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Volatility Modeling and Prediction : The Role of Price Impact

Jiang, Ying - 2018

In this paper, we are interested in exploring the role of price impact, derived from the order book, in modeling and predicting stock volatility. This is motivated by the microstructure literature that focuses on the mechanics of price formation and its relevance to market quality. Using a...

Persistent link: https://www.econbiz.de/10012913968

A two-stage Bayesian network model for corporate bankruptcy prediction

Cao, Yi; Liu, Xiaoquan; Zhai, Jia; Hua, Shan - In: International journal of finance & economics : IJFE 27 (2022) 1, pp. 455-472

Persistent link: https://www.econbiz.de/10012814601

A neural network enhanced volatility component model

Zhai, Jia; Cao, Yi; Liu, Xiaoquan - In: Quantitative finance 20 (2020) 5, pp. 783-797

Persistent link: https://www.econbiz.de/10012262620

Volatility modeling and prediction : the role of price impact

Jiang, Ying; Cao, Yi; Liu, Xiaoquan; Zhai, Jia - In: Quantitative finance 19 (2019) 12, pp. 2015-2031

Persistent link: https://www.econbiz.de/10015123062

Investor sentiment and value and growth stock index options

Coakley, Jerry; Dotsis, George; Liu, Xiaoquan; Zhai, Jia - In: The European journal of finance 20 (2014) 10/12, pp. 1211-1229

Persistent link: https://www.econbiz.de/10010465894

Data analytic approach for manipulation detection in stock market

Zhai, Jia; Cao, Yi; Ding, Xuemei - In: Review of quantitative finance and accounting 50 (2018) 3, pp. 897-932

Persistent link: https://www.econbiz.de/10011979330

A survey of AI in finance

Cao, Yi; Zhai, Jia - In: Journal of Chinese economic and business studies 20 (2022) 2, pp. 125-137

Persistent link: https://www.econbiz.de/10013353068

Estimating price impact via deep reinforcement learning

Cao, Yi; Zhai, Jia - In: International journal of finance & economics : IJFE 27 (2022) 4, pp. 3954-3970

Persistent link: https://www.econbiz.de/10013461299

Bridging the gap : the impact of ChatGPT on financial research

Cao, Yi; Zhai, Jia - In: Journal of Chinese economic and business studies 21 (2023) 2, pp. 177-191

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Wavelet-based option pricing : an empirical study

Liu, Xiaoquan; Cao, Yi; Ma, Chenghu; Shen, Liya - In: European journal of operational research : EJOR 272 (2019) 3, pp. 1132-1142

Persistent link: https://www.econbiz.de/10011942861