Louisa Chen

University of Sussex

Falmer, Brighton BN1 9SL

United Kingdom

SCHOLARLY PAPERS

3

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231

CITATIONS
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4

Scholarly Papers (3)

1.

Judgement Day: Algorithmic Trading Around the Swiss Franc Cap Removal

Bank of England Working Paper No. 711
Number of pages: 30 Posted: 21 Feb 2018
University of London, Queen Mary - School of Economics and Finance, University of Sussex, University of St. Gallen and Bank of England
Downloads 181 (165,451)
Citation 3

Abstract:

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Swiss franc, algorithmic trading, liquidity, volatility, price discovery, arbitrage opportunities

2.

Learning and Forecasts about Option Returns through the Volatility Risk Premium

Number of pages: 37 Posted: 27 Feb 2019
Universidad de Chile, University of Sussex and University of Chile
Downloads 26 (485,395)

Abstract:

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Option Returns, Volatility Risk Premium, Bayesian Learning, Predictability, Dynamic Equilibrium Model

3.

Time Varying Factors in the Performance of Corporate Bond Indices

Number of pages: 62 Posted: 03 Jan 2019
Vienna University of Technology, University of Sussex, University of Sussex Business School and University of Basel
Downloads 24 (496,437)

Abstract:

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Corporate Bond Index, Regime Switching Threshold Model, Model Selection