Ban Zheng

Ecole Polytechnique

Research Fellow

Route de Saclay

Palaiseau, 91 91128

France

Lyxor Asset Management

Quantitative Researcher

17 Cours Valmy

Paris La Défense, 92987

France

SCHOLARLY PAPERS

4

DOWNLOADS
Rank 18,978

SSRN RANKINGS

Top 18,978

in Total Papers Downloads

2,210

CITATIONS

0

Scholarly Papers (4)

1.

Price Jump Prediction in Limit Order Book

Number of pages: 21 Posted: 21 Mar 2012
Ban Zheng, E. Moulines and Frederic Abergel
Ecole Polytechnique, Ecole Nationale Superieure des Telecommunications and Ecole Centrale Paris
Downloads 272 (57,504)

Abstract:

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limit order book, high frequency trading, price jump, trade-through, logistic regression, lasso

2.

Measuring the Liquidity of ETFs: An Application to the European Market

Number of pages: 34 Posted: 05 Mar 2014 Last Revised: 06 Mar 2014
Thierry Roncalli and Ban Zheng
Amundi Asset Management and Ecole Polytechnique
Downloads 131 (113,310)

Abstract:

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Exchange traded fund, liquidity, spread, trading volume, order book, liquidity improvement

3.

Ergodicity and Scaling Limit of a Constrained Multivariate Hawkes Process

Number of pages: 32 Posted: 19 Jan 2013
Ecole Polytechnique, Ecole Nationale Superieure des Telecommunications and Ecole Centrale Paris
Downloads 60 (298,418)

Abstract:

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point process, Hawkes process, limit order book, ergodicity, scaling limit

4.

A Primer on Alternative Risk Premia

Number of pages: 123 Posted: 04 May 2016 Last Revised: 26 Jun 2016
Lyxor Asset Management, Lyxor Asset Management, Amundi Asset Management and Ecole Polytechnique
Downloads 0 (10,374)

Abstract:

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Alternative Risk Premium, Factor Investing, Skewness Risk Premium, Market Anomaly, Risk Factor, Carry, Event, Growth, Liquidity, Low Beta, Low Volatility, Momentum, Quality, Reversal, Value, Short Volatility, Size, Skewness, Drawdown, Option Profile, Alternative Beta, Hedge Funds