Items where Author is "Ng, Wing Lon"

Nguyen, Minh Khoa and Phelps, Steve and Ng, Wing Lon (2015) Simulation based calibration using extended balanced augmented empirical likelihood. Statistics and Computing, 25 (6). pp. 1093-1112. DOI https://doi.org/10.1007/s11222-014-9506-9

Kleinknecht, Manuel and Ng, Wing Lon (2015) Minimizing Basel III Capital Requirements with Unconditional Coverage Constraint. Intelligent Systems in Accounting, Finance and Management, 22 (4). pp. 263-281. DOI https://doi.org/10.1002/isaf.1370

Vella, Vince and Ng, Wing Lon (2015) A Dynamic Fuzzy Money Management Approach for Controlling the Intraday Risk‐Adjusted Performance of AI Trading Algorithms. Intelligent Systems in Accounting, Finance and Management, 22 (2). pp. 153-178. DOI https://doi.org/10.1002/isaf.1359

Salazar, Yuri and Ng, Wing Lon (2015) Nonparametric estimation of general multivariate tail dependence and applications to financial time series. Statistical Methods & Applications, 24 (1). pp. 121-158. DOI https://doi.org/10.1007/s10260-014-0274-7

Castellanos, Jenny and Constantinou, Nick and Ng, Wing Lon (2015) The signalling properties of the shape of the credit default swap term structure. Journal of Risk, 17 (4). pp. 71-99.

Vella, Vince and Ng, Wing Lon (2014) Enhancing risk-adjusted performance of stock market intraday trading with Neuro-Fuzzy systems. Neurocomputing, 141. pp. 170-187. DOI https://doi.org/10.1016/j.neucom.2014.03.026

Vella, Vince and Ng, Wing Lon (2014) Enhancing intraday trading performance of Neural Network using dynamic volatility clustering fuzzy filter. In: 2014 IEEE Conference on Computational Intelligence for Financial Engineering & Economics (CIFEr), 2014-03-27 - 2014-03-28, London.

Kleinknecht, Manuel and Ng, Wing Lon (2014) Improving portfolio risk profile with threshold accepting. In: 2014 IEEE Conference on Computational Intelligence for Financial Engineering & Economics (CIFEr), 2014-03-27 - 2014-03-28, London.

Guarin, Alexander and Liu, Xiaoquan and Ng, Wing Lon (2014) Recovering default risk from CDS spreads with a nonlinear filter. Journal of Economic Dynamics and Control, 38. pp. 87-104. DOI https://doi.org/10.1016/j.jedc.2013.09.006

Phelps, Steve and Ng, Wing Lon (2014) A SIMULATION ANALYSIS OF HERDING AND UNIFRACTAL SCALING BEHAVIOUR. Intelligent Systems in Accounting, Finance and Management, 21 (1). pp. 39-58. DOI https://doi.org/10.1002/isaf.1346

Giampaoli, Iacopo and Ng, Wing Lon and Constantinou, Nick (2013) PERIODICITIES OF FOREIGN EXCHANGE MARKETS AND THE DIRECTIONAL CHANGE POWER LAW. Intelligent Systems in Accounting, Finance and Management, 20 (3). pp. 189-206. DOI https://doi.org/10.1002/isaf.1343

Peng, Yue and Ng, Wing Lon (2012) Analysing financial contagion and asymmetric market dependence with volatility indices via copulas. Annals of Finance, 8 (1). pp. 49-74. DOI https://doi.org/10.1007/s10436-011-0181-y

Palit, Imon and Phelps, Steve and Ng, Wing Lon (2012) Can a zero-intelligence plus model explain the stylized facts of financial time series data? In: AAMAS '12 Proceedings of the 11th International Conference on Autonomous Agents and Multiagent Systems - Volume 2. International Foundation for Autonomous Agents and Multiagent Systems, pp. 653-660. ISBN 9780981738123.

Guarin, Alexander and Liu, Xiaoquan and Ng, Wing Lon (2011) Enhancing credit default swap valuation with meshfree methods. European Journal of Operational Research, 214 (3). pp. 805-813. DOI https://doi.org/10.1016/j.ejor.2011.05.046

Velasco–Fuentes, Rafael and Ng, Wing Lon (2011) Nonlinearities in stochastic clocks: trades and volume as subordinators of electronic markets. Quantitative Finance, 11 (6). pp. 863-881. DOI https://doi.org/10.1080/14697680903555314

Ng, Wing Lon (2010) DYNAMIC ORDER SUBMISSION AND HERDING BEHAVIOR IN ELECTRONIC TRADING. Journal of Financial Research, 33 (1). pp. 27-43. DOI https://doi.org/10.1111/j.1475-6803.2009.01261.x

Constantinou, Nick and Giampaoli, Iacopo and Ng, Wing Lon (2010) Periodicities of FX Markets in Intrinsic Time. Working Paper. EBS Working Papers, Colchester.

Giampaoli, Iacopo and Ng, Wing Lon and Constantinou, Nick (2009) Analysis of ultra-high-frequency financial data using advanced Fourier transforms. Finance Research Letters, 6 (1). pp. 47-53. DOI https://doi.org/10.1016/j.frl.2008.11.002