Ke Xu

University of Victoria

Assistant Professor

3800 Finnerty Rd

Victoria, British Columbia V8P 5C2

Canada

SCHOLARLY PAPERS

5

DOWNLOADS

288

SSRN CITATIONS
Rank 49,615

SSRN RANKINGS

Top 49,615

in Total Papers Citations

2

CROSSREF CITATIONS

10

Scholarly Papers (5)

1.

High Frequency Market Making During Stressed Periods

Number of pages: 54 Posted: 02 Oct 2017 Last Revised: 21 Jun 2019
Ke Xu
University of Victoria
Downloads 137 (237,350)

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high frequency trading, market making, adverse selection, price discrimination, speed limit policy

2.

Stock Market Openness and Market Quality: Evidence from the Shanghai-Hong Kong Stock Connect Program

Journal of Financial Research, Forthcoming
Number of pages: 48 Posted: 24 Mar 2020
University of Victoria, Department of Finance, Fudan University, University of Victoria and University of Victoria
Downloads 51 (431,577)

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capital market openness, competition, cross-market arbitrage, bid-ask spread, effective spread, short-term volatility, Shanghai-Hong Kong Stock Connect

3.

A Fractionally Cointegrated VAR Analysis of Price Discovery in Commodity Futures Markets

Dolatabadi, S., Nielsen, M. Ø. and Xu, K. (2015), A Fractionally Cointegrated VAR Analysis of Price Discovery in Commodity Futures Markets. Journal of Futures Markets, 35: 339–356. doi:10.1002/fut.21693
Number of pages: 20 Posted: 29 Sep 2017
Queen's University, Queen's University - Department of Economics and University of Victoria
Downloads 45 (454,771)

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fractional cointegration, futures markets, price discovery, vector error correction model

4.

Economic Significance of Commodity Return Forecasts from the Fractionally Cointegrated VAR Model

Dolatabadi S, Narayan PK, Nielsen MØ, Xu K. Economic significance of commodity return forecasts from the fractionally cointegrated VAR model. J Futures Markets. 2017; 1–24. doi/10.1002/fut.21866
Number of pages: 34 Posted: 17 Oct 2017
Queen's University, Deakin University - School of Accounting, Economics and Finance, Queen's University - Department of Economics and University of Victoria
Downloads 33 (508,488)
Citation 1

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commodity markets, economic significance, forecasting, fractional cointegration, futures markets, price discovery, trading rule, vector error correction model

5.

A Fractionally Cointegrated VAR Model with Deterministic Trends and Application to Commodity Futures Markets

Journal of Empirical Finance, Vol. 38, No. 623-639, 2016
Number of pages: 23 Posted: 29 Sep 2017
Queen's University, Queen's University - Department of Economics and University of Victoria
Downloads 22 (571,819)

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Backwardation, Contango, Deterministic trend, Fractional cointegration, Futures markets, Vector error correction model