Louisa Chen

University of Sussex

Falmer, Brighton BN1 9SL

United Kingdom

  • University of Sussex

SCHOLARLY PAPERS

3

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Scholarly Papers (3)

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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
Francis Breedon, Louisa Chen, Angelo Ranaldo and Nicholas Vause
University of London, Queen Mary - School of Economics and Finance, University of Sussex, University of St. Gallen and Bank of England
Downloads 245 (156,193)
Citation 7

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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
Alejandro Bernales, Louisa Chen and Marcela Valenzuela
Universidad de Chile, University of Sussex and Pontificia Universidad Católica de Chile
Downloads 49 (479,505)
Citation 1

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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
Wolfgang Aussenegg, Louisa Chen, Ranko Jelic and Dietmar Maringer
Vienna University of Technology, University of Sussex, University of Sussex Business School and University of Basel
Downloads 49 (479,505)

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Corporate Bond Index, Regime Switching Threshold Model, Model Selection