Wang Chun Wei

University of Queensland - Faculty of Business, Economics and Law

4072 Brisbane, Queensland

Australia

University of Queensland - Finance

Australia

  • University of Queensland - Faculty of Business, Economics and Law

  • University of Queensland - Finance

SCHOLARLY PAPERS

9

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SSRN CITATIONS
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Top 38,224

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22

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Scholarly Papers (9)

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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 751 (56,834)
Citation 9

Abstract:

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Bitcoin, Tether, Cryptocurrency

2.

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 537 (87,132)
Citation 1

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Bitcoin, Cryptocurrency, Valuation, Financial Modelling

3.

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 367 (136,443)
Citation 7

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

4.

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 273 (186,601)

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

5.

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 273 (186,601)

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hedge funds, hedge fund replication, Kalman filtering

6.

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 199 (252,828)

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

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 111 (405,372)

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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 63 (571,744)

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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