Ngoc-Minh Dang

Kepler Cheuvreux

Algorithmic Trading Quant

112 avenue Kléber

Paris, 75016

France

JVN Institute, VNU-HCM

Quantitative and Computation Finance Program

Linh Trung ward, Thu Duc district

Ho Chi Minh, 10001

Vietnam

http://sites.google.com/site/nmdang/

SCHOLARLY PAPERS

3

DOWNLOADS
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in Total Papers Downloads

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CITATIONS

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Scholarly Papers (3)

1.

Dynamic Execution of VWAP Orders with Short-Term Predictions

Number of pages: 28 Posted: 12 Dec 2013
Ngoc-Minh Dang and Yin Chen
Kepler Cheuvreux and Université Paris VII Denis Diderot
Downloads 230 (64,542)

Abstract:

VWAP, short-term prediction, trading envelopes

2.

Using Short-Term Predictions for Participation-Rate Driven Trading Algorithms

Number of pages: 20 Posted: 02 Dec 2012 Last Revised: 16 Apr 2013
Ngoc-Minh Dang and Charles-Albert Lehalle
Kepler Cheuvreux and Capital Fund Management
Downloads 179 (102,811)

Abstract:

optimal liquidation, on-line optimization, VWAP, IS, PVOL, slippage

3.

Optimal Execution with Transient Impact

Number of pages: 21 Posted: 02 Dec 2012 Last Revised: 12 Jul 2014
Ngoc-Minh Dang
Kepler Cheuvreux
Downloads 117 (150,253)

Abstract:

transient impact, optimal trading, JG model, mean-variance optimization