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@@ -80,14 +80,6 @@ Stochastic Control; Market Frictions; Market Microstructure; FinTech; Deep Learn
working paper.
</li><br>
<li><b>An Equilibrium Model for the Cross-Section of Liquidity Premia</b> (with <a href="https://wwwf.imperial.ac.uk/~jmuhleka/" target="_blank">Johannes Muhle-Karbe</a> and <a href="https://www.researchgate.net/profile/Xiaofei_Shi2/" target="_blank">Xiaofei Shi</a>).<br>
submitted. [<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>]<br>
<div style="display:none" id="abs_LiqPre">
<hr>
<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 forward-backward stochastic differential equations characterizing equilibrium asset prices and trading strategies in this context reduce to a system of matrix-valued Riccati equations. We prove the existence of a unique global solution and provide explicit asymptotic expansions that allow us to approximate the corresponding equilibrium for small transaction costs. These tractable approximation formulas make it feasible to calibrate the model to time series of prices and trading volume, and to study the cross-section of liquidity premia earned by assets with higher and lower trading costs. This is illustrated by an empirical case study.</i>
</div>
</li><br>
<li><b>Designing Stable Coins</b> (with <a href="https://www.linkedin.com/in/yizhoucao/" target="_blank">Yizhou Cao</a>, <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>
submitted. [<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>]<br>
<div style="display:none" id="abs_StableCoin">
@@ -95,6 +87,14 @@ Stochastic Control; Market Frictions; Market Microstructure; FinTech; Deep Learn
<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 cryptocurrency.” However, existing cryptocurrencies are too volatile for these purposes. By using the option pricing theory, we design several dual-class structures that offer a fixed income crypto asset, a stable coin pegged to a traditional currency, and leveraged investment instruments. To understand the impact of the proposed coins on the speculative and non-speculative demands of cryptocurrencies, we study equilibrium with and without the stable coins. Our investigation of the values of stable coins in presence of jump risk and black-swan type events shows the robustness of the design.</i>
</div>
</li><br>
<li><b>An Equilibrium Model for the Cross-Section of Liquidity Premia</b> (with <a href="https://wwwf.imperial.ac.uk/~jmuhleka/" target="_blank">Johannes Muhle-Karbe</a> and <a href="https://innerpeas.github.io" target="_blank">Xiaofei Shi</a>).<br>
<i>Mathematics of Operations Research</i>, forthcoming. [<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>]<br>
<div style="display:none" id="abs_LiqPre">
<hr>
<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 forward-backward stochastic differential equations characterizing equilibrium asset prices and trading strategies in this context reduce to a system of matrix-valued Riccati equations. We prove the existence of a unique global solution and provide explicit asymptotic expansions that allow us to approximate the corresponding equilibrium for small transaction costs. These tractable approximation formulas make it feasible to calibrate the model to time series of prices and trading volume, and to study the cross-section of liquidity premia earned by assets with higher and lower trading costs. This is illustrated by an empirical case study.</i>
</div>
</li><br>
<li><b>Leveraged ETFs with Market Closure and Frictions</b> (with <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://people.math.ethz.ch/~hmsoner/" target="blank">H. Mete Soner</a>).<br>
<i>Management Science</i>, forthcoming. [<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 href="https://pubsonline.informs.org/doi/abs/10.1287/mnsc.2022.4407" target="_blank">Article</a>]<br>
@@ -141,7 +141,7 @@ Stochastic Control; Market Frictions; Market Microstructure; FinTech; Deep Learn
<ul style="list-style-type:square">
<li> <b>Associate Editor:</b> <a href="https://www.springer.com/journal/42521" target="_blank"><i>Digital Finance</i></a>, 2020 - Present</li>
<li> <b>Reviewer:</b> Operations Research, Management Science, Mathematics of Operations Research, SIAM Journal on Financial Mathematics, Mathematics and Financial Economics. </li>
<li> <b>Organizer:</b> Mini-Symposium <a 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 Conferenceon Financial Mathematics and Engineering (FM21), 2021. </li>
<li> <b>Organizer:</b> Mini-Symposium <a 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>
</ul>
@@ -151,7 +151,7 @@ Stochastic Control; Market Frictions; Market Microstructure; FinTech; Deep Learn
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<div align="right"><font size="-1">Last updated: December 2021</font></div>
<div align="right"><font size="-1">Last updated: June 2022</font></div>
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