Manh Cuong Pham

Lancaster University - Department of Accounting and Finance

Lancaster, Lancashire LA1 4YX

United Kingdom

SCHOLARLY PAPERS

3

DOWNLOADS

303

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (3)

1.

Measuring Immediate Price Impact Using Nonparametric Models

Number of pages: 61 Posted: 25 Jan 2015
Manh Cuong Pham, Huu Nhan Duong and Paul Lajbcygier
Lancaster University - Department of Accounting and Finance, Monash University - Department of Banking and Finance and Monash University - Department of Banking & Finance
Downloads 144 (203,471)

Abstract:

Loading...

Market Impact, Indexing, High Frequency Trading, Nonparametric, Generalized Additive Models

2.

A Comparison of the Forecasting Ability of Immediate Price Impact Models

Number of pages: 37 Posted: 28 Oct 2014 Last Revised: 22 Sep 2015
Manh Cuong Pham, Huu Nhan Duong and Paul Lajbcygier
Lancaster University - Department of Accounting and Finance, Monash University - Department of Banking and Finance and Monash University - Department of Banking & Finance
Downloads 100 (266,854)

Abstract:

Loading...

Market Impact, Trading Costs, Out-of-sample forecasting

3.

A Descriptive Study of High-Frequency Trade and Quote Option Data

Number of pages: 55 Posted: 07 Sep 2019
Northwestern University - Kellogg School of Management, European University Institute, University of Vienna, University of Vienna - Department of Statistics and Operations Research, Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE), Lancaster University - Department of Accounting and Finance, Lancaster University - Department of Accounting and Finance, Lancaster University - Department of Accounting and Finance and Independent
Downloads 59 (365,060)

Abstract:

Loading...

Options Data, High Frequency Data, Market Microstructure