Ying Chen

National University of Singapore (NUS) - Department of Mathematics

119076

Singapore

  • National University of Singapore (NUS) - Department of Mathematics

SCHOLARLY PAPERS

13

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Top 44,290

in Total Papers Downloads

2,411

TOTAL CITATIONS

8

Scholarly Papers (13)

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1.

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

Number of pages: 87 Posted: 28 Aug 2023 Last Revised: 17 Apr 2025
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 522 (115,065)

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Implied Volatility Surfaces, Neural Networks, Neural Tangent Kernal, Nonlinear Functional Autoregression, Option Trading Strategies

2.

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 404 (155,955)
Citation 5

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Optimal market making, Rebate, Reinforcement learning

3.

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 269 (241,817)

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

4.

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 267 (243,620)

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hidden order, optimal execution, stochastic control, Hawkes process

5.

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 224 (289,786)
Citation 3

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

6.

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 184 (348,375)

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

7.

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 130 (466,008)

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Liquidity Risk, Optimal Trading Strategy, Portfolio Liquidation

8.

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

Number of pages: 34 Posted: 05 Aug 2020
Hao Lei, Ying Chen and Cathy Yi‐Hsuan Chen
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 90 (607,277)

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

9.

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
Ying Chen, Thorsten Koch, Nazgul Zakiyeva and Bangzhu Zhu
National University of Singapore (NUS) - Department of Mathematics, Technische Universitat Berlin - Software and Algorithms for Discrete Optimization, Zuse Institute Berlin and Jinan University
Downloads 86 (624,592)

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Natural gas forecasting, Dynamic network modeling, Constraint convex optimization

10.

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

Downloads 79 (656,487)

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

Number of pages: 39 Posted: 24 Mar 2022
Ying Chen, Thorsten Koch, Nazgul Zakiyeva, Kailiang Liu, Zhitong Xu, Chun-houh Chen, Junji Nakano and Keisuke Honda
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 48 (866,056)

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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
Ying Chen, Thorsten Koch, Nazgul Zakiyeva, Kailiang Liu, Zhitong Xu, Chun-houh Chen, Junji Nakano and Keisuke Honda
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 31 (1,034,190)

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

11.

Is Innovation Slowing Down? Insights from the AIMS Framework of Patent Values

Downloads 69 (707,401)

Is Innovation Slowing Down? Insights from the AIMS Framework of Patent Values

Number of pages: 27 Posted: 15 Aug 2024
Lei Zhou, Ying Chen, Hanqiu Peng and Thorsten Koch
National University of Singapore (NUS), National University of Singapore (NUS) - Department of Mathematics, National University of Singapore (NUS) and Technische Universitat Berlin - Software and Algorithms for Discrete Optimization
Downloads 48 (866,056)

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Technological Innovation, Patent Valuation, Scientific Dilution, Market Recognition, Strategical Issuance

Is Innovation Slowing Down? Insights from the Aims Framework of Patent Values

Number of pages: 27 Posted: 26 Sep 2024
Lei Zhou, Ying Chen, Hanqiu Peng and Thorsten Koch
National University of Singapore (NUS), National University of Singapore (NUS) - Department of Mathematics, National University of Singapore (NUS) and Technische Universitat Berlin - Software and Algorithms for Discrete Optimization
Downloads 21 (1,160,175)

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Technological Innovation, Patent Valuation, Scientific Dilution, Market Recognition, Strategic Issuance

12.

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
Ying Chen, Jiazi Chen, Wei Li and Gazi Salah Uddin
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 49 (838,203)

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

13.

The Variational Bayesian Inference for Network Autoregression Models

Number of pages: 40 Posted: 23 Feb 2021
Wei-Ting Lai, Ray-Bing Chen, Ying Chen and Thorsten Koch
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 38 (934,113)

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Dynamic network; EM algorithm; MCMC algorithm; Vector autoregression

Other Papers (1)

Total Downloads: 0
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1.

Measuring Fairness in Credit Scoring

Posted: 07 Jun 2022 Last Revised: 29 Aug 2023
Ying Chen, Paolo Giudici, Kailiang Liu and Emanuela Raffinetti
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