Michael Ong

Michael K. Ong Risk Advisory

Chicago, IL

United States

SCHOLARLY PAPERS

3

DOWNLOADS

408

SSRN CITATIONS

0

CROSSREF CITATIONS

3

Scholarly Papers (3)

1.

Multi-Scale Capability: A Better Approach to Performance Measurement for Algorithmic Trading

Algorithmic Finance (2015), 4:1-2, 53-68
Number of pages: 17 Posted: 30 Aug 2014 Last Revised: 28 Jul 2015
Ricky Cooper, Michael Ong and Ben Van Vliet
Illinois Institute of Technology - Stuart School of Business, IIT, Michael K. Ong Risk Advisory and Illinois Institute of Technology - Stuart School of Business
Downloads 359 (83,957)

Abstract:

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risk-adjusted performance measure, term structure of capability, algorithmic trading, prudence

2.

The Incremental Expected Shortfall-Based Pricing: Application to a Cost-Effective Hedge of an Electricity Price-Volume Quanto Risk

Number of pages: 35 Posted: 14 Mar 2016
Sang Baum Kang, Michael Ong and Jialin Zhao
Illinois Institute of Technology - Stuart School of Business, Michael K. Ong Risk Advisory and Illinois Institute of Technology - Stuart School of Business, IIT
Downloads 48 (401,801)

Abstract:

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Hedging Evaluation, Quanto Contracts, Financial Risk Management

3.

A New Approach to Evaluating the Cost-Efficiency of Complex Hedging Strategies: An Application to Electricity Price–Volume Quanto Contracts

Journal of Energy Markets, Vol. 12, No. 3, 2019
Number of pages: 27 Posted: 24 Sep 2019
Sang Baum Kang, Michael Ong and Jialin Zhao
Illinois Institute of Technology - Stuart School of Business, Michael K. Ong Risk Advisory and Saint Mary's University of San Antonio
Downloads 1 (661,707)
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Abstract:

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electricity market, hedging evaluation, quanto contracts, financial risk management, cost-efficiency