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1

Optimal Strategy for Limit Order Book Submissions in High Frequency Trading

Song, Na, Xie, Yue, Ching, Wai-Ki, Siu, Tak-Kuen, Yiu, Cedric Ka-Fai

Journal:

East Asian Journal on Applied Mathematics

Année:

2016

Langue:

english

Fichier:

PDF, 188 KB

english, 2016

2

Trading strategy with stochastic volatility in a limit order book market

Yang, Qing-Qing, Ching, Wai-Ki, Gu, Jiawen, Siu, Tak-Kuen

Journal:

Decisions in Economics and Finance

Année:

2020

Fichier:

PDF, 1.76 MB

2020

3

Discrete-time optimal asset allocation under Higher-Order Hidden Markov Model

Zhu, Dong-Mei, Lu, Jiejun, Ching, Wai-Ki, Siu, Tak-Kuen

Journal:

Economic Modelling

Année:

2017

Langue:

english

Fichier:

PDF, 858 KB

english, 2017

4

[International Series in Operations Research & Management Science] Markov Chains Volume 189 || Markov Decision Processes for Customer Lifetime Value

Ching, Wai-Ki, Huang, Ximin, Ng, Michael K., Siu, Tak-Kuen

Année:

2013

Langue:

english

Fichier:

PDF, 641 KB

english, 2013

5

Optimal portfolios with maximum Value-at-Risk constraint under a hidden Markovian regime-switching model

Zhu, Dong-Mei, Xie, Yue, Ching, Wai-Ki, Siu, Tak-Kuen

Journal:

Année:

2016

Langue:

english

Fichier:

PDF, 829 KB

english, 2016

6

[International Series in Operations Research & Management Science] Markov Chains Volume 189 || Hidden Markov Chains

Ching, Wai-Ki, Huang, Ximin, Ng, Michael K., Siu, Tak-Kuen

Année:

2013

Langue:

english

Fichier:

PDF, 836 KB

english, 2013

7

On a multivariate Markov chain model for credit risk measurement

Siu, Tak-Kuen, Ching, Wai-Ki, Fung, S. Eric, Ng¶, Michael K.

Journal:

Quantitative Finance

Année:

2005

Langue:

english

Fichier:

PDF, 225 KB

english, 2005

8

[IEEE 2012 Fifth International Joint Conference on Computational Sciences and Optimization (CSO) - Harbin, Heilongjiang, China (2012.06.23-2012.06.26)] 2012 Fifth International Joint Conference on Computational Sciences and Optimization - Optimal Submission Problem in a Limit Order Book with VaR Constraints

Song, Na, Ching, Wai-Ki, Siu, Tak-Kuen, Yiu, Cedric

Année:

2012

Langue:

english

Fichier:

PDF, 193 KB

english, 2012

9

On pricing basket credit default swaps

Gu, Jia-Wen, Ching, Wai-Ki, Siu, Tak-Kuen, Zheng, Harry

Journal:

Quantitative Finance

Année:

2013

Langue:

english

Fichier:

PDF, 391 KB

english, 2013

10

Market-making strategy with asymmetric information and regime-switching

Yang, Qing-Qing, Ching, Wai-Ki, Gu, Jia-Wen, Siu, Tak-Kuen

Journal:

Journal of Economic Dynamics and Control

Année:

2018

Langue:

english

Fichier:

PDF, 1.11 MB

english, 2018

11

A Pseudo-Bayesian Model for Stock Returns In Financial Crises

Fung, Eric, Lam, Kin, Siu, Tak-Kuen, Wong, Wing-Keung

Journal:

Journal of Risk and Financial Management

Année:

2011

Langue:

english

Fichier:

PDF, 239 KB

english, 2011

12

How correlation risk in basket credit derivatives might be priced and managed?

Zhu, Dong-Mei, Gu, Jia-wen, Yu, Feng-Hui, Ching, Wai-Ki, Siu, Tak-Kuen

Journal:

IMA Journal of Management Mathematics

Année:

2020

Fichier:

PDF, 568 KB

2020

13

Extracting Information from Spot Interest Rates and Credit Ratings using Double Higher-Order Hidden Markov Models

Tak-Kuen Siu, Wai-Ki Ching, Eric S. Fung, Michael K. Ng

Journal:

Computational Economics

Année:

2005

Langue:

english

Fichier:

PDF, 470 KB

english, 2005

14

Extracting Information from Spot Interest Rates and Credit Ratings using Double Higher-Order Hidden Markov Models

Tak-Kuen Siu, Wai-Ki Ching, Eric S. Fung, Michael K. Ng

Journal:

Computational Economics

Année:

2007

Fichier:

PDF, 21 KB

2007

15

On supply chain coordination for false failure returns: A quantity discount contract approach

Ximin Huang, Sin-Man Choi, Wai-Ki Ching, Tak-Kuen Siu, Min Huang

Journal:

International Journal of Production Economics

Année:

2011

Langue:

english

Fichier:

PDF, 300 KB

english, 2011

16

[International Series in Operations Research & Management Science] Markov Chains Volume 189 || Higher-Order Markov Chains

Ching, Wai-Ki, Huang, Ximin, Ng, Michael K., Siu, Tak-Kuen

Année:

2013

Langue:

english

Fichier:

PDF, 363 KB

english, 2013

17

[International Series in Operations Research & Management Science] Markov Chains Volume 189 ||

Ching, Wai-Ki, Huang, Ximin, Ng, Michael K., Siu, Tak-Kuen

Année:

2013

Langue:

english

Fichier:

PDF, 3.00 MB

english, 2013

18

Impact of secondary market on consumer return policies and supply chain coordination

Huang, Ximin, Gu, Jia-Wen, Ching, Wai-Ki, Siu, Tak-Kuen

Journal:

Année:

2014

Langue:

english

Fichier:

PDF, 896 KB

english, 2014

19

[IEEE 2012 Fifth International Conference on Business Intelligence and Financial Engineering (BIFE) - Lanzhou, Gansu, China (2012.08.18-2012.08.21)] 2012 Fifth International Conference on Business Intelligence and Financial Engineering - Asset Allocation under Regime-Switching Models

Song, Na, Ching, Wai-Ki, Zhu, Dong-Mei, Siu, Tak-Kuen

Année:

2012

Langue:

english

Fichier:

PDF, 178 KB

english, 2012

20

[IEEE 2011 Fourth International Joint Conference on Computational Sciences and Optimization (CSO) - Kunming and Lijiang City, China (2011.04.15-2011.04.19)] 2011 Fourth International Joint Conference on Computational Sciences and Optimization - On Infectious Models for Dependent Default Risk

Gu, Jiawen, Ching, Wai-Ki, Siu, Tak-Kuen

Année:

2011

Langue:

english

Fichier:

PDF, 161 KB

english, 2011

21

[IEEE 2010 Third International Joint Conference on Computational Science and Optimization - Huangshan, Anhui, China (2010.05.28-2010.05.31)] 2010 Third International Joint Conference on Computational Science and Optimization - Option Valuation under a Multivariate Markov Chain Model

Song, Na, Ching, Wai-Ki, Siu, Tak-Kuen, Fung, Eric S., Ng, Michael K.

Année:

2010

Langue:

english

Fichier:

PDF, 202 KB

english, 2010

22

On reduced-form intensity-based model with ‘trigger’ events

Gu, Jia-Wen, Ching, Wai-Ki, Siu, Tak-Kuen, Zheng, Harry

Journal:

Journal of the Operational Research Society

Année:

2014

Langue:

english

Fichier:

PDF, 206 KB

english, 2014

23

Pricing strategy for a two-echelon supply chain with optimized return effort level

Xie, Yue, Tai, Allen H., Ching, Wai-Ki, Siu, Tak-Kuen

Journal:

International Journal of Production Economics

Année:

2016

Langue:

english

Fichier:

PDF, 580 KB

english, 2016

24

Interacting default intensity with a hidden Markov process

Yu, Feng-Hui, Ching, Wai-Ki, Gu, Jia-Wen, Siu, Tak-Kuen

Journal:

Quantitative Finance

Année:

2016

Langue:

english

Fichier:

PDF, 630 KB

english, 2016

25

A Higher-order interactive hidden Markov model and its applications

Zhu, Dong-Mei, Ching, Wai-Ki, Elliott, Robert J., Siu, Tak-Kuen, Zhang, Lianmin

Journal:

Année:

2017

Langue:

english

Fichier:

PDF, 576 KB

english, 2017

26

On Optimal Pricing Model for Multiple Dealers in a Competitive Market

Yang, Qing-Qing, Gu, Jia-Wen, Ching, Wai-Ki, Siu, Tak-Kuen

Journal:

Computational Economics

Année:

2017

Langue:

english

Fichier:

PDF, 819 KB

english, 2017

27

Option Pricing Under a Stochastic Interest Rate and Volatility Model with Hidden Markovian Regime-Switching

Zhu, Dong-Mei, Lu, Jiejun, Ching, Wai-Ki, Siu, Tak-Kuen

Journal:

Computational Economics

Année:

2017

Langue:

english

Fichier:

PDF, 1.31 MB

english, 2017

28

On infectious model for dependent defaults

Ching, Wai-Ki, Gu, Jia-Wen, Li, Xiaoyue, Siu, Tak-Kuen, Zheng, Harry

Journal:

Risk and Decision Analysis

Année:

2018

Langue:

english

Fichier:

PDF, 226 KB

english, 2018

29

Pricing Exotic Options under a High-Order Markovian Regime Switching Model

Ching, Wai-Ki, Siu, Tak-Kuen, Li, Li-Min

Journal:

Journal of Applied Mathematics & Decision Sciences

Année:

2007

Langue:

english

Fichier:

PDF, 2.05 MB

english, 2007

30

On the Pricing of Salmon Futures and Options at Fish Pool

Ewald, Christian-Oliver, Nawar, Roy, Siu, Tak-Kuen

Journal:

SSRN Electronic Journal

Année:

2012

Langue:

english

Fichier:

PDF, 5.03 MB

english, 2012

31

On the Market Consistent Valuation of Fish Farms: Using the Real Option Approach and Salmon Futures

Ewald, Christian-Oliver, Ouyang, Ruolan, Siu, Tak-Kuen

Journal:

SSRN Electronic Journal

Année:

2015

Langue:

english

Fichier:

PDF, 1.18 MB

english, 2015

32

On the Market Consistent Valuation of Fish Farms: Using the Real Option Approach and Salmon Futures

Ewald, Christian-Oliver, Ouyang, Ruolan, Siu, Tak-Kuen

Journal:

SSRN Electronic Journal

Année:

2015

Fichier:

PDF, 1.18 MB

2015

33

On Optimal Cash Management under a Stochastic Volatility Model

Song, Na, Ching, Wai-Ki, Siu, Tak-Kuen, Yiu, Cedric Ka-Fai

Journal:

East Asian Journal on Applied Mathematics

Année:

2013

Langue:

english

Fichier:

PDF, 144 KB

english, 2013

34

Fuzzy hidden Markov-switching portfolio selection with capital gain tax

Guo, Sini, Ching, Wai-Ki, Li, Wai-Keung, Siu, Tak-Kuen, Zhang, Zhiwen

Journal:

Expert Systems with Applications

Année:

2020

Fichier:

PDF, 1.98 MB

2020