Yiyong Feng

Hong Kong University of Science & Technology (HKUST)

Clear Water Bay

Hong Kong

SCHOLARLY PAPERS

2

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Scholarly Papers (2)

1.

Forecasting Intraday Trading Volume: A Kalman Filter Approach

Number of pages: 16 Posted: 26 Apr 2018
Ran Chen, Yiyong Feng and Daniel Palomar
Hong Kong University of Science & Technology (HKUST), Hong Kong University of Science & Technology (HKUST) and Hong Kong University of Science and Technology (HKUST)
Downloads 2,138 (14,068)
Citation 6

Abstract:

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Algorithmic trading, EM, intraday trading volume, Kalman filter, Lasso, VWAP

2.

Sparse Portfolios for High-Dimensional Financial Index Tracking

EEE Trans. on Signal Processing, vol. 66, no. 1, pp. 155-170, Jan. 2018.
Number of pages: 16 Posted: 05 Jan 2018 Last Revised: 22 Oct 2021
Hong Kong University of Science & Technology (HKUST) - Department of Electronic and Computer Engineering, Hong Kong University of Science & Technology (HKUST) and Hong Kong University of Science and Technology (HKUST)
Downloads 144 (379,851)
Citation 1

Abstract:

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Index tracking, sparsity, majorization-minimization