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<li>Arbitraging on Decentralized Exchanges (with <a class="authorlink" href="https://sites.google.com/site/xuedonghepage/home" <li>Arbitraging on Decentralized Exchanges (with <a class="authorlink" href="https://sites.google.com/site/xuedonghepage/home"
target="_blank">Xuedong He</a> and <a class="authorlink" href="https://hk.linkedin.com/in/yutian-zhou-555870189" target="_blank">Yutian Zhou</a>).<br> target="_blank">Xuedong He</a> and <a class="authorlink" href="https://hk.linkedin.com/in/yutian-zhou-555870189" target="_blank">Yutian Zhou</a>).<br>
Working Paper. <span class="links">[<a class="paperlink" href="" onclick="toggleAbstract('abs_arbDEX');return false">Abstract</a>]</span><br> Working Paper. <span class="links">[<a class="paperlink" href="" onclick="toggleAbstract('abs_arbDEX');return false">Abstract</a>]</span><br>
<div style="display:none" id="abs_arbDEX"> <div class="fade-in" style="display:none" id="abs_arbDEX">
<hr> <hr>
<i>Decentralized exchanges (DEXs) are alternative venues to centralized exchanges to trade <i>Decentralized exchanges (DEXs) are alternative venues to centralized exchanges to trade
cryptocurrencies (CEXs) and have become increasingly popular. An arbitrage opportunity arises when cryptocurrencies (CEXs) and have become increasingly popular. An arbitrage opportunity arises when
@@ -157,7 +157,7 @@
<li>Portfolio Selection with Time-Varying Taxation (with Xianhao Zhu).<br> <li>Portfolio Selection with Time-Varying Taxation (with Xianhao Zhu).<br>
Working Paper. <span class="links">[<a class="paperlink" href="" onclick="toggleAbstract('abs_TaxTimeVarying');return false">Abstract</a>]</span><br> Working Paper. <span class="links">[<a class="paperlink" href="" onclick="toggleAbstract('abs_TaxTimeVarying');return false">Abstract</a>]</span><br>
<div style="display:none" id="abs_TaxTimeVarying"> <div class="fade-in" style="display:none" id="abs_TaxTimeVarying">
<hr> <hr>
<i>The capital gains tax rate has fluctuated significantly over time, leading to substantial changes in <i>The capital gains tax rate has fluctuated significantly over time, leading to substantial changes in
investors' optimal strategies, as documented by the empirical studies. This paper proposes a novel investors' optimal strategies, as documented by the empirical studies. This paper proposes a novel
@@ -181,7 +181,7 @@
<b>submitted</b>. <span class="links">[<a class="paperlink" href="" <b>submitted</b>. <span class="links">[<a class="paperlink" href=""
onclick="toggleAbstract('abs_periodicEvaluation');return false">Abstract</a>|<a class="paperlink" 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>]</span><br> href="https://papers.ssrn.com/sol3/papers.cfm?abstract_id=5305617" target="_blank">SSRN</a>]</span><br>
<div style="display:none" id="abs_periodicEvaluation"> <div class="fade-in" style="display:none" id="abs_periodicEvaluation">
<hr> <hr>
<i>A fund manager's performance is often evaluated annually and compared with a benchmark, such as a <i>A fund manager's performance is often evaluated annually and compared with a benchmark, such as a
market index. In addition, the manager may be subject to trading constraints, such as limited use of market index. In addition, the manager may be subject to trading constraints, such as limited use of
@@ -206,7 +206,7 @@
<b>submitted</b>. <span class="links">[<a class="paperlink" href="" onclick="toggleAbstract('abs_dataAsset');return false">Abstract</a>|<a class="paperlink" <b>submitted</b>. <span class="links">[<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://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>]</span><br> href="https://arxiv.org/abs/2505.16106" target="_blank">arXiv</a>]</span><br>
<div style="display:none" id="abs_dataAsset"> <div class="fade-in" style="display:none" id="abs_dataAsset">
<hr> <hr>
<i>Data assets are data commodities that have been processed, produced, priced, and traded based on <i>Data assets are data commodities that have been processed, produced, priced, and traded based on
actual demand. Reasonable pricing mechanism for data assets is essential for developing the data actual demand. Reasonable pricing mechanism for data assets is essential for developing the data
@@ -229,7 +229,7 @@
target="_blank">Min Dai</a> and <a class="authorlink" href="https://sg.linkedin.com/in/linfeng-li-263843184" target="_blank">Linfeng Li</a>).<br> target="_blank">Min Dai</a> and <a class="authorlink" href="https://sg.linkedin.com/in/linfeng-li-263843184" target="_blank">Linfeng Li</a>).<br>
<b>submitted</b>. <span class="links">[<a class="paperlink" href="" onclick="toggleAbstract('abs_arbPerp');return false">Abstract</a>|<a class="paperlink" <b>submitted</b>. <span class="links">[<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>]</span><br> href="https://papers.ssrn.com/sol3/papers.cfm?abstract_id=5262988" target="_blank">SSRN</a>]</span><br>
<div style="display:none" id="abs_arbPerp"> <div class="fade-in" style="display:none" id="abs_arbPerp">
<hr> <hr>
<i>Perpetual contracts, designed to track the underlying price through a funding swap mechanism, have <i>Perpetual contracts, designed to track the underlying price through a funding swap mechanism, have
gained significant popularity in cryptocurrency markets. However, observed price discrepancies gained significant popularity in cryptocurrency markets. However, observed price discrepancies
@@ -247,7 +247,7 @@
target="blank">Hong Liu</a>).<br> target="blank">Hong Liu</a>).<br>
<b>submitted</b>. <span class="links">[<a class="paperlink" href="" onclick="toggleAbstract('abs_TaxTC');return false">Abstract</a>|<a class="paperlink" <b>submitted</b>. <span class="links">[<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>]</span><br> href="https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4952040" target="_blank">SSRN</a>]</span><br>
<div style="display:none" id="abs_TaxTC"> <div class="fade-in" style="display:none" id="abs_TaxTC">
<hr> <hr>
<i>We develop a dynamic portfolio model incorporating capital gains tax (CGT), transaction costs, and <i>We develop a dynamic portfolio model incorporating capital gains tax (CGT), transaction costs, and
year-end taxation. We find that even tiny transaction costs can lead to significant deferral of year-end taxation. We find that even tiny transaction costs can lead to significant deferral of
@@ -265,7 +265,7 @@
<b>submitted</b>. <span class="links">[<a class="paperlink" href="" onclick="toggleAbstract('abs_AMM');return false">Abstract</a>|<a class="paperlink" <b>submitted</b>. <span class="links">[<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://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>]</span><br> href="https://arxiv.org/abs/2404.13291" target="_blank">arXiv</a>]</span><br>
<div style="display:none" id="abs_AMM"> <div class="fade-in" style="display:none" id="abs_AMM">
<hr> <hr>
<i>Automated market makers are a popular mechanism used on decentralized exchange, through which users <i>Automated market makers are a popular mechanism used on decentralized exchange, through which users
trade assets with each other directly and automatically through a liquidity pool and a fixed pricing trade assets with each other directly and automatically through a liquidity pool and a fixed pricing
@@ -286,7 +286,7 @@
href="https://sites.google.com/view/mindai/home" target="_blank">Min Dai</a>, and <a class="authorlink" href="https://www.researchgate.net/profile/Zhou-Yang-9" target="_blank">Zhou Yang</a>).<br> href="https://sites.google.com/view/mindai/home" target="_blank">Min Dai</a>, and <a class="authorlink" href="https://www.researchgate.net/profile/Zhou-Yang-9" target="_blank">Zhou Yang</a>).<br>
<b>submitted</b>. <span class="links">[<a class="paperlink" href="" onclick="toggleAbstract('abs_LocalVol');return false">Abstract</a>|<a class="paperlink" <b>submitted</b>. <span class="links">[<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>]</span><br> href=" https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4801520" target="_blank">SSRN</a>]</span><br>
<div style="display:none" id="abs_LocalVol"> <div class="fade-in" style="display:none" id="abs_LocalVol">
<hr> <hr>
<i>We study non-parametric calibration of local volatility models, which is formulated as an inverse <i>We study non-parametric calibration of local volatility models, which is formulated as an inverse
problem of partial differential equations with Tikhonov regularization. In contrast to the existing problem of partial differential equations with Tikhonov regularization. In contrast to the existing
@@ -306,7 +306,7 @@
href="https://sites.google.com/view/mindai/home" target="_blank">Min Dai</a>, and Qiheng Ding).<br> href="https://sites.google.com/view/mindai/home" target="_blank">Min Dai</a>, and Qiheng Ding).<br>
<b>submitted</b>. <span class="links">[<a class="paperlink" href="" onclick="toggleAbstract('abs_LOB');return false">Abstract</a>|<a class="paperlink" <b>submitted</b>. <span class="links">[<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>]</span><br> href="https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4671774" target="_blank">SSRN</a>]</span><br>
<div style="display:none" id="abs_LOB"> <div class="fade-in" style="display:none" id="abs_LOB">
<hr> <hr>
<i>This paper investigates an optimal investment problem in an illiquid market, modeling explicitly the <i>This paper investigates an optimal investment problem in an illiquid market, modeling explicitly the
effects of three key features of market microstructure --- market tightness, market depth, and effects of three key features of market microstructure --- market tightness, market depth, and
@@ -330,7 +330,7 @@
<b>submitted</b>. <span class="links">[<a class="paperlink" href="" onclick="toggleAbstract('abs_NonconcaveTC');return false">Abstract</a>|<a class="paperlink" <b>submitted</b>. <span class="links">[<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://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>]</span><br> href="https://arxiv.org/abs/2307.02178" target="_blank">arXiv</a>]</span><br>
<div style="display:none" id="abs_NonconcaveTC"> <div class="fade-in" style="display:none" id="abs_NonconcaveTC">
<hr> <hr>
<i>This paper studies a finite-horizon portfolio selection problem with non-concave terminal utility and <i>This paper studies a finite-horizon portfolio selection problem with non-concave terminal utility and
proportional transaction costs. The commonly used concavification principle for terminal value is no proportional transaction costs. The commonly used concavification principle for terminal value is no
@@ -353,7 +353,7 @@
onclick="toggleAbstract('abs_StableCoin');return false">Abstract</a>|<a class="paperlink" 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://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>]</span><br> href="https://doi.org/10.1111/mafi.12445" target="_blank">Article</a>]</span><br>
<div style="display:none" id="abs_StableCoin"> <div class="fade-in" style="display:none" id="abs_StableCoin">
<hr> <hr>
<i>Stable coins, which are cryptocurrencies pegged to other stable financial assets such as U.S. dollar, <i>Stable coins, which are cryptocurrencies pegged to other stable financial assets such as U.S. dollar,
are desirable for payments within blockchain networks, whereby being often called the “Holy Grail of are desirable for payments within blockchain networks, whereby being often called the “Holy Grail of
@@ -375,7 +375,7 @@
href="https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3738500" target="_blank">SSRN</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://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>]</span><br> href="https://pubsonline.informs.org/doi/abs/10.1287/moor.2022.1307" target="_blank">Article</a>]</span><br>
<div style="display:none" id="abs_LiqPre"> <div class="fade-in" style="display:none" id="abs_LiqPre">
<hr> <hr>
<i>We study a risk-sharing economy where an arbitrary number of heterogenous agents trades an arbitrary <i>We study a risk-sharing economy where an arbitrary number of heterogenous agents trades an arbitrary
number of risky assets subject to quadratic transaction costs. For linear state dynamics, the number of risky assets subject to quadratic transaction costs. For linear state dynamics, the
@@ -397,7 +397,7 @@
onclick="toggleAbstract('abs_LETF');return false">Abstract</a>|<a class="paperlink" 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://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>]</span><br> href="https://pubsonline.informs.org/doi/abs/10.1287/mnsc.2022.4407" target="_blank">Article</a>]</span><br>
<div style="display:none" id="abs_LETF"> <div class="fade-in" style="display:none" id="abs_LETF">
<hr> <hr>
<i>Although leveraged ETFs are popular products for retail investors, how to hedge them poses a great <i>Although leveraged ETFs are popular products for retail investors, how to hedge them poses a great
challenge to financial institutions. We develop an optimal rebalancing (hedging) model for leveraged challenge to financial institutions. We develop an optimal rebalancing (hedging) model for leveraged
@@ -419,7 +419,7 @@
onclick="toggleAbstract('abs_FK');return false">Abstract</a>|<a class="paperlink" 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://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>]</span><br> href="https://pubsonline.informs.org/doi/abs/10.1287/moor.2020.1061" target="_blank">Article</a>]</span><br>
<div style="display:none" id="abs_FK"> <div class="fade-in" style="display:none" id="abs_FK">
<hr> <hr>
<i>We establish a stochastic representation for a class of nonlocal parabolic terminal-boundary value <i>We establish a stochastic representation for a class of nonlocal parabolic terminal-boundary value
problems, whose terminal and boundary conditions depend on the solution in the interior domain; in problems, whose terminal and boundary conditions depend on the solution in the interior domain; in
@@ -439,7 +439,7 @@
href="https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3232037" target="_blank">SSRN</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="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>]</span><br> href="https://epubs.siam.org/doi/abs/10.1137/18M1207776" target="_blank">Article</a>]</span><br>
<div style="display:none" id="abs_HFT"> <div class="fade-in" style="display:none" id="abs_HFT">
<hr> <hr>
<i>We study Nash equilibria for inventory-averse high-frequency traders (HFTs), who trade to exploit <i>We study Nash equilibria for inventory-averse high-frequency traders (HFTs), who trade to exploit
information about future price changes. For discrete trading rounds, the HFTs' optimal trading information about future price changes. For discrete trading rounds, the HFTs' optimal trading
@@ -461,7 +461,7 @@
onclick="toggleAbstract('abs_taxTiming');return false">Abstract</a>|<a class="paperlink" 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://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>]</span><br> href=https://academic.oup.com/rfs/article/28/9/2687/1581078, target="_blank">Article</a>]</span><br>
<div style="display:none" id="abs_taxTiming"> <div class="fade-in" style="display:none" id="abs_taxTiming">
<hr> <hr>
<i>We develop an optimal tax-timing model that takes into account asymmetric long-term and short-term <i>We develop an optimal tax-timing model that takes into account asymmetric long-term and short-term
tax rates for positive capital gains and limited tax deductibility of capital losses. In contrast to tax rates for positive capital gains and limited tax deductibility of capital losses. In contrast to

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