Ke Xu, University of Victoria

Research

Read how they describe their research on their University of Victoria profile.

Financial Market Microstructure Theory and Empirics Applied Time Series Analysis Macroeconomics

Latest papers

Novel modelling strategies for high-frequency stock trading data.
Financial innovation · 2023
COVID-19 vaccine and post-pandemic recovery: Evidence from Bitcoin cross-asset implied volatility spillover.
Finance research letters · 2022 · senior author

All 2 publications

Latest funding

Is high frequency trading all about speed?
SSHRC · 2018 · Principal investigator
$53,081

All 1 grants and awards

2 publications.

01

Novel modelling strategies for high-frequency stock trading data.

Zhang X, Huang Y, Xu K, Xing L

Financial innovation2023

DOI: 10.1186/s40854-022-00431-9 PMID: 36687790

02

COVID-19 vaccine and post-pandemic recovery: Evidence from Bitcoin cross-asset implied volatility spillover.

Di M, Xu K

Finance research letters2022Senior author

DOI: 10.1016/j.frl.2022.103289 PMID: 36061103

Is high frequency trading all about speed?

Principal investigatorSSHRC2018Insight Development Grant

Principal investigators: Xu, Ke

Keywords: (1) high frequency trading; (2) adverse selection; (3) market stress; (4) speed limit policy; (5) algorithmic trading; (6) market making; (7) trading costs

$53,081

From CIHR, NSERC and SSHRC funding decisions: CIHR since 2008, NSERC since 1991 and SSHRC since 1998, including their latest published competition results.

Frequent collaborators

Economics
Mathematics and Statistics
Math Statistics

Co-authors at University of Victoria, colored by department. Thicker lines mean more shared papers; select anyone to open their profile and their own map.

Li Xing

Mathematics and Statistics

1 shared papers, latest 2023

Xuekui Zhang

Math Statistics

1 shared papers, latest 2023

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Subject: Prospective PhD student: Financial Market Microstructure Theory and Empirics Dear Professor Xu, My name is [your name], and I am a [your current degree or role] at [your institution]. I am applying for a PhD position starting in [term and year]. I read your paper "Novel modelling strategies for high-frequency stock trading data." (2023), and it connects closely to my own work on [your research topic]. [One or two sentences on what you did and what you learned.] Are you accepting new PhD students for [term and year]? I have attached my CV and transcripts, and I would be glad to talk at a time that suits you. Thank you for your time. Kind regards, [your name]