Wang Chun Wei

University of Queensland - Faculty of Business, Economics and Law

4072 Brisbane, Queensland

Australia

University of Queensland - Finance

Australia

SCHOLARLY PAPERS

9

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in Total Papers Downloads

1,443

CITATIONS

0

Scholarly Papers (9)

1.

The Impact of Tether Grants on Bitcoin

Number of pages: 11 Posted: 14 Jun 2018
Wang Chun Wei
University of Queensland - Faculty of Business, Economics and Law
Downloads 414 (67,773)

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Bitcoin, Tether, Cryptocurrency

2.

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 Johnstone
The University of Sydney - Discipline of Finance, University of Queensland - Faculty of Business, Economics and Law and University of Sydney Business School
Downloads 299 (98,354)

Abstract:

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

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
University of Queensland - Faculty of Business, Economics and Law
Downloads 234 (127,011)

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hedge funds, hedge fund replication, Kalman filtering

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 Johnstone
The University of Sydney - Discipline of Finance, University of Queensland - Faculty of Business, Economics and Law and University of Sydney Business School
Downloads 173 (168,471)

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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 Johnstone
The University of Sydney - Discipline of Finance, University of Queensland - Faculty of Business, Economics and Law and University of Sydney Business School
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PIN, dependence structure, copula, mixture model, Rosenblatt's transformation, goodness‐of‐fit test

5.

Resale Options and Cryptocurrency Mispricing

Number of pages: 37 Posted: 14 Oct 2018
Wang Chun Wei
University of Queensland - Faculty of Business, Economics and Law
Downloads 120 (226,800)

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Turnover, Mispricing, Heterogeneous Beliefs, Resale Option Hypothesis, Cryptocurrencies, Bitcoin

6.

An Equilibrium Crypto-Token Valuation Model

Number of pages: 7 Posted: 21 Nov 2018
Wang Chun Wei and Bonnie Yiu
University of Queensland - Faculty of Business, Economics and Law and Consulere.io
Downloads 113 (238,520)

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Bitcoin, Cryptocurrency, Valuation, Financial Modelling

7.

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
University of Queensland - Faculty of Business, Economics and Law and The University of Sydney - Discipline of Finance
Downloads 79 (299,145)

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adaptive lasso, attention, price impact, market microstructure

8.

Resale Option and Cryptocurrency Mispricing

Number of pages: 37 Posted: 28 Sep 2018
Wang Chun Wei
University of Queensland - Faculty of Business, Economics and Law
Downloads 11 (564,507)

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Turnover, Mispricing, Heterogeneous Beliefs, Resale Option Hypothesis, Cryptocurrencies, Bitcoin

9.

Decomposing the Probability of Informed Trading Measure

Posted: 28 Aug 2012 Last Revised: 02 Oct 2018
Wang Chun Wei, Alex Frino and Dionigi Gerace
University of Queensland - Faculty of Business, Economics and Law, The University of Sydney - Discipline of Finance and The University of Sydney

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PIN, informed trading, information asymmetry, market microstructure

Other Papers (1)

Total Downloads: 2    Citations: 0
1.

Investor Irrationality and the Role of Distribution Channels in Chinese Index Fund Selection

2019 Financial Markets & Corporate Governance Conference
Number of pages: 30 Posted: 22 Jan 2019
Jiaqi Huang, Wang Chun Wei and Min Zhu
University of Queensland - Business School, University of Queensland - Faculty of Business, Economics and Law and University of Queensland
Downloads 2

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Chinese mutual fund market, index funds, search cost, investor behaviour, distribution channels