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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

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

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

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

This paper presents a novel application of advanced methods from Fourier analysis to the study of ultra-high-frequency financial data. The use of Lomb-Scargle Fourier transform, provides a robust framework to take into account the irregular spacing in time, minimising the computational effort....

Persistent link: https://www.econbiz.de/10005311401

PERIODICITIES OF FOREIGN EXCHANGE MARKETS AND THE DIRECTIONAL CHANGE POWER LAW

Giampaoli, Iacopo; Ng, Wing Lon; Constantinou, Nick - In: Intelligent Systems in Accounting, Finance and Management 20 (2013) 3, pp. 189-206

Persistent link: https://www.econbiz.de/10010714248

The signalling properties of the shape of the credit default swap term structure

Castellanos, Jenny; Constantinou, Nick; Wing Lon Ng - In: Journal of risk 17 (2014/2015) 4, pp. 71-99

Persistent link: https://www.econbiz.de/10013262935

Modeling duration clusters with dynamic copulas

Wing Lon Ng - In: Finance research letters 5 (2008) 2, pp. 96-103

Persistent link: https://www.econbiz.de/10003751303

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

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

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

Detecting diurnal volume profile : an empirical analysis of market depth

Malik, Azeem; Wing Lon Ng - In: Banking and finance letters : BFL 1 (2009) 3, pp. 119-128

Persistent link: https://www.econbiz.de/10003985858

Extreme spillover effects of volatility indices

Yue Peng; Wing Lon Ng - In: Journal of economic research 17 (2012) 1, pp. 1-17

Persistent link: https://www.econbiz.de/10009577613

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