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

Updated SIFIN publication info.

Browse Source
This commit is contained in:
Chen Yang
2020-02-21 08:05:42 +08:00
parent 56958851ca
commit e7f8b04b0e
1 changed files with 2 additions and 2 deletions
Download Patch File Download Diff File Expand all files Collapse all files

4
index.html
View File

@@ -80,13 +80,13 @@ Optimal investment under market frictions; Stochastic Control; FinTech; Market m
</li><br>
<li><b>Stochastic Representation for Nonlocal Problems</b> (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>Mathematics of Operations Research</i>, forthcoming. [<a href="https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3541591">SSRN</a>]
<i>Mathematics of Operations Research</i>, forthcoming. [<a href="https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3541591" target="_blank">SSRN</a>]
<br><hr>
<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 particular, the solution is represented as the expectation of functionals of a diffusion process with random jumps from boundaries. We discuss three applications of the representation, the first one on the pricing of dual-purpose funds, the second one on the connection to regenerative processes, and the third one on modeling the entropy on a one-dimensional non-rigid body.</i>
</li><br>
<li><b>Inventory Management for High-Frequency Trading with Imperfect Competition</b> (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>SIAM Journal on Financial Mathematics</i>, forthcoming. [<a href="https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3232037">SSRN</a>|<a href="http://arxiv.org/abs/1808.05169">arXiv</a>]<br><hr>
<i>SIAM Journal on Financial Mathematics</i>, 11(1):1-26, 2020. [<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://epubs.siam.org/doi/abs/10.1137/18M1207776" target="_blank">Article</a>]<br><hr>
<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 strategies and their equilibrium price impact are described by a system of nonlinear equations; explicit solutions obtain around the continuous-time limit. Unlike in the risk-neutral case, the optimal inventories become mean-reverting and vanish as the number of trading rounds becomes large. In contrast, the HFTs' risk-adjusted profits and the equilibrium price impact converge to their risk-neutral counterparts. Compared to a social-planner solution for cooperative HFTs, Nash competition leads to excess trading, so that marginal transaction taxes in fact decrease market liquidity.</i>
</li><br>