Christopher Ting

Singapore Management University - Lee Kong Chian School of Business

50 Stamford

Singapore, 178899

Singapore

SCHOLARLY PAPERS

3

DOWNLOADS

319

SSRN CITATIONS

1

CROSSREF CITATIONS

4

Scholarly Papers (3)

1.

Information Contents of Trade and Quote Imbalances, and the Hypothesis of Reverse Liquidity: Evidence from a Fully Automated Exchange

EFA 2004 Maastricht Meetings Paper No. 2262
Number of pages: 52 Posted: 19 Jul 2004
Christopher Ting
Singapore Management University - Lee Kong Chian School of Business
Downloads 172 (175,528)
Citation 1

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2.

Which Daily Price is Less Noisy?

Financial Management, Vol. 35, No. 3, Autumn 2006
Number of pages: 16 Posted: 19 Oct 2006
Christopher Ting
Singapore Management University - Lee Kong Chian School of Business
Downloads 147 (200,383)
Citation 1
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3.

Using High-Frequency Transaction Data to Estimate the Probability of Informed Trading

Journal of Financial Econometrics, Vol. 7, Issue 3, pp. 288-311, 2009
Posted: 30 Jun 2009
Anthony S. Tay, Christopher Ting, Yiu Kuen Tse and Mitch Warachka
Singapore Management University - School of Economics, Singapore Management University - Lee Kong Chian School of Business, Singapore Management University - School of Social Sciences and Chapman University

Abstract:

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C410, G120, autoregressive conditional duration, market microstructure, probability of informed trading, transaction data, Weibull distribution