Manh Cuong Pham

Lancaster University - Department of Accounting and Finance

Lancaster, Lancashire LA1 4YX

United Kingdom

Monash University - Department of Econometrics & Business Statistics

Wellington Road

Clayton, Victoria 3168

Australia

SCHOLARLY PAPERS

4

DOWNLOADS

1,261

SSRN CITATIONS

15

CROSSREF CITATIONS

0

Scholarly Papers (4)

1.

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

Number of pages: 80 Posted: 07 Sep 2019 Last Revised: 27 Aug 2020
Northwestern University - Kellogg School of Management, University of Vienna - Faculty of Business, Economics and Statistics, University of Vienna, University of Vienna - Department of Statistics and Operations Research, The University of Manchester - Alliance Manchester Business SchoolLancaster University - Department of Accounting and Finance, Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE), Lancaster University - Department of Accounting and Finance, Lancaster University - Department of Accounting and FinanceMonash University - Department of Econometrics & Business Statistics, Lancaster University - Department of Accounting and Finance and Independent
Downloads 689 (68,269)
Citation 1

Abstract:

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Options Data, High Frequency Data, Market Microstructure

2.

Measuring Immediate Price Impact Using Nonparametric Models

Number of pages: 61 Posted: 25 Jan 2015
Manh Cuong Pham, Manh Cuong Pham, Huu Nhan Duong and Paul Lajbcygier
Lancaster University - Department of Accounting and FinanceMonash University - Department of Econometrics & Business Statistics, Monash University - Department of Banking and Finance and Monash University - Department of Banking & Finance
Downloads 227 (239,822)

Abstract:

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

3.

Parametric Risk-Neutral Density Estimation via Finite Lognormal-Weibull Mixtures

Number of pages: 82 Posted: 19 Oct 2021 Last Revised: 30 Nov 2023
Yifan Li, Ingmar Nolte, Manh Cuong Pham and Manh Cuong Pham
The University of Manchester - Alliance Manchester Business SchoolLancaster University - Department of Accounting and Finance, Lancaster University - Department of Accounting and Finance and Lancaster University - Department of Accounting and FinanceMonash University - Department of Econometrics & Business Statistics
Downloads 183 (290,809)

Abstract:

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risk-neutral density, parametric modelling, mixture-of-distribution method

4.

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, Manh Cuong Pham, Huu Nhan Duong and Paul Lajbcygier
Lancaster University - Department of Accounting and FinanceMonash University - Department of Econometrics & Business Statistics, Monash University - Department of Banking and Finance and Monash University - Department of Banking & Finance
Downloads 162 (323,128)

Abstract:

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