Cheng Gao

Rutgers University, Department of Economics

75 Hamilton Street

New Brunswick, NJ 08901

United States

  • Rutgers University, Department of Economics

SCHOLARLY PAPERS

4

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850

SSRN CITATIONS

7

CROSSREF CITATIONS

2

Scholarly Papers (4)

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1.

Market Quality Breakdowns in Equities

Number of pages: 41 Posted: 29 Sep 2012 Last Revised: 20 Dec 2015
Cheng Gao and Bruce Mizrach
Rutgers University, Department of Economics and Rutgers University, Department of Economics
Downloads 393 (98,484)
Citation 12

Abstract:

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market quality, breakdown, breakups, correlation, high frequency trading

2.

High Frequency Trading in the Equity Markets During US Treasury POMO

Number of pages: 32 Posted: 16 Jul 2013 Last Revised: 22 Feb 2018
Cheng Gao and Bruce Mizrach
Rutgers University, Department of Economics and Rutgers University, Department of Economics
Downloads 315 (125,911)
Citation 4

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high frequency trading, Federal Reserve, open market operations, private information

3.

An Empirical Analysis of the Shanghai and Shenzhen Limit Order Books

Number of pages: 18 Posted: 10 May 2012 Last Revised: 20 Oct 2012
Huimin Chung, Cheng Gao, Jie Lu and Bruce Mizrach
National Chiao-Tung University - Graduate Institute of Finance, Rutgers University, Department of Economics, Rutgers, The State University of New Jersey - New Brunswick/Piscataway and Rutgers University, Department of Economics
Downloads 142 (264,188)

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limit order book, Chinese stock market, microstructure, VAR model

4.

Bayesian Analysis of the Censored Regression Model with an AEPD Error Term

Communications in Statistics - Theory and Methods, Volume 44, Issue 5, 2015, 953-971.
Posted: 24 Feb 2012 Last Revised: 24 Mar 2015
Cheng Gao and Hiroki Tsurumi
Rutgers University, Department of Economics and Rutgers University

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Asymmetric exponential power distribution, Distribution of skewness, Left and right kurtosis measures, Markov chain Monte Carlo algorithms, Probability integral transformation