Michael Tseng

University of Central Florida

4000 Central Florida Blvd

Orlando, FL 32816-1400

United States

SCHOLARLY PAPERS

11

DOWNLOADS

1,790

SSRN CITATIONS

6

CROSSREF CITATIONS

2

Scholarly Papers (11)

1.

Spot Arbitrage in FX Market and Algorithmic Trading: Speed is Not of the Essence

Number of pages: 41 Posted: 20 Sep 2017 Last Revised: 27 Oct 2020
Soheil Mahmoodzadeh and Michael Tseng
University of Cambridge - Faculty of Economics and University of Central Florida
Downloads 585 (86,595)
Citation 1

Abstract:

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Foreign Exchange Market, Triangular Arbitrage, Algorithmic Trading, Price Discovery, Inventory Risk

2.

Arrow-Debreu Meets Kyle: Price Discovery for Derivatives

Number of pages: 45 Posted: 13 Jun 2021 Last Revised: 05 Mar 2024
Christian Keller and Michael Tseng
University of Central Florida and University of Central Florida
Downloads 374 (148,031)

Abstract:

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Contingent Claims; Price Discovery; Options; Straddle.

3.

Price Impact and Bursts In Liquidity Provision

Swiss Finance Institute Research Paper No. 16-21
Number of pages: 41 Posted: 11 Mar 2016 Last Revised: 15 Oct 2016
Simon Fraser University, University of Cambridge - Faculty of Economics, University of Zurich, Department of Banking and Finance and University of Central Florida
Downloads 356 (155,877)
Citation 2

Abstract:

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Price Impact, Burst, High-Frequency Trading, Market Quality, Adverse Selection

4.

'Wait and See' Monetary Policy

Number of pages: 31 Posted: 18 Oct 2015
Xiaowen Lei, Xiaowen Lei and Michael Tseng
Simon Fraser University (SFU)Simon Fraser University and University of Central Florida
Downloads 143 (371,006)
Citation 2

Abstract:

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Monetary policy, Interest rate inertia, Optimal stopping

5.

Contagion in a Network of Heterogeneous Banks

Number of pages: 56 Posted: 20 Sep 2017 Last Revised: 18 Dec 2019
Ramazan Gencay, Hao Pang, Michael Tseng and Yi Xue
Simon Fraser University, Duke University, Fuqua School of Business, Students, University of Central Florida and University of International Business and Economics (UIBE)
Downloads 142 (373,026)

Abstract:

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Financial networks, Contagion, Heterogeneous banks, Core-Periphery structure, Network externality

6.

Regulatory Arbitrage and Global Push Factors

Number of pages: 51 Posted: 22 Jan 2021 Last Revised: 24 Jan 2021
Uluc Aysun and Michael Tseng
University of Central Florida and University of Central Florida
Downloads 76 (574,128)

Abstract:

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Push factors, Global banks, BIS statistics, Regulation, Arbitrage

7.

A Simple Unit Root Test For Near-I(2) Time Series

Number of pages: 34 Posted: 04 Oct 2019 Last Revised: 30 Apr 2020
Lealand Morin and Michael Tseng
University of Central Florida and University of Central Florida
Downloads 52 (695,240)

Abstract:

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Unit Root, Near Double-Integrated

8.

Estimation of a Time-Varying Parameter from Long Range Dependent Data

Number of pages: 30 Posted: 23 Sep 2020 Last Revised: 23 Aug 2021
Michael Tseng
University of Central Florida
Downloads 32 (835,946)

Abstract:

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Time-Varying Parameter, Smooth Trend, Abrupt Breaks, Long-Range Dependence

9.

A Spatial Invariance Principle for Non-stationary Random Fields

Number of pages: 24 Posted: 18 Jun 2023
Michael Tseng
University of Central Florida
Downloads 26 (887,615)

Abstract:

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Brownian sheet; m-dependent fields; Spatial unit root.

10.

Contracting with Risk-Neutral Agents in Dynamic Settings

Number of pages: 8 Posted: 15 Apr 2024
Roberto Burguet and Michael Tseng
University of Central Florida and University of Central Florida
Downloads 3 (1,101,191)

Abstract:

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Dynamic Contracts, Deterministic Outcomes, Perfectly Separating.

11.

Contracting with Risk-Neutral Agents in Dynamic Settings

Number of pages: 8 Posted: 01 Apr 2024
Roberto Burguet and Michael Tseng
University of Central Florida and University of Central Florida
Downloads 1 (1,116,130)

Abstract:

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Dynamic Contracts, Deterministic Outcomes, Perfectly Separating.