Yi Xue

Department of Economics, Simon Fraser University

Ph.D

Burnaby, V5A 1S6

Canada

SCHOLARLY PAPERS

3

DOWNLOADS

432

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (3)

The Role of Signal Precision and Transaction Costs in Stock, Option and Volatility Trading

Swiss Finance Institute Research Paper No. 09-11
Number of pages: 51 Posted: 31 Mar 2009 Last Revised: 18 Jan 2010
Simon Fraser University, University of Geneva - Geneva Finance Research Institute (GFRI) and Department of Economics, Simon Fraser University
Downloads 228 (184,577)

Abstract:

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Informed traders, options, stocks, signal precision, transaction costs, volatility trading

2.

Trading Frequency and Volatility Clustering

Number of pages: 61 Posted: 20 Mar 2009
Yi Xue and Ramazan Gencay
Department of Economics, Simon Fraser University and Simon Fraser University
Downloads 142 (278,879)
Citation 1

Abstract:

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Trading frequency, Volatility clustering, Signal extraction, Hyperbolic decay

3.

Hierarchical Information and the Rate of Information Diffusion

Number of pages: 52 Posted: 21 Mar 2009
Yi Xue and Ramazan Gencay
Department of Economics, Simon Fraser University and Simon Fraser University
Downloads 62 (470,443)

Abstract:

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Information hierarchies, Information diffusion rate, Momentum