Wang Chun Wei

Macquarie Group

Quantitative Analst

Sydney

Australia

SCHOLARLY PAPERS

6

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CITATIONS

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Scholarly Papers (6)

1.

A Faster Estimation Method for the Probability of Informed Trading Using Hierarchical Agglomerative Clustering

Forthcoming in Quantitative Finance
Number of pages: 33 Posted: 05 Dec 2013 Last Revised: 17 Feb 2015
Quan Gan, Wang Chun Wei and David James Johnstone
University of Sydney Business School, Macquarie Group and University of Sydney Business School
Downloads 214 (93,270)

Abstract:

PIN, CPIN, Market microstructure, Cluster analysis, Mixture model, Skellam distribution

Does the Probability of Informed Trading Model Fit Empirical Data?

Number of pages: 43 Posted: 24 Oct 2014 Last Revised: 07 Aug 2015
Quan Gan, Wang Chun Wei and David James Johnstone
University of Sydney Business School, Macquarie Group and University of Sydney Business School
Downloads 156 (159,287)

Abstract:

PIN, dependence structure, copula, mixture model, Rosenblatt's transformation, goodness-of-fit test

Does the Probability of Informed Trading Model Fit Empirical Data?

Financial Review, Vol. 52, Issue 1, pp. 5-35, 2017
Number of pages: 31 Posted: 15 Jan 2017
Quan Gan, Wang Chun Wei and David James Johnstone
University of Sydney Business School, Macquarie Group and University of Sydney Business School
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Abstract:

PIN, dependence structure, copula, mixture model, Rosenblatt's transformation, goodness‐of‐fit test

3.

Modelling and Replicating Hedge Fund Returns

The University of Melbourne, Centre for Actuarial Studies, Research Paper Series No. 203
Number of pages: 22 Posted: 28 Aug 2012 Last Revised: 31 Aug 2012
Wang Chun Wei
Macquarie Group
Downloads 141 (119,304)

Abstract:

hedge funds, hedge fund replication, Kalman filtering

4.

Comparing Time-Varying Price Impact and Information Impounding Time Across Asian Stock Exchanges: An Adaptive Lasso Approach

25th Australasian Finance and Banking Conference 2012
Number of pages: 34 Posted: 29 Oct 2012
Wang Chun Wei and Quan Gan
Macquarie Group and University of Sydney Business School
Downloads 46 (284,227)

Abstract:

adaptive lasso, attention, price impact, market microstructure

5.

The Impact of Underlying Market Closure on Futures Market Liquidity: A Note

International Journal of Banking and Finance, Vol. 9, No. 2, 2012
Posted: 28 Aug 2012 Last Revised: 28 Feb 2014
Wang Chun Wei and Alex Frino
Macquarie Group and The University of Sydney - Discipline of Finance

Abstract:

market microstructure, market closure theory, liquidity, Chinese futures market

6.

Decomposing the Probability of Informed Trading Measure

Posted: 28 Aug 2012 Last Revised: 28 Feb 2014
Wang Chun Wei, Alex Frino and Dionigi Gerace
Macquarie Group, The University of Sydney - Discipline of Finance and The University of Sydney

Abstract:

PIN, informed trading, information asymmetry, market microstructure