018. An agent-based approach to interbank market lending decisions and risk implications. Information 9 (6) , pp. 1-18. 10.3390/info9060132 |
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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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| Song, Qian, Liu, Anqi and Yang, S.Y. 2017. Stock portfolio selection using learning-to-rank algorithms with news sentiment. Neurocomputing 264 , pp. 20-28. 10.1016/j.neucom.2017.02.097 |
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| Yang, Steve Y., Mo, Sheung Yin Kevin, Liu, Anqi and Kirilenko, Andrei A. 2017. Genetic programming optimization for a sentiment feedback strength based trading strategy. Neurocomputing 264 , pp. 29-41. 10.1016/j.neucom.2016.10.103 |
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| Mo, Sheung Yin Kevin, Liu, Anqi and Yang, Steve Y. 2016. News sentiment to market impact and its feedback effect. Environment Systems and Decisions 36 (2) , pp. 158-166. 10.1007/s10669-016-9590-9 |
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| Song, Qian, Liu, Anqi, Yang, Steve Y., Deane, Anil and Datta, Kaushik 2016. An extreme firm-specific news sentiment asymmetry based trading strategy. Presented at: 2015 IEEE Symposium on Computational Intelligence, Cape Town, South Africa, 7-10 December 2015. 2015 IEEE Symposium Series on Computational Intelligence. IEEE, p. 898. 10.1109/SSCI.2015.132 |
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| Yang, Steve Y., Mo, Sheung Yin Kevin and Liu, Anqi 2015. Twitter financial community sentiment and its predictive relationship to stock market movement. Quantitative Finance 15 (10) , pp. 1637-1656. 10.1080/14697688.2015.1071078 |
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| Yang, Steve Y., Liu, Anqi and Mo, Sheung Yin Kevin 2014. Twitter financial community modeling using agent based simulation. Presented at: 2014 Computational Intelligence for Financial Engineering & Economics (CIFEr), London, UK, 27-28 March 2014. 2014 IEEE Conference on Computational Intelligence for Financial Engineering & Economics (CIFEr). IEEE, 10.1109/CIFEr.2014.6924055 |
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