Michael Tseng

University of Central Florida

4000 Central Florida Blvd

Orlando, FL 32816-1400

United States

SCHOLARLY PAPERS

9

DOWNLOADS
Rank 47,557

SSRN RANKINGS

Top 47,557

in Total Papers Downloads

1,118

SSRN CITATIONS

2

CROSSREF CITATIONS

3

Scholarly Papers (9)

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 480 (71,564)
Citation 1

Abstract:

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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
Simon Fraser University, University of Cambridge - Faculty of Economics, University of Zurich, Department of Banking and Finance and University of Central Florida
Downloads 291 (126,081)
Citation 2

Abstract:

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

3.

Price Discovery for Options

Swiss Finance Institute Research Paper No. 20-66
Number of pages: 39 Posted: 06 Aug 2020 Last Revised: 10 Aug 2020
Semyon Malamud, Michael Tseng and Yuan Zhang
Ecole Polytechnique Federale de Lausanne, University of Central Florida and Ecole Polytechnique Fédérale de Lausanne
Downloads 107 (301,201)

Abstract:

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Options, Price Discovery, Volatility Straddle

4.

'Wait and See' Monetary Policy

Number of pages: 31 Posted: 18 Oct 2015
Xiaowen Lei and Michael Tseng
Simon Fraser University (SFU) and University of Central Florida
Downloads 91 (334,732)
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 89 (339,430)

Abstract:

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

6.

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 26 (575,445)

Abstract:

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Unit Root, Near Double-Integrated

7.

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 13 (664,187)

Abstract:

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

8.

A 2-Dimensional Functional Central Limit Theorem for Non-stationary Dependent Random Fields

Number of pages: 15 Posted: 06 Sep 2019 Last Revised: 27 Dec 2019
Michael Tseng
University of Central Florida
Downloads 13 (664,187)

Abstract:

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Brownian sheet, m-dependent fields

9.

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

Number of pages: 35 Posted: 23 Sep 2020 Last Revised: 06 Oct 2020
Michael Tseng
University of Central Florida
Downloads 8 (701,592)

Abstract:

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