Home

Siew Ann Cheong

  1. Understanding agent-based models of financial markets: a bottom-up approach based on order parameters and phase diagrams.

    Mon, 02/06/2012 - 15:01 — SomNambul
    Authors: Siew Ann Cheong, Ribin Lye, James Peng Lung Tan
    Subjects: Trading and Market Microstructure
    Abstract

    We describe a bottom-up framework, based on the identification of appropriate
    order parameters and determination of phase diagrams, for understanding
    progressively refined agent-based models and simulations of financial markets.
    We illustrate this framework by starting with a deterministic toy model,
    whereby $N$ independent traders buy and sell $M$ stocks through an order book
    that acts as a clearing house. The price of a stock increases whenever it is
    bought and decreases whenever it is sold. Price changes are updated by the
    order book before the next transaction takes place.

  2. Will the US Economy Recover in 2010? A Minimal Spanning Tree Study.

    Thu, 09/30/2010 - 15:02 — SomNambul
    Authors: Gladys Hui Ting Lee, Yiting Zhang, Jian Cheng Wong, Manamohan Prusty, Siew Ann Cheong, Jun Liang Kok
    Subjects: Statistical Finance
    Abstract

    Based on the temporal distributions of clustered segments in the time series
    of the ten Dow Jones US (DJUS) economic sector indices, we calculated their
    cross correlations over the period February 2000 to August 2008, the two-year
    intervals 2002--2003, 2004--2005, 2008--2009, and also over 11 corresponding
    segments within the present financial crisis. From these cross-correlation
    matrices, we constructed minimal spanning trees (MSTs) of the US economy at the
    sector level.

  3. Causal Links Between US Economic Sectors.

    Thu, 11/26/2009 - 16:01 — SomNambul
    Authors: Gladys Hui Ting Lee, Yiting Zhang, Jian Cheng Wong, Manamohan Prusty, Siew Ann Cheong
    Subjects: General Finance
    Abstract

    In this paper, we perform a comparative segmentation and clustering analysis
    of the time series for the ten Dow Jones US economic sector indices between 14
    February 2000 and 31 August 2008. From the temporal distributions of clustered
    segments, we find that the US economy took one and a half years to recover from
    the mid-1998-to-mid-2003 financial crisis, but only two months to completely
    enter the present financial crisis.

Math-arch

Syndicate content