Details about Edward W. Sun
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
- Classifying variety of customer's online engagement for churn prediction with mixed-penalty logistic regression
Papers, arXiv.org
2010
- 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 
See also Journal Article Analysis of the intraday effects of economic releases on the currency market, Journal of International Money and Finance, Elsevier (2011) View citations (15) (2011)
Journal Articles
2021
- Comonotonicity and low volatility effect
Annals of Operations Research, 2021, 299, (1), 1057-1099 View citations (1)
- 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) View citations (5)
2020
- Behavioral data-driven analysis with Bayesian method for risk management of financial services
International Journal of Production Economics, 2020, 228, (C) View citations (3)
- Machine learning with parallel neural networks for analyzing and forecasting electricity demand
Computational Economics, 2020, 56, (2), 569-597 View citations (2)
- 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 View citations (4)
2019
- Coherent quality management for big data systems: a dynamic approach for stochastic time consistency
Annals of Operations Research, 2019, 277, (1), 3-32 View citations (4)
- Jump Detection and Noise Separation by a Singular Wavelet Method for Predictive Analytics of High-Frequency Data
Computational Economics, 2019, 54, (2), 809-844 View citations (9)
- Stylized algorithmic trading: satisfying the predictive near-term demand of liquidity
Annals of Operations Research, 2019, 281, (1), 315-347 View citations (2)
2018
- Integrated Portfolio Risk Measure: Estimation and Asymptotics of Multivariate Geometric Quantiles
Computational Economics, 2018, 52, (2), 627-652 View citations (5)
- Risk Assessment with Wavelet Feature Engineering for High-Frequency Portfolio Trading
Computational Economics, 2018, 52, (2), 653-684 View citations (7)
- Systemic risk, financial markets, and performance of financial institutions
Annals of Operations Research, 2018, 262, (2), 579-603 View citations (31)
2015
- Financial Transaction Tax: Policy Analytics Based on Optimal Trading
Computational Economics, 2015, 46, (1), 103-141 View citations (2)
- Generalized optimal wavelet decomposing algorithm for big financial data
International Journal of Production Economics, 2015, 165, (C), 194-214 View citations (26)
- Improving model performance with the integrated wavelet denoising method
Studies in Nonlinear Dynamics & Econometrics, 2015, 19, (4), 445-467 View citations (5)
2014
- High frequency trading, liquidity, and execution cost
Annals of Operations Research, 2014, 223, (1), 403-432 View citations (11)
2013
- Economic Modeling for Optimal Trading of Financial Asset in Volatile Market
Economics Bulletin, 2013, 33, (3), 1788-1795 View citations (1)
2012
- A Nonlinear Filtering Algorithm based on Wavelet Transforms for High-Frequency Financial Data Analysis
Studies in Nonlinear Dynamics & Econometrics, 2012, 16, (3), 24 View citations (8)
- A new wavelet-based denoising algorithm for high-frequency financial data mining
European Journal of Operational Research, 2012, 217, (3), 589-599 View citations (52)
2011
- Analysis of the intraday effects of economic releases on the currency market
Journal of International Money and Finance, 2011, 30, (4), 692-707 View citations (15)
See also Working Paper Analysis of the intraday effects of economic releases on the currency market, Working Paper Series in Economics (2010) (2010)
- Identification of Driving Factors for Emerging Markets Sovereign Spreads
Economics Bulletin, 2011, 31, (3), 2584-2592 View citations (5)
2009
- A New Approach for Using Lévy Processes for Determining High‐Frequency Value‐at‐Risk Predictions
European Financial Management, 2009, 15, (2), 340-361 View citations (9)
- 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 View citations (30)
2008
- Fractals in trade duration: capturing long-range dependence and heavy tailedness in modeling trade duration
Annals of Finance, 2008, 4, (2), 217-241 View citations (14)
- 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), 37 View citations (21)
2007
- 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 View citations (16)
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