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Dynamic order submission and herding behavior in electronic trading

Wing Lon Ng - In: The journal of financial research 33 (2010) 1, pp. 27-43

Persistent link: https://www.econbiz.de/10003966716

Analysis of ultra-high-frequency financial data using advanced Fourier transforms

Giampaoli, Iacopo; Wing Lon Ng; Constantinou, Nick - In: Finance research letters 6 (2009) 1, pp. 47-53

Persistent link: https://www.econbiz.de/10003834761

ACD-Modelle

Ng, Wing Lon - In: Wirtschaftswissenschaftliches Studium : WiSt ; … 36 (2007) 8, pp. 400-404

Persistent link: https://www.econbiz.de/10003520558

Periodicities of foreign exchange markets and the directional change power law

Giampaoli, Iacopo; Wing Lon Ng; Constantinou, Nick - In: Intelligent systems in accounting finance and … 20 (2013) 3, pp. 189-206

Persistent link: https://www.econbiz.de/10010196979

Overreaction and multiple tail dependence at the high-frequency level : the copula rose

Ng, Wing Lon (contributor) - 2006

This paper applies a non- and a semiparametric copula-based approach to analyze the first-order autocorrelation of returns in high frequency financial time series. Using the EUREX D3047 tick data from the German stock index, it can be shown that the temporal dependence structure of price...

Persistent link: https://www.econbiz.de/10003402780

The SCoD model : analyzing durations with a semiparametric copula approach

Savu, Cornelia; Ng, Wing Lon - In: International review of finance 5 (2005) 1/2, pp. 55-74

Persistent link: https://www.econbiz.de/10003351733

The ScoD model : analyzing durations with a semiparametric copula approach

Savu, Cornelia; Ng, Wing Lon - 2006

Persistent link: https://www.econbiz.de/10003347599