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Michael Y. Zhang, Ph.D.

Affiliations: 
2001 University of Chicago, Chicago, IL 
Area:
General Business Administration
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"Michael Zhang"
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Ruey S. Tsay grad student 2001 Chicago
 (Econometric modeling of high -frequency financial data with applications to market microstructure.)

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Publications

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Zhang MY, Russell JR, Tsay RS. (2008) Determinants of bid and ask quotes and implications for the cost of trading Journal of Empirical Finance. 15: 656-678
Zhang MY, Russell JR, Tsay RS. (2001) A nonlinear autoregressive conditional duration model with applications to financial transaction data Journal of Econometrics. 104: 179-207
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