Article

Vella, Vince and Ng, Wing Lon (2016) 'Improving Risk-adjusted Performance in High Frequency Trading Using Interval Type-2 Fuzzy Logic.' Expert Systems with Applications, 55. pp. 70-86. ISSN 0957-4174

Kleinknecht, Manuel and Ng, Wing Lon (2015) 'Minimizing Basel III Capital Requirements with Unconditional Coverage Constraint.' Intelligent Systems in Accounting, Finance and Management. ISSN 1055-615X

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. ISSN 1618-2510

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. ISSN 1465-1211

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. ISSN 0925-2312

Malik, Azeem and Ng, Wing Lon (2014) 'Intraday liquidity patterns in limit order books.' Studies in Economics and Finance, 31 (1). pp. 46-71. ISSN 1086-7376

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. ISSN 0165-1889

Nguyen, Minh Khoa and Phelps, Steve and Ng, Wing Lon (2014) 'Simulation based calibration using extended balanced augmented empirical likelihood.' Statistics and Computing, 25 (6). pp. 1093-1112. ISSN 0960-3174

Vella, Vince and Ng, Wing Lon (2014) 'A dynamic fuzzy money management approach for controlling the intraday risk-adjusted performance of ai trading algorithms.' Intelligent Systems in Accounting, Finance and Management. ISSN 1055-615X

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. ISSN 1055-615X

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. ISSN 1099-1174

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. ISSN 1614-2446

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. ISSN 03772217

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. ISSN 1469-7688

Ng, Wing Lon (2010) 'Dynamic Order Submission and Herding Behavior in Electronic Trading.' Journal of Financial Research, 33 (1). pp. 27-43. ISSN 0270-2592

Giampaoli, Iacopo and Constantinou, Nick and Ng, Wing Lon (2009) 'Analysis of ultra-high-frequency financial data using advanced Fourier transforms.' Finance Research Letters, 6 (1). pp. 47-53. ISSN 1544-6123

Book Section

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: UNSPECIFIED, (ed.) 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

Monograph

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

Conference or Workshop Item

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), 27-28 March 2014, 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), 27-28 March 2014, London.