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chris zhang


Last seen: 3 months ago Active since 2016

quantitative finance
market microstructure
liquidity & volatility
high-frequency and algorithmic trading
jump-diffusion model
risk modelling and management

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Submitted


StrategicRuns_v2
demo for Hasbrouck and Saar (2013) strategic run algorithm, more updates to come

2 years ago | 0 downloads |

Submitted


Pairs Trading Strategy GGR (2006)
pairs trading

5 years ago | 4 downloads |

Submitted


Matlab Thomson Reuters Tick History (TRTH) system API setup
TRTHAPI

5 years ago | 1 download |

Submitted


Bollerslev, Todorov & Li (2013) intraday jump detection algorithm
BTL2013intradayjump

5 years ago | 1 download |

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Submitted


Boudt et al (2011) intraday jump detection algorithms
BOUDT(2011)

5 years ago | 2 downloads |

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Submitted


convert TRTH equity data into struct data
data2struct

5 years ago | 3 downloads |

Submitted


high frequency tick cleaning algorithms
tick cleaning

5 years ago | 1 download |