Recent publications
| Publication | Year of publication | Type of publication |
|---|---|---|
| Chen, Y.T., Sun, E.X., Yu, M.T. (2018). Risk Assessment with Wavelet Feature Engineering for High-Frequency Portfolio Trading. Computational Economics, 52, 653-684 | 2018 | Refereed Article |
| Sun, E.W., Wang, Y.-J., Yu, M.-T. (2018). Integrated Portfolio Risk Measure: Estimation and Asymptotics of Multivariate Geometric Quantiles, Computational Economics, 52, 627-652 | 2018 | Refereed Article |
| Lin, E.M.H., Sun, E.W., Yu, M.T. (2018). Systemic risk, financial markets, and performance of financial institutions. Annals of Operations Research, 262, January, 579-603 | 2018 | Refereed Article |
| Chen, Y.T., Sun, E.W. (2017). Automated Business Analytics for Artificial Intelligence in Big Data @X 4.0 Era. Chap. 8, pp. 225-255. In Dehmer, M. and Emmert-Streib, F. (eds.), Frontiers in Data Science, UK: CRC Press (Chapman & Hall/CRC Big Data Series), October, ISBN 9781498799324 | 2017 | Chapter |
| Edward M. H. Lin · Edward W. Sun · Min-Teh Yu. Systemic Risk, Financial Markets, and Performance of Financial Institutions. Annals of Operations Research• DOI: 10.1007/s10479-016-2113-8 | 2016 | Refereed Article |
| Yi-Ting CHEN ; Edward W. SUN ; Min-Teh YU "Improving Model Performance with Integrated Wavelet Denoising Method", Studies in Nonlinear Dynamics & Econometrics, September 2015, vol. 19, n°4, pp. 445-467 | 2015 | Refereed Article |
| Edward W. SUN, Yi-Ting CHEN, Min-Teh YU «Generalized optimal wavelet decomposing algorithmforbig financial data», International Journal of Production Economics, vol. 165, pp. 194-214 http://dx.doi.org/10.1016/j.ijpe.2014.12.033, available online 5 january 2015 | 2015 | Refereed Article |
| Oscar CARCHANO ; Young S. A. KIM ; Edward W. SUN, et al.«A Quasi-Maximum Likelihood Estimation Strategy for Value-at-Risk ForeCase Studyting: Application to Equity Index Futures Markets» (Chapterter 48 ), In Cheng-Few LEE & John C. LEE HandBook of Financial Econometrics and Statistics, New York : Springer, 2015, 2736 p. ISBN-10: 1461477492ISBN-13: 978-1461477495 | 2015 | Chapter |
| Edward W. SUN ; Timm KRUSE ; Min-Teh YU "Financial Transaction Tax: Policy Analytics based on Optimal Trading", Computational Economics, vol. 46 (1), pp. 103-141, June 2015 DOI 10.1007/s10614-014-9473-4 | 2015 | Refereed Article |
| Thomas MEINL ; Edward W. SUN ; Svetlozar RACHEV ; Frank J. FABOZZI « Methods of Denoising Financial Data » (Chapterter 18), In Cheng-Few LEE & John C. LEE HandBook of Financial Econometrics and Statistics, New York : Springer, 2015, 2736 p. ISBN-10: 1461477492ISBN-13: 978-1461477495 | 2015 | Chapter |
| Edward W. SUN ; Timm KRUSE ; Min-Teh YU "High Frequency Trading, Liquidity, and Execution Cost", Annals of Operations Research, vol. 223, n°1, December 2014, pp. 403-432 | 2014 | Refereed Article |
| Timm KRUSE ; Edward W. SUN “News Trader, Liquidity and Transaction Cost” In Dufrenot et al. (ed.) Market Microstructure and Nonlinear Dynamics: Keeping Financial Crisis in Context, Chapterter 4, pp. 95-127, Springer, 2014 | 2014 | Chapter |
| Edward W. SUN ; Timm KRUSE "Economic Modeling for Optimal Trading of Financial Asset in Volatile Market", Economics Bulletin, vol. 33, n°3, July 2013, pp. 1788-1795 | 2013 | Refereed Article |
| Kabasinskas, A., Sakalauskas, L., Edward W. SUN, Belovas, I. "Mixed-Stable Models for Analyzing High-Frequency Financial Data", Journal of Computational Analysis and Applications,vol. 14, n°7, pp. 1210-1226, November 2012 | 2012 | Refereed Article |
| SUN, Edward W., T Meinl. “A New Wavelet-Based Denoising Algorithm for High-Frequency Financial Data Mining”, European Journal of Operational Research, vol. 217, n°3, 16 March 2012, pp. 589–599 | 2012 | Refereed Article |
| MEINL, Thomas ; SUN, Edward W. "A Nonlinear Filtering Algorithm based on Wavelet Transforms for High-Frequency Financial Data Analysis", Studies in Nonlinear Dynamics & Econometrics, vol. 16, n°3, pages –, ISSN (Online) 1558-3708, DOI: 10.1515/1558-3708.1920, September 2012 | 2012 | Refereed Article |
| SUN, Edward W. ; REZANIA, Omid ; RACHEV, Svetlozar T. ; FABOZZI, Frank J. "Analysis of the Intraday Effects of Economic Releases on the Currency Market", Journal of International Money and Finance, vol. 30, n°4, June 2011, pp. 692-707 | 2011 | Refereed Article |
| SUN, Edward W. ; TENENGAUSER, Daniel ; BASTANI, Ali et al. "Identification of Driving Factors for emerging markets sovereign spreads", Economics Bulletin, vol. 31, n°3, pp. 2584-2592 | 2011 | Refereed Article |
| Kabasinskas, A., Rachev, S., Sakalauskas, L., Sun, W., Belovas, I.: Stable Mixture Model with Dependent States for Financial Return Series Exhibiting Short Histories and Periods of Strong Passivity. Journal of Computational Analysis and Applications, 12(1-B): 268-293,2010 | 2010 | Refereed Article |
| Sun, W., Rachev, S., Fabozzi, F.: A New Approach of Using Lévy Processes for Determining High-Frequency Value at Risk Predictions. European Financial Management, 15(2): 340-361, 2009 | 2009 | Refereed Article |