Jing Chen

Cardiff University - School of Mathematics

Senghennydd Road

Cardiff, CF24 4AG

United Kingdom

SCHOLARLY PAPERS

15

DOWNLOADS
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1,995

CITATIONS
Rank 29,709

SSRN RANKINGS

Top 29,709

in Total Papers Citations

19

Scholarly Papers (15)

Liquidity Spillovers in Sovereign Bond and CDS Markets: An Analysis of The Eurozone Sovereign Debt Crisis

Paolo Baffi Centre Research Paper No. 2011-105
Number of pages: 48 Posted: 29 Jul 2011 Last Revised: 09 Oct 2017
Loughborough University, Cardiff University - School of Mathematics and Durham Business School
Downloads 387 (74,430)
Citation 7

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credit derivatives, liquidity, sovereign bonds, credit spreads

Liquidity Spillovers in Sovereign Bond and CDs Markets: An Analysis of the Eurozone Sovereign Debt Crisis

Number of pages: 69 Posted: 20 Dec 2011 Last Revised: 21 Jan 2012
Loughborough University, Cardiff University - School of Mathematics and Durham Business School
Downloads 97 (270,607)

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Credit Default Swaps, Liquidity, Sovereign Bonds, Credit Spreads

2.

Are There Benefits to Being Naked?

Number of pages: 54 Posted: 16 Jan 2011 Last Revised: 08 Feb 2011
Loughborough University, Cardiff University - School of Mathematics and Durham Business School
Downloads 228 (133,123)

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Capital Structure Arbitrage, Credit Default Swaps, Portfolio Management

3.

Applications of a Multivariate Hawkes Process to Joint Modeling of Sentiment and Market Return Events

Number of pages: 24 Posted: 19 Apr 2017 Last Revised: 27 Aug 2017
Stevens Institute of Technology, Cardiff University - School of Mathematics, Cardiff University - School of Mathematics and Swansea University - School of Management
Downloads 225 (134,861)

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Point Process; Hawkes Process; Investor Sentiment; Return Jumps; News Sentiment

4.

How Predictable are Equity Covariance Matrices? Evidence from High Frequency Data for Four Markets

Number of pages: 48 Posted: 31 Jul 2012
Cardiff University - School of Mathematics, Durham Business School and University of Wales, Swansea - School of Business and Economics
Downloads 182 (164,441)

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Realized Covariance, Microstructure, Wishart Distribution

Regulatory Changes, Market Integration and Spill-Over Effects in the Chinese A, B and Hong Kong Equity Markets

Number of pages: 54 Posted: 08 Dec 2009
Cardiff University - School of Mathematics, University of Aberdeen - Business School and Durham Business School
Downloads 116 (238,612)
Citation 1

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Chinese Equity Markets, Segmentation, Co-integration, Spill-over

Regulatory Changes, Market Integration and Spill-Over Effects in the Chinese A, B and Hong Kong Equity Markets

Finance and Corporate Governance Conference 2010 Paper
Number of pages: 54 Posted: 07 Dec 2009
University of Aberdeen - Business School, Durham Business School and Cardiff University - School of Mathematics
Downloads 65 (344,732)
Citation 3

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Chinese Equity Markets, Segmentation, Co-integration, Spill-over

6.

The Importance of Jumps in Modelling Volatility During the 2008 Financial Crisis

Number of pages: 33 Posted: 30 Jul 2012
Cardiff University - School of Mathematics, Durham Business School, University of Aberdeen - Business School and Nutmeg Saving and Investment Limited
Downloads 158 (186,011)
Citation 1

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Autoregressive Jump Models, GARCH, Volatility, Option Pricing

7.

Realised Higher Moments: Theory and Practice

Number of pages: 33 Posted: 31 Jul 2012
Cardiff University - School of Mathematics, University of Wales, Swansea - School of Business and Economics and Durham Business School
Downloads 123 (227,312)

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Higher Moments, Asset Allocation, Portfolio Management, Co-movement

8.

A Network Visualization Approach and Global Stock Market Integration

Number of pages: 2 Posted: 07 Feb 2015
Mike Buckle, Jing Chen and Chen Tong
University of Wales, Swansea - School of Business and Economics, Cardiff University - School of Mathematics and Swansea University, School of Management
Downloads 106 (253,143)

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Network, Stock Market, Integration

9.

Negative Real Interest Rates

Number of pages: 40 Posted: 07 Dec 2014 Last Revised: 17 May 2017
Cardiff University - School of Mathematics, Lecturer in Accounting, Lecturer of Accounting & Finance and Loughborough University - Business School
Downloads 90 (281,974)

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Fokker-Planck equation, General equilibrium, Mean reversion, Real interest rate

10.

A Tale of Two Market Microstructures: Spillovers of Informed Trading and Liquidity for Cross Listed Chinese A and B Shares

Number of pages: 65 Posted: 17 Jan 2011 Last Revised: 15 Feb 2011
Cardiff University - School of Mathematics, Durham Business School and University of Aberdeen - Business School
Downloads 90 (281,974)
Citation 3

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Microstructure, Time Varying Vector Autoregression, Informed Trading

11.

A Slightly Depressing Jump Model: Intraday Volatility Pattern Simulation

Number of pages: 20 Posted: 09 Oct 2017
Stevens Institute of Technology, Cardiff University - School of Mathematics and Swansea University - School of Management
Downloads 56 (366,611)

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Hawkes Process; Jump Detection; Birth-Death-Immigration; Financial Series; Intraday Simulation

12.

Does Feedback Trading Drive Returns of Cross-Listed Shares?

Journal of International Financial Markets, Institutions and Money, Forthcoming
Number of pages: 43 Posted: 12 Jun 2017
Cardiff University - School of Mathematics, University of Edinburgh Business School, University of Edinburgh - Business School and University of Stirling
Downloads 52 (379,310)

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Feedback trading, High-frequency trading, Cross-listing, Spillover, Volatility, Liquidity

13.

Performance of Information Criteria for Selection of Hawkes Process Models of Financial Data

Quantitative Finance, Forthcoming
Number of pages: 19 Posted: 22 Sep 2017
Cardiff University - School of Mathematics, Swansea University - School of Management, University of Sussex - School of Mathematical and Physical Sciences and University of Sussex - School of Mathematical and Physical Sciences
Downloads 17 (536,175)

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Hawkes Process, Self-Exciting Process, Model Selection, Information Criterion, AIC, BIC, HQ

14.

The Impact of Multilateral Trading Facilities on Price Discovery

Financial Markets, Institutions & Instruments, Vol. 27, Issue 4, pp. 145-165, 2018
Number of pages: 21 Posted: 15 Oct 2018
Mike Buckle, Jing Chen, Qian Guo and Xiaoxi Li
University of Liverpool, Cardiff University - School of Mathematics, University of London - Birkbeck College and Swansea University
Downloads 2 (635,457)
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Common Factor Weight, Multilateral Trading Facilities, Postā€MiFID, Price Discovery, Weighted Price Contribution

15.

Information Transmission Across European Equity Markets During Crisis Periods

The Manchester School, Vol. 86, Issue 6, pp. 770-788, 2018
Number of pages: 19 Posted: 10 Oct 2018
Cardiff University - School of Mathematics, University of Stirling and University of Liverpool
Downloads 1 (648,128)
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