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Number of items: 30.

Liu, Anqi ORCID: https://orcid.org/0000-0002-9224-084X, Jahanshahloo, Hossein ORCID: https://orcid.org/0000-0003-0786-2415, Chen, Jing ORCID: https://orcid.org/0000-0001-7135-2116 and Eshraghi, Arman ORCID: https://orcid.org/0000-0002-7406-1725 2023. Trading patterns in the Bitcoin market. European Journal of Finance 10.1080/1351847X.2023.2241883
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Chen, Jing ORCID: https://orcid.org/0000-0001-7135-2116, Scalas, Enrico, Habyarimana, Cassien, Polito, Federico, Hawkes, Alan G. and Aduda, Jane Akinyi 2023. A fractional Hawkes process II: further characterization of the process. Physica A 615 , 128596. 10.1016/j.physa.2023.128596
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Chen, Jing ORCID: https://orcid.org/0000-0001-7135-2116, Guo, Qian, Buckle, Mike and Li, Xiaoxi 2023. Does Smile help detect the UK’s price leadership change after MiFID? International Review of Economics and Finance 84 , pp. 765-769. 10.1016/j.iref.2022.11.033
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Zhang, Junhuan, Wen, Jiaqi and Chen, Jing ORCID: https://orcid.org/0000-0001-7135-2116 2023. Modelling market fluctuations under investor sentiment with a Hawkes-contact process. The European Journal of Finance 29 (1) , pp. 17-32. 10.1080/1351847X.2021.1957699
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Han, Qian, Zhao, Chengzhi, Chen, Jing ORCID: https://orcid.org/0000-0001-7135-2116 and Guo, Qian 2022. Reexamining the impact of closing call auction on market quality: A natural experiment from the Shanghai stock exchange. Pacific-Basin Finance Journal 74 , 101821. 10.1016/j.pacfin.2022.101821
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Chen, Jing ORCID: https://orcid.org/0000-0001-7135-2116, Han, Qian, Ryu, Doojin and Tang, Jing 2022. Does the world smile together? A network analysis of global index option implied volatilities. Journal of International Financial Markets, Institutions and Money 77 , 101497. 10.1016/j.intfin.2021.101497
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Chen, Jing ORCID: https://orcid.org/0000-0001-7135-2116, Yang, Steve, Taylor, Nick and Han, Qian 2022. Hawkes processes in finance: Market structure and impact. European Journal of Finance 28 (7) , pp. 621-626. 10.1080/1351847x.2022.2060755
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Chen, Jing ORCID: https://orcid.org/0000-0001-7135-2116 2021. A fractional Hawkes process. Presented at: Nonlocal and Fractional Operators in honour of Prof. Renato Spigler, Rome, Italy, 12-13 April 2019. Published in: Garrappa, Roberto, Mainardi, Francesco and Beghin, Luisa eds. Nonlocal and fractional operators: Theory and applications to physics, probability and numerical analysis. SEMA SIMAI Springer Series Springer,
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Chen, Jing ORCID: https://orcid.org/0000-0001-7135-2116 and Liu, Anqi ORCID: https://orcid.org/0000-0002-9224-084X 2021. Information transition in trading and its effect on market efficiency: an entropy approach. Presented at: 1st International Forum on Financial Mathematics and FinTech, Beijing, China, 29 June - 2 July 2019. Proceeding of the First International Academic Forum on Financial Mathematics and Financial Technology. Proceeding of the First International Academic Forum on Financial Mathematics and Financial Technology. Financial Mathematics and Fintech Springer, pp. 59-77.
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Hawkes, Alan and Chen, Jing ORCID: https://orcid.org/0000-0001-7135-2116 2021. A personal history of Hawkes process. Proceedings of the Institute of Statistical Mathematics (統計数理) 69 (2) , pp. 123-143.
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Liu, Anqi ORCID: https://orcid.org/0000-0002-9224-084X, Chen, Jing ORCID: https://orcid.org/0000-0001-7135-2116, Yang, Steve Y. and Hawkes, Alan G. 2020. The flow of information in trading: an entropy approach to market regimes. Entropy 22 (9) , 1064. 10.3390/e22091064
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Calice, Giovanni, Chen, Jing ORCID: https://orcid.org/0000-0001-7135-2116 and Williams, Julien 2020. Forecasting options prices using discrete time volatility models estimated at mixed timescales. Journal of Derivatives 27 (3) , pp. 45-74. 10.3905/jod.2019.1.094
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Chen, Jing ORCID: https://orcid.org/0000-0001-7135-2116 and McMillan, David 2020. Stock returns, illiquidity and feedback trading. Review of Accounting and Finance 19 (2) , pp. 135-145. 10.1108/RAF-02-2017-0024
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Chen, Jing ORCID: https://orcid.org/0000-0001-7135-2116, Buckle, Mike, Guo, Qian and Li, Xiaoxi 2019. The impact of multilateral trading facilities on price discovery: Further evidence from the European markets. Financial Markets, Institutions and Instruments 28 (4) , pp. 321-343. 10.1111/fmii.12121
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Chen, Jing ORCID: https://orcid.org/0000-0001-7135-2116, Adams, Mike and Upreti, Vineet 2019. Product-market strategy and underwriting performance in the United Kingdom’s (UK) property-casualty insurance market. European Journal of Finance 25 (11) , pp. 1012-1031. 10.1080/1351847X.2019.1578676
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Chen, Jing ORCID: https://orcid.org/0000-0001-7135-2116, McMillan, David G. and Buckle, Mike 2018. Information transmission across European equity markets during crisis periods. Manchester School 86 (6) , pp. 770-788. 10.1111/manc.12226
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Buckle, Mike, Chen, Jing ORCID: https://orcid.org/0000-0001-7135-2116, Guo, Qian and Li, Xiaoxi 2018. The impact of multilateral trading facilities on price discovery. Financial Markets, Institutions and Instruments 27 (4) , pp. 145-165. 10.1111/fmii.12096
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Tong, Chen, Chen, Jing ORCID: https://orcid.org/0000-0001-7135-2116 and Buckle, Mike 2018. A network visualisation approach and global stock market integration. International Journal of Finance and Economics 23 , pp. 296-314.
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Buckle, Mike, Chen, Jing ORCID: https://orcid.org/0000-0001-7135-2116, Guo, Qian and Tong, Chen 2018. Do ETFs lead the price moves? Evidence from the major US markets. International Review of Financial Analysis 58 , pp. 91-103. 10.1016/j.irfa.2017.12.005
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Chen, Jing ORCID: https://orcid.org/0000-0001-7135-2116, Dongb, Yizhe, Houc, Wenxuan and McMillan, David G 2018. Does feedback trading drive return of cross-listed shares? Journal of International Financial Markets, Institutions and Money 53 , pp. 179-199. 10.1016/j.intfin.2017.09.018
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Yang, Steve Y., Liu, Anqi ORCID: https://orcid.org/0000-0002-9224-084X, Chen, Jing ORCID: https://orcid.org/0000-0001-7135-2116 and Hawkes, Alan G. 2018. Applications of multi-variate Hawkes process to joint modelling of sentiment and market return events. Quantitative Finance 18 (2) , pp. 295-310. 10.1080/14697688.2017.1403156
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Khashanah, Khaldoun, Chen, Jing ORCID: https://orcid.org/0000-0001-7135-2116 and Hawkes, Alan 2018. A slightly depressing jump model: intraday volatility pattern simulation. Quantitative Finance 18 (2) , pp. 213-224. 10.1080/14697688.2017.1403139
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Chen, J. ORCID: https://orcid.org/0000-0001-7135-2116, Hawkes, A. G., Scalas, E. and Trinh, M. 2018. Performance of information criteria for selection of Hawkes process models of financial data. Quantitative Finance 18 (2) , pp. 225-235. 10.1080/14697688.2017.1403140
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Chen, Maggie ORCID: https://orcid.org/0000-0001-7135-2116, Hawkes, Alan, Khashnah, Khaldoun, McMillan, David, Rosenbaum, Mathieu, Scalas, Enrico and Yang, Steve 2017. Editors’ foreword: special issue of Quantitative Finance on ‘Hawkes processes in finance’. Quantitative Finance 18 (2) , pp. 191-192. 10.1080/14697688.2018.1404804
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Chen, Jing ORCID: https://orcid.org/0000-0001-7135-2116, Ma, Diandian, Song, Xiaojong and Tippett, Mark 2017. Negative real interest rates. European Journal of Finance 23 (15) , pp. 1447-1467. 10.1080/1351847X.2016.1158729
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Buckle, Mike, Chen, Jing ORCID: https://orcid.org/0000-0001-7135-2116 and Williams, Julian 2014. How predictable are equity covariance matrices? Evidence from high-frequency data for four markets. Journal of Forecasting 33 (7) , pp. 542-557. 10.1002/for.2310

Buckle, Mike, Chen, Jing ORCID: https://orcid.org/0000-0001-7135-2116 and Williams, Julian M. 2014. Realised higher moments: theory and practice. The European Journal of Finance 22 (13) , pp. 1272-1291. 10.1080/1351847X.2014.885456

Calice, Giovanni, Chen, Jing ORCID: https://orcid.org/0000-0001-7135-2116 and Williams, Julian M. 2013. Are there benefits to being naked? The returns and diversification impact of capital structure arbitrage. The European Journal of Finance 19 (9) , pp. 815-840. 10.1080/1351847X.2011.637115

Calice, Giovanni, Chen, Jing ORCID: https://orcid.org/0000-0001-7135-2116 and Williams, Julian 2013. Liquidity spillovers in sovereign bond and CDS markets: An analysis of the Eurozone sovereign debt crisis. Journal of Economic Behavior & Organization 85 , pp. 122-143. 10.1016/j.jebo.2011.10.013

Chen, Jing ORCID: https://orcid.org/0000-0001-7135-2116, Buckland, Roger and Williams, Julian 2011. Regulatory changes, market integration and spillover effects in the Chinese A, B and Hong Kong equity markets. Pacific-Basin Finance Journal 19 (4) , pp. 351-373. 10.1016/j.pacfin.2011.01.002

This list was generated on Thu Dec 7 05:09:42 2023 GMT.


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