Quan Gan

The University of Sydney - Discipline of Finance

Senior Lecturer

Discipline of Finance

University of Sydney

Sydney, NSW 2006

Australia

http://sydney.edu.au/business/staff/quang

Financial Research Network (FIRN)

C/- University of Queensland Business School

St Lucia, 4071 Brisbane

Queensland

Australia

http://www.firn.org.au

SCHOLARLY PAPERS

10

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Rank 29,131

SSRN RANKINGS

Top 29,131

in Total Papers Downloads

1,586

SSRN CITATIONS
Rank 30,082

SSRN RANKINGS

Top 30,082

in Total Papers Citations

15

CROSSREF CITATIONS

6

Scholarly Papers (10)

1.

A Faster Estimation Method for the Probability of Informed Trading Using Hierarchical Agglomerative Clustering

Forthcoming in Quantitative Finance
Number of pages: 33 Posted: 05 Dec 2013 Last Revised: 17 Feb 2015
The University of Sydney - Discipline of Finance, University of Queensland - Faculty of Business, Economics and Law and University of Sydney Business School
Downloads 308 (98,785)

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PIN, CPIN, Market microstructure, Cluster analysis, Mixture model, Skellam distribution

Modeling Dependence Using Skew T Copulas: Bayesian Inference and Applications

Number of pages: 39 Posted: 04 Sep 2010
University of Melbourne - Melbourne Business School, The University of Sydney - Discipline of Finance and University of New South Wales - School of Economics and School of Banking and Finance
Downloads 206 (148,607)
Citation 5

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Asymmetric Dependence, Bayesian Cross-Validation, Copula Modeling, Electricity Market Efficiency, Electricity Spot Prices, Nonlinear Dependence, Website Exposure, Online Advertising

3.

Measuring Housing Affordability: Looking Beyond the Median

UNSW Australian School of Business Research Paper No. 2008 ECON 09
Number of pages: 27 Posted: 02 Dec 2008
Robert J. Hill and Quan Gan
UNSW Australia Business School, School of Economics and The University of Sydney - Discipline of Finance
Downloads 259 (118,798)
Citation 9

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Housing affordability, Affordability at risk, Affordable limit, Mortgage market

4.

A New Perspective on the Relationship between House Prices and Income

UNSW Australian School of Business Research Paper No. 2008 ECON 13
Number of pages: 24 Posted: 09 Dec 2008
Robert J. Hill and Quan Gan
UNSW Australia Business School, School of Economics and The University of Sydney - Discipline of Finance
Downloads 204 (150,235)

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Real Estate, Permanent income, Mortgage market, Housing bubble, Hedonic index

Does the Probability of Informed Trading Model Fit Empirical Data?

Number of pages: 43 Posted: 24 Oct 2014 Last Revised: 07 Aug 2015
The University of Sydney - Discipline of Finance, University of Queensland - Faculty of Business, Economics and Law and University of Sydney Business School
Downloads 176 (171,963)

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PIN, dependence structure, copula, mixture model, Rosenblatt's transformation, goodness-of-fit test

Does the Probability of Informed Trading Model Fit Empirical Data?

Financial Review, Vol. 52, Issue 1, pp. 5-35, 2017
Number of pages: 31 Posted: 15 Jan 2017
The University of Sydney - Discipline of Finance, University of Queensland - Faculty of Business, Economics and Law and University of Sydney Business School
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PIN, dependence structure, copula, mixture model, Rosenblatt's transformation, goodness‐of‐fit test

6.

The Information Content of 10-K File Size Change

Number of pages: 53 Posted: 20 Jul 2017 Last Revised: 01 Dec 2018
Quan Gan and Buhui Qiu
The University of Sydney - Discipline of Finance and University of Sydney Business School
Downloads 108 (253,469)

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disclosure readability, 10-K file size change, cash flow news, stock returns

7.

Do Sovereign Credit Ratings Matter for Foreign Direct Investments?

Number of pages: 39 Posted: 07 Jul 2017 Last Revised: 07 Aug 2017
Peilin Cai, Quan Gan and Suk-Joong Kim
The University of Sydney, Business School, Discipline of Finance, Students, The University of Sydney - Discipline of Finance and The University of Sydney Business School
Downloads 104 (260,190)

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FDI, sovereign credit rating, regional effect

8.

Comparing Time-Varying Price Impact and Information Impounding Time Across Asian Stock Exchanges: An Adaptive Lasso Approach

25th Australasian Finance and Banking Conference 2012
Number of pages: 34 Posted: 29 Oct 2012
Wang Chun Wei and Quan Gan
University of Queensland - Faculty of Business, Economics and Law and The University of Sydney - Discipline of Finance
Downloads 80 (307,560)

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adaptive lasso, attention, price impact, market microstructure

Optimal Selling Mechanism, Auction Discounts, and Time on Market

Number of pages: 49 Posted: 13 Jun 2010 Last Revised: 21 Jul 2011
Quan Gan
The University of Sydney - Discipline of Finance
Downloads 73 (327,937)

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Selling mechanism, Efficient set, Auction, Mean-value at risk, Loss aversion, Liquidity risk

Optimal Selling Mechanism, Auction Discounts and Time on Market

Real Estate Economics, Vol. 41, Issue 2, pp. 347-383, 2013
Number of pages: 37 Posted: 18 Jun 2013
Quan Gan
The University of Sydney - Discipline of Finance
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Optimal Selling Mechanism, Auction Discounts, and Time on Market

Real Estate Economics, Forthcoming
Posted: 22 Feb 2012
Quan Gan
The University of Sydney - Discipline of Finance

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Selling mechanism, Efficient set, Auction, Mean-value at risk, Loss aversion, Liquidity risk

10.

Location-Scale Portfolio Selection with Factor-Recentered Skew Normal Asset Returns

Journal of Economic Dynamics and Control, Volume 48, November 2014, Pages 176–187
Number of pages: 31 Posted: 29 Apr 2014 Last Revised: 23 Nov 2014
Quan Gan
The University of Sydney - Discipline of Finance
Downloads 68 (337,192)

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Portfolio selection, CARA - skew normal, Certainty equivalent, Non-monotonicity, Factor model