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Details about Edward W. Sun

Workplace:Kedge Business School, (more information at EDIRC)

Access statistics for papers by Edward W. Sun.

Last updated 2022-03-25. Update your information in the RePEc Author Service.

Short-id: psu384


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Working Papers

2021

  1. Classifying variety of customer's online engagement for churn prediction with mixed-penalty logistic regression
    Papers, arXiv.org Downloads

2010

  1. Analysis of the intraday effects of economic releases on the currency market
    Working Paper Series in Economics, Karlsruhe Institute of Technology (KIT), Department of Economics and Management Downloads
    See also Journal Article in Journal of International Money and Finance (2011)

Journal Articles

2021

  1. Comonotonicity and low volatility effect
    Annals of Operations Research, 2021, 299, (1), 1057-1099 Downloads
  2. Pragmatic real-time logistics management with traffic IoT infrastructure: Big data predictive analytics of freight travel time for Logistics 4.0
    International Journal of Production Economics, 2021, 238, (C) Downloads

2020

  1. Behavioral data-driven analysis with Bayesian method for risk management of financial services
    International Journal of Production Economics, 2020, 228, (C) Downloads View citations (1)
  2. Machine learning with parallel neural networks for analyzing and forecasting electricity demand
    Computational Economics, 2020, 56, (2), 569-597 Downloads View citations (1)
  3. Merging anomalous data usage in wireless mobile telecommunications: Business analytics with a strategy-focused data-driven approach for sustainability
    European Journal of Operational Research, 2020, 281, (3), 687-705 Downloads View citations (3)

2019

  1. Coherent quality management for big data systems: a dynamic approach for stochastic time consistency
    Annals of Operations Research, 2019, 277, (1), 3-32 Downloads View citations (2)
  2. Jump Detection and Noise Separation by a Singular Wavelet Method for Predictive Analytics of High-Frequency Data
    Computational Economics, 2019, 54, (2), 809-844 Downloads View citations (4)
  3. Stylized algorithmic trading: satisfying the predictive near-term demand of liquidity
    Annals of Operations Research, 2019, 281, (1), 315-347 Downloads View citations (3)

2018

  1. Integrated Portfolio Risk Measure: Estimation and Asymptotics of Multivariate Geometric Quantiles
    Computational Economics, 2018, 52, (2), 627-652 Downloads View citations (1)
  2. Risk Assessment with Wavelet Feature Engineering for High-Frequency Portfolio Trading
    Computational Economics, 2018, 52, (2), 653-684 Downloads View citations (4)
  3. Systemic risk, financial markets, and performance of financial institutions
    Annals of Operations Research, 2018, 262, (2), 579-603 Downloads View citations (13)

2015

  1. Financial Transaction Tax: Policy Analytics Based on Optimal Trading
    Computational Economics, 2015, 46, (1), 103-141 Downloads View citations (2)
  2. Generalized optimal wavelet decomposing algorithm for big financial data
    International Journal of Production Economics, 2015, 165, (C), 194-214 Downloads View citations (22)
  3. Improving model performance with the integrated wavelet denoising method
    Studies in Nonlinear Dynamics & Econometrics, 2015, 19, (4), 445-467 Downloads View citations (1)

2014

  1. High frequency trading, liquidity, and execution cost
    Annals of Operations Research, 2014, 223, (1), 403-432 Downloads View citations (8)

2013

  1. Economic Modeling for Optimal Trading of Financial Asset in Volatile Market
    Economics Bulletin, 2013, 33, (3), 1788-1795 Downloads View citations (1)

2012

  1. A Nonlinear Filtering Algorithm based on Wavelet Transforms for High-Frequency Financial Data Analysis
    Studies in Nonlinear Dynamics & Econometrics, 2012, 16, (3), 1-24 Downloads View citations (3)
  2. A new wavelet-based denoising algorithm for high-frequency financial data mining
    European Journal of Operational Research, 2012, 217, (3), 589-599 Downloads View citations (43)

2011

  1. Analysis of the intraday effects of economic releases on the currency market
    Journal of International Money and Finance, 2011, 30, (4), 692-707 Downloads View citations (12)
    See also Working Paper (2010)
  2. Identification of Driving Factors for Emerging Markets Sovereign Spreads
    Economics Bulletin, 2011, 31, (3), 2584-2592 Downloads View citations (3)

2009

  1. A New Approach for Using Lévy Processes for Determining High‐Frequency Value‐at‐Risk Predictions
    European Financial Management, 2009, 15, (2), 340-361 Downloads View citations (8)
  2. A new approach to modeling co-movement of international equity markets: evidence of unconditional copula-based simulation of tail dependence
    Empirical Economics, 2009, 36, (1), 201-229 Downloads View citations (29)

2008

  1. Fractals in trade duration: capturing long-range dependence and heavy tailedness in modeling trade duration
    Annals of Finance, 2008, 4, (2), 217-241 Downloads View citations (8)
  2. Multivariate Skewed Student's t Copula in the Analysis of Nonlinear and Asymmetric Dependence in the German Equity Market
    Studies in Nonlinear Dynamics & Econometrics, 2008, 12, (2), 1-37 Downloads View citations (15)

2007

  1. Fractals or I.I.D.: Evidence of long-range dependence and heavy tailedness from modeling German equity market returns
    Journal of Economics and Business, 2007, 59, (6), 575-595 Downloads View citations (13)
 
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