yc4646/code.academic_webpage
1
0
Fork 0
Code Issues Pull Requests Releases Wiki Activity

Updated colorscheme to gruvbox light.

Browse Source
This commit is contained in:
Chen Yang
2025-06-21 13:52:12 +08:00
parent 0c4702f3c1
commit 2fa346acc1
2 changed files with 61 additions and 49 deletions
Download Patch File Download Diff File Expand all files Collapse all files

94
index.html
View File

@@ -41,9 +41,9 @@
<td width="20"></td>
<td>
Assistant Professor <br>
<a href="http://www.se.cuhk.edu.hk" target="_blank">Department of Systems Engineering and
<a class="extlink" href="http://www.se.cuhk.edu.hk" target="_blank">Department of Systems Engineering and
Engineering Management</a> <br>
<a href="https://www.erg.cuhk.edu.hk/erg/">Faculty of Engineering</a> <br>
<a class="extlink" href="https://www.erg.cuhk.edu.hk/erg/">Faculty of Engineering</a> <br>
The Chinese University of Hong Kong <br><br>
<i class="fas fa-map-marker-alt"></i>
&nbsp;&nbsp;Room 511A, William M.W. Mong Engineering Building <br>
@@ -62,7 +62,7 @@
<hr id="teaching" class="style-zero">
<p>
<h3>Teaching <br> <a href="https://blackboard.cuhk.edu.hk" target="_blank">[Blackboard@CUHK]</a></h3>
<h3>Teaching <br> <a class="extlink" href="https://blackboard.cuhk.edu.hk" target="_blank">[Blackboard@CUHK]</a></h3>
Undergraduate Courses
<ul class="notATable">
<li><label><b>Spring 2020-2025 </b></label>
@@ -107,7 +107,7 @@
<ul style="list-style-type:square">
<li>Arbitraging on Decentralized Exchanges (with <a href="https://sites.google.com/site/xuedonghepage/home"
target="_blank">Xuedong He</a> and Yutian Zhou).<br>
Working Paper. [<a href="" onclick="toggleAbstract('abs_arbDEX');return false">Abstract</a>]<br>
Working Paper. [<a class="paperlink" href="" onclick="toggleAbstract('abs_arbDEX');return false">Abstract</a>]<br>
<div style="display:none" id="abs_arbDEX">
<hr>
<i>Decentralized exchanges (DEXs) are alternative venues to centralized exchanges to trade
@@ -125,7 +125,7 @@
</li><br>
<li>Portfolio Selection with Time-Varying Taxation (with Xianhao Zhu).<br>
Working Paper. [<a href="" onclick="toggleAbstract('abs_TaxTimeVarying');return false">Abstract</a>]<br>
Working Paper. [<a class="paperlink" href="" onclick="toggleAbstract('abs_TaxTimeVarying');return false">Abstract</a>]<br>
<div style="display:none" id="abs_TaxTimeVarying">
<hr>
<i>The capital gains tax rate has fluctuated significantly over time, leading to substantial changes in
@@ -147,8 +147,8 @@
<li>Periodic Evaluation with Non-Concave Utility (with <a
href="https://scholar.google.com/citations?user=OzeF8T0AAAAJ&hl" target="_blank">Cong Qin</a> and <a
href="https://www.ma.ic.ac.uk/~hz/"> Harry Zheng</a>).<br>
<b>submitted</b>. [<a href=""
onclick="toggleAbstract('abs_periodicEvaluation');return false">Abstract</a>|<a
<b>submitted</b>. [<a class="paperlink" href=""
onclick="toggleAbstract('abs_periodicEvaluation');return false">Abstract</a>|<a class="paperlink"
href="https://papers.ssrn.com/sol3/papers.cfm?abstract_id=5305617" target="_blank">SSRN</a>]<br>
<div style="display:none" id="abs_periodicEvaluation">
<hr>
@@ -172,8 +172,8 @@
<li>Pricing Model for Data Assets in Investment-Consumption Framework with Ambiguity (with <a
href="https://scholar.google.com/citations?user=os0TtfkAAAAJ&hl=en" target="_blank">Xiaoshan Chen</a>
and Zhou Yang).<br>
<b>submitted</b>. [<a href="" onclick="toggleAbstract('abs_dataAsset');return false">Abstract</a>|<a
href="https://papers.ssrn.com/sol3/papers.cfm?abstract_id=5263455" target="_blank">SSRN</a>|<a
<b>submitted</b>. [<a class="paperlink" href="" onclick="toggleAbstract('abs_dataAsset');return false">Abstract</a>|<a class="paperlink"
href="https://papers.ssrn.com/sol3/papers.cfm?abstract_id=5263455" target="_blank">SSRN</a>|<a class="paperlink"
href="https://arxiv.org/abs/2505.16106" target="_blank">arXiv</a>]<br>
<div style="display:none" id="abs_dataAsset">
<hr>
@@ -196,7 +196,7 @@
<li>Arbitrage in Perpetual Contracts (with <a href="https://sites.google.com/view/mindai/home"
target="_blank">Min Dai</a> and Linfeng Li).<br>
<b>submitted</b>. [<a href="" onclick="toggleAbstract('abs_arbPerp');return false">Abstract</a>|<a
<b>submitted</b>. [<a class="paperlink" href="" onclick="toggleAbstract('abs_arbPerp');return false">Abstract</a>|<a class="paperlink"
href="https://papers.ssrn.com/sol3/papers.cfm?abstract_id=5262988" target="_blank">SSRN</a>]<br>
<div style="display:none" id="abs_arbPerp">
<hr>
@@ -214,7 +214,7 @@
<li>Optimal Tax-Timing with Transaction Costs (with <a href="https://sites.google.com/view/mindai/home"
target="_blank">Min Dai</a>, Yaoting Lei, and <a href="http://apps.olin.wustl.edu/faculty/liuh/"
target="blank">Hong Liu</a>).<br>
<b>submitted</b>. [<a href="" onclick="toggleAbstract('abs_TaxTC');return false">Abstract</a>|<a
<b>submitted</b>. [<a class="paperlink" href="" onclick="toggleAbstract('abs_TaxTC');return false">Abstract</a>|<a class="paperlink"
href="https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4952040" target="_blank">SSRN</a>]<br>
<div style="display:none" id="abs_TaxTC">
<hr>
@@ -232,8 +232,8 @@
<li>Optimal Design of Automated Market Makers on Decentralized Exchanges (with <a
href="https://sites.google.com/site/xuedonghepage/home" target="_blank">Xuedong He</a> and Yutian
Zhou).<br>
<b>submitted</b>. [<a href="" onclick="toggleAbstract('abs_AMM');return false">Abstract</a>|<a
href="https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4801468" target="_blank">SSRN</a>|<a
<b>submitted</b>. [<a class="paperlink" href="" onclick="toggleAbstract('abs_AMM');return false">Abstract</a>|<a class="paperlink"
href="https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4801468" target="_blank">SSRN</a>|<a class="paperlink"
href="https://arxiv.org/abs/2404.13291" target="_blank">arXiv</a>]<br>
<div style="display:none" id="abs_AMM">
<hr>
@@ -254,7 +254,7 @@
<li>Calibration of Local Volatility Models under the Implied Volatility Criterion (with <a
href="https://scholar.google.com/citations?user=MbbX8kUAAAAJ&hl=en" target="_blank">Xinfu Chen</a>, <a
href="https://sites.google.com/view/mindai/home" target="_blank">Min Dai</a>, and Zhou Yang).<br>
<b>submitted</b>. [<a href="" onclick="toggleAbstract('abs_LocalVol');return false">Abstract</a>|<a
<b>submitted</b>. [<a class="paperlink" href="" onclick="toggleAbstract('abs_LocalVol');return false">Abstract</a>|<a class="paperlink"
href=" https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4801520" target="_blank">SSRN</a>]<br>
<div style="display:none" id="abs_LocalVol">
<hr>
@@ -274,7 +274,7 @@
<li>Patience is a Virtue: Optimal Investment in the Presence of Market Resilience (with <a
href="https://www1.se.cuhk.edu.hk/~nchenweb/index.htm" target="_blank">Nan Chen</a>, <a
href="https://sites.google.com/view/mindai/home" target="_blank">Min Dai</a>, and Qiheng Ding).<br>
<b>submitted</b>. [<a href="" onclick="toggleAbstract('abs_LOB');return false">Abstract</a>|<a
<b>submitted</b>. [<a class="paperlink" href="" onclick="toggleAbstract('abs_LOB');return false">Abstract</a>|<a class="paperlink"
href="https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4671774" target="_blank">SSRN</a>]<br>
<div style="display:none" id="abs_LOB">
<hr>
@@ -297,8 +297,8 @@
<li>Non-Concave Utility Maximization with Transaction Costs (with <a
href="https://sites.google.com/view/shuaijie-qian" target="_blank">Shuaijie Qian</a>).<br>
<b>submitted</b>. [<a href="" onclick="toggleAbstract('abs_NonconcaveTC');return false">Abstract</a>|<a
href="https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4500965" target="_blank">SSRN</a>|<a
<b>submitted</b>. [<a class="paperlink" href="" onclick="toggleAbstract('abs_NonconcaveTC');return false">Abstract</a>|<a class="paperlink"
href="https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4500965" target="_blank">SSRN</a>|<a class="paperlink"
href="https://arxiv.org/abs/2307.02178" target="_blank">arXiv</a>]<br>
<div style="display:none" id="abs_NonconcaveTC">
<hr>
@@ -319,9 +319,9 @@
<a href="https://sites.google.com/view/mindai/home" target="_blank">Min Dai</a>, <a
href="https://www.bu.edu/questrom/profile/steven-kou/" target="_blank">Steven Kou</a> and <a
href="https://www.linkedin.com/in/lewei-li/" target="_blank">Lewei Li</a>).<br>
<i><b>Mathematical Finance</b></i>, 35(1):263-294, 2025. [<a href=""
onclick="toggleAbstract('abs_StableCoin');return false">Abstract</a>|<a
href="https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3856569" target="_blank">SSRN</a>|<a
<i><b>Mathematical Finance</b></i>, 35(1):263-294, 2025. [<a class="paperlink" href=""
onclick="toggleAbstract('abs_StableCoin');return false">Abstract</a>|<a class="paperlink"
href="https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3856569" target="_blank">SSRN</a>|<a class="paperlink"
href="https://doi.org/10.1111/mafi.12445" target="_blank">Article</a>]<br>
<div style="display:none" id="abs_StableCoin">
<hr>
@@ -340,10 +340,10 @@
<li>An Equilibrium Model for the Cross Section of Liquidity Premia (with <a
href="https://wwwf.imperial.ac.uk/~jmuhleka/" target="_blank">Johannes Muhle-Karbe</a> and <a
href="https://xf-shi.github.io" target="_blank">Xiaofei Shi</a>).<br>
<i><b>Mathematics of Operations Research</b></i>, 48(3):1423-1453, 2023. [<a href=""
onclick="toggleAbstract('abs_LiqPre');return false">Abstract</a>|<a
href="https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3738500" target="_blank">SSRN</a>|<a
href="https://arxiv.org/abs/2011.13625" target="_blank">arXiv</a>|<a
<i><b>Mathematics of Operations Research</b></i>, 48(3):1423-1453, 2023. [<a class="paperlink" href=""
onclick="toggleAbstract('abs_LiqPre');return false">Abstract</a>|<a class="paperlink"
href="https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3738500" target="_blank">SSRN</a>|<a class="paperlink"
href="https://arxiv.org/abs/2011.13625" target="_blank">arXiv</a>|<a class="paperlink"
href="https://pubsonline.informs.org/doi/abs/10.1287/moor.2022.1307" target="_blank">Article</a>]<br>
<div style="display:none" id="abs_LiqPre">
<hr>
@@ -363,9 +363,9 @@
href="https://sites.google.com/view/mindai/home" target="_blank">Min Dai</a>, <a
href="https://www.bu.edu/questrom/profile/steven-kou/" target="_blank">Steven Kou</a> and <a
href="https://people.math.ethz.ch/~hmsoner/" target="blank">H. Mete Soner</a>).<br>
<i><b>Management Science</b></i>, 69(4):2517-2535, 2023. [<a href=""
onclick="toggleAbstract('abs_LETF');return false">Abstract</a>|<a
href="https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3856573" target="_blank">SSRN</a>|<a
<i><b>Management Science</b></i>, 69(4):2517-2535, 2023. [<a class="paperlink" href=""
onclick="toggleAbstract('abs_LETF');return false">Abstract</a>|<a class="paperlink"
href="https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3856573" target="_blank">SSRN</a>|<a class="paperlink"
href="https://pubsonline.informs.org/doi/abs/10.1287/mnsc.2022.4407" target="_blank">Article</a>]<br>
<div style="display:none" id="abs_LETF">
<hr>
@@ -373,7 +373,7 @@
challenge to financial institutions. We develop an optimal rebalancing (hedging) model for leveraged
ETFs in a comprehensive setting, including overnight market closure and market frictions. The model
allows for an analytical optimal rebalancing strategy.
The result extends the principle of "aiming in front of target" introduced by <a
The result extends the principle of "aiming in front of target" introduced by <a class="paperlink"
href="https://onlinelibrary.wiley.com/doi/abs/10.1111/jofi.12080" target="_black">G&acirc;rleanu
and Pedersen (2013)</a> from a constant weight between current and future positions to a
time-varying weight, because the rebalancing performance is monitored only at discrete time points
@@ -385,9 +385,9 @@
<li>A Stochastic Representation for Nonlocal Parabolic PDEs with Applications (with <a
href="https://sites.google.com/view/mindai/home" target="_blank">Min Dai</a> and <a
href="https://www.bu.edu/questrom/profile/steven-kou/" target="_blank">Steven Kou</a>).<br>
<i><b>Mathematics of Operations Research</b></i>, 47(3):1707-1730, 2022 [<a href=""
onclick="toggleAbstract('abs_FK');return false">Abstract</a>|<a
href="https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3541591" target="_blank">SSRN</a>|<a
<i><b>Mathematics of Operations Research</b></i>, 47(3):1707-1730, 2022 [<a class="paperlink" href=""
onclick="toggleAbstract('abs_FK');return false">Abstract</a>|<a class="paperlink"
href="https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3541591" target="_blank">SSRN</a>|<a class="paperlink"
href="https://pubsonline.informs.org/doi/abs/10.1287/moor.2020.1061" target="_blank">Article</a>]<br>
<div style="display:none" id="abs_FK">
<hr>
@@ -403,11 +403,11 @@
<li>Inventory Management for High-Frequency Trading with Imperfect Competition (with <a
href="http://www-personal.umich.edu/~sherrma/" target="blank">Sebastian Herrmann</a>, <a
href="https://wwwf.imperial.ac.uk/~jmuhleka/" target="blank">Johannes Muhle-Karbe</a> and <a
href="https://www.linkedin.com/in/dapeng-shang-654316105/<Paste>" target="blank">Dapeng Shang</a>).<br>
<i><b>SIAM Journal on Financial Mathematics</b></i>, 11(1):1-26, 2020. [<a href=""
onclick="toggleAbstract('abs_HFT');return false">Abstract</a>|<a
href="https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3232037" target="_blank">SSRN</a>|<a
href="http://arxiv.org/abs/1808.05169" target="_blank">arXiv</a>|<a
href="https://www.linkedin.com/in/dapeng-shang-654316105/" target="blank">Dapeng Shang</a>).<br>
<i><b>SIAM Journal on Financial Mathematics</b></i>, 11(1):1-26, 2020. [<a class="paperlink" href=""
onclick="toggleAbstract('abs_HFT');return false">Abstract</a>|<a class="paperlink"
href="https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3232037" target="_blank">SSRN</a>|<a class="paperlink"
href="http://arxiv.org/abs/1808.05169" target="_blank">arXiv</a>|<a class="paperlink"
href="https://epubs.siam.org/doi/abs/10.1137/18M1207776" target="_blank">Article</a>]<br>
<div style="display:none" id="abs_HFT">
<hr>
@@ -427,9 +427,9 @@
href="https://sites.google.com/view/mindai/home" target="_blank">Min Dai</a>, <a
href="http://apps.olin.wustl.edu/faculty/liuh/" target="blank">Hong Liu</a> and <a
href="https://www.linkedin.com/in/yifei-zhong-12858524/" target="_blank">Yifei Zhong</a>).<br>
<i><b>The Review of Financial Studies</b></i>, 28.9:2687-2721, 2015. [<a href=""
onclick="toggleAbstract('abs_taxTiming');return false">Abstract</a>|<a
href="https://papers.ssrn.com/sol3/papers.cfm?abstract_id=1786012" target="_blank">SSRN</a>|<a
<i><b>The Review of Financial Studies</b></i>, 28.9:2687-2721, 2015. [<a class="paperlink" href=""
onclick="toggleAbstract('abs_taxTiming');return false">Abstract</a>|<a class="paperlink"
href="https://papers.ssrn.com/sol3/papers.cfm?abstract_id=1786012" target="_blank">SSRN</a>|<a class="paperlink"
href=https://academic.oup.com/rfs/article/28/9/2687/1581078, target="_blank">Article</a>]<br>
<div style="display:none" id="abs_taxTiming">
<hr>
@@ -463,7 +463,7 @@
<p>
<h3>Professional Service</h3>
<ul style="list-style-type:square">
<li> <b>Associate Editor:</b> <a href="https://www.springer.com/journal/42521" target="_blank"><i>Digital
<li> <b>Associate Editor:</b> <a class="extlink" href="https://www.springer.com/journal/42521" target="_blank"><i>Digital
Finance</i></a>, 2020 - Present</li><br>
<li> <b>Reviewer:</b>
<ul style="list-style-type:circle">
@@ -478,14 +478,14 @@
<ul style="list-style-type:circle">
<li> Session Chair, <b>ME14 Quantitative Finance and FinTech</b>, 2024 INFORMS Annual Meeting, 2024.
</li>
<li> Local Organizing Committee Member, <a href="https://events.polyu.edu.hk/icfe/home"
<li> Local Organizing Committee Member, <a class="extlink" href="https://events.polyu.edu.hk/icfe/home"
target='_blank'>First INFORMS Conference on Financial Engineering and FinTech</a>, 2024. </li>
<li> Session Chair, <b>TA73 Financial Frictions and Machine Learning</b>, 2023 INFORMS Annual Meeting,
2023. </li>
<li> Local Organizing Committee Member, <a
<li> Local Organizing Committee Member, <a class="extlink"
href="https://www.polyu.edu.hk/ama/news-and-events/events/2023/8/recent-advances-on-quantitative-finance/"
target="_blank">Recent Advances on Quantitative Finance</a>, 2023. </li>
<li> Mini-Symposium Organizer, <a
<li> Mini-Symposium Organizer, <a class="extlink"
href="https://meetings.siam.org/sess/dsp_programsess.cfm?SESSIONCODE=70910"
target="_blank"><b>MS5 Investment and Asset Pricing under Market Frictions</b></a>, SIAM
Conference on Financial Mathematics and Engineering (FM21), 2021. </li>
@@ -493,11 +493,11 @@
</li><br>
<li> <b> Seminar Organizing:</b>
<ul style="list-style-type:circle">
<li> Organizing Committee Member, <a href="https://sites.google.com/view/hksgfinmatheng/home"
<li> Organizing Committee Member, <a class="extlink" href="https://sites.google.com/view/hksgfinmatheng/home"
target="_blank"><b>The Hong Kong - Singapore Joint Seminar Series in Financial
Mathematics/Engineering</b><a>.</li>
<li> Organizing Committee Member, <a href="https://www.cfe.cuhk.edu.hk/cuhkqf/" target="_blank"><b> CUHK
Distinguished Lectures in Quantitative Finance</b><a>.</li>
Mathematics/Engineering</b></a>.</li>
<li> Organizing Committee Member, <a class="extlink" href="https://www.cfe.cuhk.edu.hk/cuhkqf/" target="_blank"><b>CUHK
Distinguished Lectures in Quantitative Finance</b></a>.</li>
</ul>
</li>
</ul>

16
style.css
View File

@@ -6,7 +6,7 @@ html {
body {
font-family: "Palatino", "Georgia", Times, serif;
background-color: rgb(255, 255, 250);
background-color: rgb(248,245,218);
line-height: 1.4;
padding-bottom: 12.5em;
}
@@ -32,6 +32,18 @@ p {
padding-bottom: 0.5em;
}
a {
color: #076678;
}
.paperlink {
color: #9d0006;
}
.extlink {
color: #427b58;
}
#topbar {
display: inline-block;
padding: 0 0.25em;
@@ -56,7 +68,7 @@ ul#course {
.navbar {
opacity: 0.8;
overflow: hidden;
background-color: #333;
background-color: #3c3836;
position: fixed;
/* Set the navbar to fixed position */
top: 0;