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Pricing and hedging performance on pegged FX markets based on a regime switching model
Zhang, Yunbo; Drapeau, Samuel - In: Quantitative finance 21 (2021) 2, pp. 305-322
Persistent link: https://www.econbiz.de/10012424592
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On model robustness of the regime switching approach for pegged foreign exchange markets
Zhang, Yunbo; Drapeau, Samuel - In: Quantitative finance 22 (2022) 7, pp. 1371-1390
Persistent link: https://www.econbiz.de/10013367908
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On detecting spoofing strategies in high-frequency trading
Tao, Xuan; Day, Andrew; Ling, Lan; Drapeau, Samuel - In: Quantitative finance 22 (2022) 8, pp. 1405-1425
Persistent link: https://www.econbiz.de/10013367917