Get started
Author

Ban Zheng

Modelling Bid and Ask Prices Using Constrained Hawkes Processes: Ergodicity and Scaling Limit
2014 · Ban Zheng, François Roueff, et al. · SIAM Journal on Financial Mathematics · 40
PDF
Mathematical Recommendations to Fight Against COVID-19
2020 · Chenlin GU, Wei Jiang, et al. · SSRN Electronic Journal · 32
Price Jump Prediction in a Limit Order Book
2013 · Ban Zheng, Eric Moulines, et al. · Journal of Mathematical Finance · 28
PDF
A Primer on Alternative Risk Premia
2016 · Rayann Hamdan, Fabien Pavlowsky, et al. · SSRN Electronic Journal · 22
Price Jump Prediction in Limit Order Book
2012 · Ban Zheng, E. Moulines, et al. · SSRN Electronic Journal · 22
Ergodicity and Scaling Limit of a Constrained Multivariate Hawkes Process
2013 · Ban Zheng, François Roueff, et al. · SSRN Electronic Journal · 10
Integration of ESG in Asset Allocation
2019 · Benjamin Bruder, Yazid Cheikh, et al. · SSRN Electronic Journal · 8
Ergodicity and scaling limit of a constrained multivariate Hawkes process
2013 · Zheng, Ban, Roueff, François, et al. · RePEc: Research Papers in Economics · 7
PDF
Measuring the Liquidity of ETFs: An Application to the European Market
2014 · Thierry Roncalli, Ban Zheng · The Journal of Trading · 6
Quantum Monte Carlo Integration for Simulation-Based Optimisation
2024 · Cui, Jingjing, de Brouwer, Philippe J. S., et al. · arXiv (Cornell University) · 5
PDF
Integration of Macroeconomic Data into Multi-Asset Allocation with Machine Learning Techniques
2020 · Amine Abouseir, Arthur Le Manach, et al. · SSRN Electronic Journal · 2
Price Jump Prediction in Limit Order Book
2012 · Ban Zheng, Éric Moulines, et al. · RePEc: Research Papers in Economics · 2
An Introduction to Contrarian Functional Trading
2024 · Ban Zheng · SSRN Electronic Journal · 1
Application of Spread constrained Limit Order Book Hawkes Process to financial high frequency data modelling
2012 · Zheng, Ban, Roueff, François, et al. · HAL
Works count: 17
Citation count: 185
H-index: 7
I10-index: 6
Year
Topic
Type