Maggie Chen

Maggie Chen
Cardiff University | CU · School of Mathematics

Professor

About

4
Publications
497
Reads
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0
Citations
Additional affiliations
March 2018 - December 2020
Cardiff University
Position
  • Professor
August 2015 - February 2018
Cardiff University
Position
  • Lecturer
February 2015 - August 2015
University College London
Position
  • Professor
Education
November 2007 - May 2011
University of Aberdeen
Field of study
  • Finance

Publications

Publications (4)
Conference Paper
Full-text available
This research presents an original financial data processing methodology, which effectively neutralizes the effect of microstructure noise in price data, and yields consistent jump detection results across a wide range of detection methods and data sampling frequencies.
Preprint
Full-text available
The aim of this research is to develop a fast and robust variant of the evolutionary heuristic Bionomic algorithm and assess its contribution to solving complex parametric estimation problems, in conjunction with other traditional optimization techniques. We introduce a modified version of the Bionomic Algorithm (MB), designed to efficiently comput...
Thesis
The objective of this research is to present a 2-step data processing methodology for return series, to neutralize the potential effects of consecutive large returns and microstructure noise in jump detection test results.