Ngoc-Minh Dang

HSBC

Algorithmic Trading Quant

1 Queen's Road Central

Hong Kong

Hong Kong

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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Top 40,652

in Total Papers Downloads

1,047

SSRN 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
HSBC and Université Paris VII Denis Diderot
Downloads 539 (50,376)

Abstract:

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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
HSBC and Capital Fund Management
Downloads 293 (103,527)

Abstract:

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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
HSBC
Downloads 215 (141,974)
Citation 1

Abstract:

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