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High frequency trading and mini flash crashes

Golub, Anton; Keane, John; Poon, Ser-Huang - 2012

We analyse all Mini Flash Crashes (or Flash Equity Failures) in the US equity markets in the four most volatile months during 2006-2011. In contrast to previous studies, we find that Mini Flash Crashes are the result of regulation framework and market fragmentation, in particular due to the...

Persistent link: https://www.econbiz.de/10010420137

Fast approximation of loan portfolio loss

Bai, Jenny; Seppälä, Heikki; Poon, Ser-Huang - In: Global credit review 4 (2014), pp. 67-85

Persistent link: https://www.econbiz.de/10010422179

Forecasting and decomposition of portfolio credit risk using macroeconomic and frailty factors

Lee, Yong Woong; Poon, Ser-Huang - In: Journal of economic dynamics & control 41 (2014), pp. 69-92

Persistent link: https://www.econbiz.de/10010425019

Market liquidity and institutional trading during the 2007 - 8 financial crisis

Poon, Ser-Huang; Rockinger, Michael; Stathopoulos, … - In: International review of financial analysis 30 (2013), pp. 86-97

Persistent link: https://www.econbiz.de/10010459996

General equilibrium and risk neutral framework for option pricing with a mixture of distributions

Vitiello, Luiz; Poon, Ser-Huang - In: The journal of derivatives : the official publication … 15 (2008) 4, pp. 48-60

Persistent link: https://www.econbiz.de/10003733227

Loan portfolio loss models with more flexible asymmetry and tails for Korean banks and a comparison of their regional concentrations

Lee, Yong Woong; Poon, Ser-Huang - In: Emerging markets finance & trade : a journal of the … 51 (2015) 3, pp. 118-139

Persistent link: https://www.econbiz.de/10011404418

Returns synchronization and daily correlation dynamics between international stock markets

Martens, Martin; Poon, Ser-Huang - In: Journal of banking & finance 25 (2001) 10, pp. 1805-1827

Persistent link: https://www.econbiz.de/10001608846

Forecasting volatility in financial markets : a review

Poon, Ser-Huang; Granger, C. W. J. - In: Journal of economic literature 41 (2003) 2, pp. 478-539

Persistent link: https://www.econbiz.de/10001783912

Asset pricing in discrete time : a complete markets approach

Poon, Ser-Huang; Stapleton, Richard C. - 2005 - 1. publ.

Persistent link: https://www.econbiz.de/10002064666

Extreme value dependence in financial markets : diagnostics, models, and financial implications

Poon, Ser-Huang; Rockinger, Michael; Twan, Jonathan - In: The review of financial studies 17 (2004) 2, pp. 581-610

Persistent link: https://www.econbiz.de/10002028108

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