Wing Lon Ng

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Many agent-based models of financial markets have been able to reproduce certain stylized facts that are observed in actual empirical time series data by using " zero-intelligence " agents whose behaviour is largely random in order to ascertain whether certain phenomena arise from market micro-structure as opposed to strategic behaviour. Although these(More)
We have developed a reliable high-throughput plasmid isolation system using a 96-well plate format. This system combines a novel glass bead micro-mixing method with modified alkaline lysis and Sephacryl S-500 DNA purification procedures. Mechanical forces generated by vortexing glass beads inside each well of the 96-well plates ensure that the bacterial(More)
In this paper, we apply the meshfree radial basis function (RBF) interpolation to numerically approximate zero-coupon bond prices and survival probabilities in order to price credit default swap (CDS) contracts. We assume that the interest rate follows a Cox-Ingersoll-Ross process while the default intensity is described by the Exponential-Vasicek model.(More)
This paper introduces an adaptive neuro-fuzzy inference system (ANFIS) for financial trading, which learns to predict price movements from training data consisting of intraday tick data sampled at high frequency. The empirical data used in our investigation are five-minute mid-price time series from FX markets. The ANFIS optimisation involves back-testing(More)
Liquidity plays an important role in trading and represents a nontrivial economic concept that is difficult to measure as it involves several three dimensions to investigate. In this paper, we explore the liquidity in electronic markets by estimating a time-varying Gamma distribution of volume adjusted prices for both bid and ask side of in the order book.(More)
  • Rafael Velasco-Fuentes, Wing Lon Ng, RAFAEL VELASCO–FUENTES
  • 2008
This paper shows that it is possible to recover normality of asset returns through a stochastic time change, where the appropriate operational time is determined through a function of the cumulative number of trades and/or the cumulative volume. Ané and Geman (2000) showed that the re-centered cumulative number of trades could be used as the appropriate(More)
— Directional Change (DC) is a technique to summarize price movements in a financial market. According to the DC concept, data is sampled only when the magnitude of price change is significant according to the investor. Unlike with time series, DC samples data at irregular time intervals. In this paper, we propose a contrarian trading strategy that is based(More)