Michael Tseng

University of Central Florida

4000 Central Florida Blvd

Orlando, FL 32816-1400

United States

  • University of Central Florida

SCHOLARLY PAPERS

9

DOWNLOADS

1,164

SSRN CITATIONS

2

CROSSREF CITATIONS

1

Scholarly Papers (9)

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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 515 (75,207)
Citation 1

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

2.

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
Ramazan Gencay, Soheil Mahmoodzadeh, Jakub Rojcek and Michael Tseng
Simon Fraser University, University of Cambridge - Faculty of Economics, University of Zurich, Department of Banking and Finance and University of Central Florida
Downloads 311 (133,727)

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

3.

'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 97 (361,095)
Citation 2

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Monetary policy, Interest rate inertia, Optimal stopping

4.

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 96 (363,474)

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

5.

Arrow-Debreu Meets Kyle

Number of pages: 44 Posted: 13 Jun 2021 Last Revised: 17 Mar 2022
Christian Keller and Michael Tseng
University of Central Florida and University of Central Florida
Downloads 52 (504,362)

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Arrow-Debreu, Kyle, Options Price Discovery, Volatility Straddle.

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 41 (554,698)

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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 28 (627,501)

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Unit Root, Near Double-Integrated

8.

Spatial Invariance Principle and Unit Root Testing

Number of pages: 26 Posted: 06 Sep 2019 Last Revised: 23 Aug 2021
Michael Tseng and Gary Richardson
University of Central Florida and University of Central Florida
Downloads 16 (714,900)

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

9.

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 8 (784,324)

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