Ying Chen

National University of Singapore (NUS) - Department of Mathematics

119076

Singapore

SCHOLARLY PAPERS

13

DOWNLOADS
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SSRN CITATIONS

1

CROSSREF CITATIONS

3

Scholarly Papers (13)

1.

Reinforcement Learning for Optimal Market Making with the Presence of Rebate

Number of pages: 34 Posted: 05 Aug 2020
Ge Zhang and Ying Chen
Institute of Data Science, National University of Singapore and National University of Singapore (NUS) - Department of Mathematics
Downloads 350 (160,536)
Citation 4

Abstract:

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Optimal market making, Rebate, Reinforcement learning

2.

Policy Effectiveness on the Global COVID-19 Pandemic and Unemployment Outcomes: A Large Mixed Frequency Spatial Approach

Number of pages: 98 Posted: 07 Mar 2022 Last Revised: 27 Jun 2022
Xiamen University - Wang Yanan Institute for Studies in Economics (WISE), Hohai University, National University of Singapore (NUS) - Department of Mathematics and National University of Singapore (NUS) - Department of Mathematics
Downloads 272 (209,178)

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Policy effectiveness, Spatio-temporal model, Mixed frequency, Spatial panel data

3.

Neural Tangent Kernel in Implied Volatility Forecasting: A Nonlinear Functional Autoregression Approach

Number of pages: 87 Posted: 28 Aug 2023 Last Revised: 14 May 2024
Ying Chen, Maria Grith and Hannah Lai
National University of Singapore (NUS) - Department of Mathematics, Erasmus University Rotterdam (EUR) - Erasmus School of Economics and National University of Singapore (NUS) - Department of Mathematics
Downloads 236 (240,729)

Abstract:

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Implied Volatility Surfaces, Neural Networks, Nonlinear Functional Autoregression, Straddle Trading Strategies

4.

Optimal trade execution under endogenous order flow

Number of pages: 37 Posted: 01 Oct 2021
Ying Chen, Ulrich Horst and Hoang Hai Tran
National University of Singapore (NUS) - Department of Mathematics, Humboldt University of Berlin and National University of Singapore (NUS) - Department of Statistics and Applied Probability
Downloads 229 (247,751)

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Liquidity Risk, Optimal Trading Strategy, Portfolio Liquidation, Hawkes process

5.

Optimal Execution with Hidden Orders Under Self-Exciting Dynamics

Number of pages: 56 Posted: 01 Oct 2021
Ying Chen, Zexin Wang, Ge Zhang and Chao Zhou
National University of Singapore (NUS) - Department of Mathematics, Imperial College London - Department of Mathematics, Institute of Data Science, National University of Singapore and National University of Singapore (NUS) - Department of Mathematics
Downloads 229 (247,751)

Abstract:

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hidden order, optimal execution, stochastic control, Hawkes process

6.

Portfolio Liquidation Under Transient Price Impact – Theoretical Solution and Implementation With 100 NASDAQ Stocks

Number of pages: 22 Posted: 07 Jan 2020
Ying Chen, Ulrich Horst and Hoang Hai Tran
National University of Singapore (NUS) - Department of Mathematics, Humboldt University of Berlin and National University of Singapore (NUS) - Department of Statistics and Applied Probability
Downloads 165 (333,117)
Citation 2

Abstract:

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Liquidity Risk, Optimal Trading Strategy, Portfolio Liquidation, Hawkes process

7.

An eXplainable Multi-Stage Stochastic Optimisation for Bunker Procurement Planning

Number of pages: 49 Posted: 20 Aug 2023
Wei Li, Qinghe Sun, Ying Chen and Mabel C. Chou
National University of Singapore (NUS) - Institute of Operations Research and Analytics, National University of Singapore (NUS) - Institute of Operations Research and Analytics, National University of Singapore (NUS) - Department of Mathematics and National University of Singapore (NUS) - Sustainable & Green Finance Institute (SGFIN)
Downloads 140 (385,419)

Abstract:

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Bunker procurement planning, Bunker price forecasting, Machine learning, eXplainable AI, OR practice

8.

Optimal Trade Execution Strategy and Implementation with Deterministic Market Impact Parameters

Number of pages: 68 Posted: 30 Aug 2023
Ying Chen, Ulrich Horst and Hoang Hai Tran
National University of Singapore (NUS) - Department of Mathematics, Humboldt University of Berlin and National University of Singapore (NUS) - Department of Statistics and Applied Probability
Downloads 75 (584,341)

Abstract:

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Liquidity Risk, Optimal Trading Strategy, Portfolio Liquidation

9.

Investor Attention and Topic Appearance Probabilities: Evidence from Treasury Bond Market

Number of pages: 34 Posted: 05 Aug 2020
National University of Singapore (NUS) - Department of Statistics and Applied Probability, National University of Singapore (NUS) - Department of Mathematics and University of Glasgow, Adam Smith Business School
Downloads 74 (588,720)

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Investor Attention, U.S. Treasury Market, Topic Modeling, Financial News

10.

Modeling and Forecasting the Dynamics of the Natural Gas Transmission Network in Germany with the Demand and Supply Balance Constraint

Number of pages: 39 Posted: 05 Aug 2020
National University of Singapore (NUS) - Department of Mathematics, Technische Universitat Berlin - Software and Algorithms for Discrete Optimization, Zuse Institute Berlin and Jinan University
Downloads 70 (606,876)

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Natural gas forecasting, Dynamic network modeling, Constraint convex optimization

Article's Scientific Prestige: measuring the impact of individual articles in the Web of Science

Number of pages: 39 Posted: 24 Mar 2022
National University of Singapore (NUS) - Department of Mathematics, Technische Universitat Berlin - Software and Algorithms for Discrete Optimization, Zuse Institute Berlin, affiliation not provided to SSRN, National University of Singapore (NUS) - Department of Statistics and Applied Probability, Academia Sinica - Institute of Statistical Science, Chuo University and The Institute of Statistical Mathematics
Downloads 40 (802,439)

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citation network analysis, direct citations, scientific impact, eigenvector centrality, citations counts, cross-subject citations

Article's Scientific Prestige: Measuring the Impact of Individual Articles in the Web of Science

Number of pages: 39 Posted: 04 Mar 2022
National University of Singapore (NUS) - Department of Mathematics, Technische Universitat Berlin - Software and Algorithms for Discrete Optimization, Zuse Institute Berlin - Applied Algorithmic Intelligence Methods Department, National University of Singapore (NUS) - National University of Singapore (Chongqing) Research Institute, National University of Singapore (NUS) - Department of Statistics and Data Science, Academia Sinica - Institute of Statistical Science, Chuo University - Department of Global Management and The Institute of Statistical Mathematics
Downloads 22 (964,676)

Abstract:

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citation network Analysis, direct citations, scientific impact, eigenvector centrality, citations counts, cross-subject citations

12.

The Variational Bayesian Inference for Network Autoregression Models

Number of pages: 40 Posted: 23 Feb 2021
Department of Statistics, National Cheng Kung University, National Cheng Kung University, National University of Singapore (NUS) - Department of Mathematics and Technische Universitat Berlin - Software and Algorithms for Discrete Optimization
Downloads 32 (844,275)

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Dynamic network; EM algorithm; MCMC algorithm; Vector autoregression

13.

Analyzing Risk Spillovers in Regional and Global Sovereign Bond Markets: The Influence of ASEAN Emerging Countries Using a Time-Varying Matrix Autoregressive Model

Number of pages: 63 Posted: 07 Dec 2023
National University of Singapore (NUS) - Department of Mathematics, affiliation not provided to SSRN, affiliation not provided to SSRN and Linkoping University - Department of Management and Engineering Division
Downloads 31 (852,607)

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Sovereign bond market, Emerging ASEAN countries, Adaptive matrix autoregressive model, Nelson-Siegel model, Dynamic networks.

Other Papers (1)

Total Downloads: 0
1.

Measuring Fairness in Credit Scoring

Posted: 07 Jun 2022 Last Revised: 29 Aug 2023
National University of Singapore (NUS) - Department of Mathematics, University of Pavia, National University of Singapore (NUS) - National University of Singapore (Chongqing) Research Institute and University of Pavia

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Shapley-Lorenz, Artificial Intelligence Credit Scoring, Fairness Test