Wang Chun Wei

University of Queensland - Faculty of Business, Economics and Law

4072 Brisbane, Queensland

Australia

University of Queensland - Finance

Australia

SCHOLARLY PAPERS

9

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2,074

SSRN CITATIONS

10

CROSSREF CITATIONS

0

Scholarly Papers (9)

1.

The Impact of Tether Grants on Bitcoin

Number of pages: 11 Posted: 14 Jun 2018
Wang Chun Wei
University of Queensland - Faculty of Business, Economics and Law
Downloads 679 (49,389)
Citation 9

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Bitcoin, Tether, Cryptocurrency

2.

A Faster Estimation Method for the Probability of Informed Trading Using Hierarchical Agglomerative Clustering

Forthcoming in Quantitative Finance
Number of pages: 33 Posted: 05 Dec 2013 Last Revised: 17 Feb 2015
Quan Gan, Wang Chun Wei and David Johnstone
The University of Sydney - Discipline of Finance, University of Queensland - Faculty of Business, Economics and Law and University of Sydney Business School
Downloads 334 (116,228)
Citation 1

Abstract:

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PIN, CPIN, Market microstructure, Cluster analysis, Mixture model, Skellam distribution

3.

An Equilibrium Crypto-Token Valuation Model

Number of pages: 7 Posted: 21 Nov 2018
Wang Chun Wei and Bonnie Yiu
University of Queensland - Faculty of Business, Economics and Law and Consulere.io
Downloads 298 (131,307)

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Bitcoin, Cryptocurrency, Valuation, Financial Modelling

4.

Modelling and Replicating Hedge Fund Returns

The University of Melbourne, Centre for Actuarial Studies, Research Paper Series No. 203
Number of pages: 22 Posted: 28 Aug 2012 Last Revised: 31 Aug 2012
Wang Chun Wei
University of Queensland - Faculty of Business, Economics and Law
Downloads 248 (158,372)

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hedge funds, hedge fund replication, Kalman filtering

5.

Resale Options and Cryptocurrency Mispricing

Number of pages: 37 Posted: 14 Oct 2018
Wang Chun Wei
University of Queensland - Faculty of Business, Economics and Law
Downloads 200 (194,129)

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Turnover, Mispricing, Heterogeneous Beliefs, Resale Option Hypothesis, Cryptocurrencies, Bitcoin

Does the Probability of Informed Trading Model Fit Empirical Data?

Number of pages: 43 Posted: 24 Oct 2014 Last Revised: 07 Aug 2015
Quan Gan, Wang Chun Wei and David Johnstone
The University of Sydney - Discipline of Finance, University of Queensland - Faculty of Business, Economics and Law and University of Sydney Business School
Downloads 185 (208,112)

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PIN, dependence structure, copula, mixture model, Rosenblatt's transformation, goodness-of-fit test

Does the Probability of Informed Trading Model Fit Empirical Data?

Financial Review, Vol. 52, Issue 1, pp. 5-35, 2017
Number of pages: 31 Posted: 15 Jan 2017
Quan Gan, Wang Chun Wei and David Johnstone
The University of Sydney - Discipline of Finance, University of Queensland - Faculty of Business, Economics and Law and University of Sydney Business School
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PIN, dependence structure, copula, mixture model, Rosenblatt's transformation, goodness‐of‐fit test

7.

Comparing Time-Varying Price Impact and Information Impounding Time Across Asian Stock Exchanges: An Adaptive Lasso Approach

25th Australasian Finance and Banking Conference 2012
Number of pages: 34 Posted: 29 Oct 2012
Wang Chun Wei and Quan Gan
University of Queensland - Faculty of Business, Economics and Law and The University of Sydney - Discipline of Finance
Downloads 91 (355,153)

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adaptive lasso, attention, price impact, market microstructure

8.

Resale Option and Cryptocurrency Mispricing

Number of pages: 37 Posted: 28 Sep 2018
Wang Chun Wei
University of Queensland - Faculty of Business, Economics and Law
Downloads 39 (536,256)

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Turnover, Mispricing, Heterogeneous Beliefs, Resale Option Hypothesis, Cryptocurrencies, Bitcoin

9.

Decomposing the Probability of Informed Trading Measure

Posted: 28 Aug 2012 Last Revised: 02 Oct 2018
Wang Chun Wei, Alex Frino and Dionigi Gerace
University of Queensland - Faculty of Business, Economics and Law, The University of Sydney - Discipline of Finance and The University of Sydney

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PIN, informed trading, information asymmetry, market microstructure

Other Papers (1)

Total Downloads: 7
1.

Investor Irrationality and the Role of Distribution Channels in Chinese Index Fund Selection

2019 Financial Markets & Corporate Governance Conference
Number of pages: 30 Posted: 22 Jan 2019
Jiaqi Huang, Wang Chun Wei and Min Zhu
University of Queensland - Business School, University of Queensland - Faculty of Business, Economics and Law and University of Queensland
Downloads 7

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Chinese mutual fund market, index funds, search cost, investor behaviour, distribution channels