chris zhang
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quantitative finance
market microstructure
liquidity & volatility
high-frequency and algorithmic trading
jump-diffusion model
risk modelling and management
Statistics
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Your submissions were downloaded 10 or more times in a month
Awarded to chris zhang on 01 Nov 2019
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Awarded to chris zhang on 09 Oct 2019
Your submissions received 3 five star ratings
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Awarded to chris zhang on 09 Oct 2019
Feeds
Submitted
StrategicRuns_v2
demo for Hasbrouck and Saar (2013) strategic run algorithm, more updates to come
5 years ago | 1 download |
Submitted
Matlab Thomson Reuters Tick History (TRTH) system API setup
TRTHAPI
7 years ago | 2 downloads |
Submitted
Bollerslev, Todorov & Li (2013) intraday jump detection algorithm
BTL2013intradayjump
7 years ago | 2 downloads |
Submitted
Boudt et al (2011) intraday jump detection algorithms
BOUDT(2011)
7 years ago | 1 download |
Submitted
Barndorff-Nielsen & Shephard (2004, 2006) daily jump detection realized measures
BNS2006jump
7 years ago | 1 download |
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