Anqi Liu

Cardiff University - School of Mathematics

Senghennydd Road

Cardiff, CF24 4AG

United Kingdom

SCHOLARLY PAPERS

7

DOWNLOADS
Rank 41,796

SSRN RANKINGS

Top 41,796

in Total Papers Downloads

1,020

SSRN CITATIONS

3

CROSSREF CITATIONS

1

Scholarly Papers (7)

1.

Applications of a Multivariate Hawkes Process to Joint Modeling of Sentiment and Market Return Events

Number of pages: 24 Posted: 19 Apr 2017 Last Revised: 27 Aug 2017
Stevens Institute of Technology, Cardiff University - School of Mathematics, Cardiff University - School of Mathematics and Swansea University - School of Management
Downloads 230 (134,165)

Abstract:

Loading...

Point Process; Hawkes Process; Investor Sentiment; Return Jumps; News Sentiment

2.

Twitter Financial Community Modeling Using Agent Based Simulation

Number of pages: 8 Posted: 24 Nov 2013 Last Revised: 06 Sep 2015
Stevens Institute of Technology, Cardiff University - School of Mathematics and Stevens Institute of Technology
Downloads 183 (166,264)

Abstract:

Loading...

Agent-based model, Twitter, Information diffusion, Financial market

3.

An Extreme Firm-Specific News Sentiment Asymmetry Based Trading Strategy

Number of pages: 7 Posted: 17 Jul 2015
Stevens Institute of Technology, Cardiff University - School of Mathematics, Stevens Institute of Technology, Northrop Grumman Corporation and Northrop Grumman Corporation
Downloads 175 (173,012)

Abstract:

Loading...

News Sentiment; Thomson Reuters News Analytics; Extreme Sentiment Shock and Sentiment Trend; Trading Strategy.

4.

News Sentiment to Market Impact and its Feedback Effect

Number of pages: 12 Posted: 21 Feb 2015
Stevens Institute of Technology, Cardiff University - School of Mathematics and Stevens Institute of Technology
Downloads 153 (194,181)
Citation 3

Abstract:

Loading...

News sentiment; market returns; feedback; regression analysis

5.

Interbank Contagion: An Agent-Based Model (ABM) Approach to Endogenously Formed Networks

Number of pages: 40 Posted: 10 May 2016 Last Revised: 10 Jan 2017
Stevens Institute of Technology, Cardiff University - School of Mathematics, Stevens Institute of Technology and Government of the United States of America - Office of Financial Research
Downloads 126 (226,804)
Citation 1

Abstract:

Loading...

Interbank lending market, Agent-based simulation, Contagion risk, Network topology, Financial crisis

6.

Interbank Contagion: An Agent-Based Model Approach to Endogenously Formed Networks

OFR WP 16-14
Number of pages: 45 Posted: 22 Dec 2016 Last Revised: 26 Jul 2017
Cardiff University - School of Mathematics, Government of the United States of America - Office of Financial Research, Stevens Institute of Technology and Stevens Institute of Technology
Downloads 98 (271,163)
Citation 1

Abstract:

Loading...

Interbank lending market, agent-based simulation, contagion risk, network topology

7.

Interbank Market Formation through Reinforcement Learning and Risk Aversion

Stevens Institute of Technology School of Business Research Paper
Number of pages: 30 Posted: 29 Jun 2017 Last Revised: 26 Jul 2017
Cardiff University - School of Mathematics, Stevens Institute of Technology - School of Business, Government of the United States of America - Office of Financial Research and Stevens Institute of Technology
Downloads 55 (375,666)

Abstract:

Loading...

Interbank Lending Market, Contagion Risk, Multi-Agent System, Reinforcement Learning Agent