Samuel Drapeau

Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF)

Shanghai Jiao Tong University

211 West Huaihai Road

Shanghai, 200030

China

http://www.samuel-drapeau.info

Shanghai Jiao Tong University (SJTU) - School of Mathematical Sciences

Dongchuan Road 800

Shanghai, Shanghai

China

SCHOLARLY PAPERS

8

DOWNLOADS
Rank 44,776

SSRN RANKINGS

Top 44,776

in Total Papers Downloads

2,095

SSRN CITATIONS
Rank 42,483

SSRN RANKINGS

Top 42,483

in Total Papers Citations

17

CROSSREF CITATIONS

5

Scholarly Papers (8)

1.

Risk Preferences and their Robust Representation

Number of pages: 49 Posted: 23 Feb 2010 Last Revised: 26 Dec 2010
Michael Kupper and Samuel Drapeau
Vienna Institute of Finance and Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF)
Downloads 615 (82,859)
Citation 19

Abstract:

Loading...

Risk Preferences, Risk Measures, Robust Representation

2.

On Detecting Spoofing Strategies in High Frequency Trading

Number of pages: 30 Posted: 06 Jan 2021
Xuan Tao, Andrew Day, Lan Ling and Samuel Drapeau
Shanghai Jiao Tong University (SJTU) - School of Mathematical Sciences, Western University, affiliation not provided to SSRN and Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF)
Downloads 380 (147,686)
Citation 4

Abstract:

Loading...

Spoofing, High Frequency Trading, Imbalance, Limit Order Book

3.

How Rational Are the Option Prices of Hong Kong Dollar Exchange Rate?

Number of pages: 28 Posted: 08 Nov 2019
Samuel Drapeau, Tan Wang and Tao Wang
Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF), Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF) and Shanghai Advanced Institute of Finance, Shanghai Jiao Tong University
Downloads 349 (162,738)
Citation 2

Abstract:

Loading...

Fixed Exchange Rate, Hong Kong Dollar

4.

Stochastic Order-Monotone Uncertainty-Averse Preferences

Number of pages: 23 Posted: 04 Mar 2015 Last Revised: 27 Aug 2015
ETH Zurich, Swiss Federal Institute of Technology at Zurich, Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF) and Humboldt University of Berlin - Department of Mathematics
Downloads 329 (172,793)
Citation 2

Abstract:

Loading...

Uncertainty-aversion, stochastic orders, Allais paradox, Ellsberg paradox

5.

A Von Neumann-Morgenstern Representation Result Without Weak Continuity Assumption

Number of pages: 14 Posted: 12 Mar 2010 Last Revised: 11 Mar 2021
Michael Kupper, Freddy Delbaen and Samuel Drapeau
Vienna Institute of Finance, Swiss Federal Institute of Technology at Zurich and Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF)
Downloads 195 (289,441)

Abstract:

Loading...

von Neumann and Morgenstern representation, affine preference orders, automatic continuity, first stochastic order

6.

On Model Robustness of the Regime Switching Approach for Pegged Foreign Exchange Markets

Number of pages: 25 Posted: 17 Mar 2021 Last Revised: 08 Sep 2021
Yunbo Zhang and Samuel Drapeau
Shanghai Jiao Tong University (SJTU) - School of Mathematical Sciences and Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF)
Downloads 159 (346,044)

Abstract:

Loading...

FX Markets, Pegged Exchange Rate, USD-HKD, EUR-CHF, Regime Switching, Option Pricing, Calibration

7.

Conditional Preference Orders and Their Numerical Representations

Number of pages: 18 Posted: 22 Oct 2014 Last Revised: 11 May 2015
Samuel Drapeau and Asgar Jamneshan
Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF) and University of Konstanz
Downloads 42 (772,599)

Abstract:

Loading...

Conditional Preferences, Utility Theory, Gap Lemma, von Neumann and Morgenstern

8.

Evolution of Chinese Futures Markets from a High Frequency Perspective

Economics&Politics
Number of pages: 36 Posted: 20 Feb 2024 Last Revised: 09 May 2024
Zhengqiang Li, Tao Wang, Samuel Drapeau and Xuan Tao
University of International Business and Economics (UIBE) - University of International Business and Economics (UIBE), School of International Trade and Economics, Students, Shanghai Advanced Institute of Finance, Shanghai Jiao Tong University, Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF) and Shanghai Jiao Tong University (SJTU) - School of Mathematical Sciences
Downloads 26 (903,136)

Abstract:

Loading...

High Frequency Trading, Algorithmic Trading, Liquidity