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Author SHA1 Message Date
Chen Yang
d4a52a82a2 Change NonConcaveTC paper to accepted. 2025-12-01 09:53:08 +08:00
Chen Yang
354a568787 Added paper with Lingfei and Qianyu; unbold submitted status. 2025-10-24 18:03:31 +08:00
Chen Yang
74f2d3aed1 Added JOTA. 2025-10-02 09:40:05 +08:00
Chen Yang
7f2560504b Added XYZ conference. 2025-10-02 09:35:12 +08:00
Chen Yang
7c6f5fd135 Added Journal of the Operational Research Society to reviewer list. 2025-09-28 19:26:58 +08:00
Chen Yang
3c9e5a2306 Added JQFA review. 2025-09-26 09:32:03 +08:00
Chen Yang
4a9743236b Included updated time to LOB and perp. 2025-09-11 09:27:49 +08:00
Chen Yang
d963a7fadf Correct capitalization. 2025-09-04 21:23:30 +08:00
Chen Yang
1d5c46364a Updated font of acceptance. 2025-09-04 21:16:20 +08:00
Chen Yang
1a64970923 Updated TaxTC to accepted. 2025-09-04 21:14:04 +08:00
Chen Yang
732e25ae40 Added SIAM FM25. 2025-08-11 19:09:04 +08:00
Chen Yang
a14581b383 Updated the date of perp paper. 2025-08-11 15:33:53 +08:00
Chen Yang
3b66629287 Removed one paper. 2025-08-01 09:57:41 +08:00
Chen Yang
3e272804f3 Change position. 2025-08-01 07:26:23 +08:00
Chen Yang
f197f11468 Added arXiv link to arbitrage paper. 2025-07-15 10:12:06 -04:00
Chen Yang
299476845c Fixed DEX arbitrage paper title. 2025-07-13 09:20:08 +08:00
Chen Yang
21b4e93917 Updated DEX arbitrage SSRN link and LOB abstract. 2025-07-11 15:39:12 +08:00
Chen Yang
039289cbd8 Roll back the paper link font to Georgia. 2025-06-30 15:35:46 +08:00
Chen Yang
1da079b430 Remove italic from abstract. 2025-06-29 09:07:10 +08:00
Chen Yang
71130358d0 Try American Typewritter 2025-06-29 09:01:29 +08:00
Chen Yang
8d5af3ce57 Added variety of fonts. 2025-06-29 09:00:08 +08:00
Chen Yang
f6b9bc2921 Add navbar blurred background. 2025-06-28 22:23:11 +08:00
Chen Yang
24e12371ad Remember scroll position when refreshing. 2025-06-28 21:54:38 +08:00
Chen Yang
ca22d5cd2a Fixed anchor jump location. 2025-06-28 21:51:02 +08:00
Chen Yang
c73823b61d Adjusted the alignment of teaching block. 2025-06-23 13:15:31 +08:00
Chen Yang
0b82c4cf85 Changed to Georgia for clarity on screen. 2025-06-23 10:07:39 +08:00
Chen Yang
56daa0fdea Added fade-in effect for abstract. 2025-06-23 07:30:11 +08:00
Chen Yang
eb2b826282 Added printer css. 2025-06-21 22:54:10 +08:00
Chen Yang
c0002ca721 Adjusted contact block size. 2025-06-21 21:46:45 +08:00
Chen Yang
8cd2b3afbb Simplified contract block style. 2025-06-21 21:42:28 +08:00
Chen Yang
05b9c9f4bc Updated dynamic toggle icon. 2025-06-21 19:15:59 +08:00
Chen Yang
318af764eb Add dynamic toggle icon 2025-06-21 19:02:44 +08:00
Chen Yang
afd265cdcb Change toggle to icon. 2025-06-21 18:41:55 +08:00
Chen Yang
f06d694fbd Remove comments. 2025-06-21 18:23:20 +08:00
Chen Yang
6182d6d439 Cleaned up comments. 2025-06-21 18:03:33 +08:00
Chen Yang
b762ae5f26 Added dark mode. 2025-06-21 18:01:13 +08:00
Chen Yang
bedc40ad39 Added link for Yang Zhou. 2025-06-21 16:29:17 +08:00
Chen Yang
7146b927f9 Added links for Zhou Yutian and Li Linfeng. 2025-06-21 16:09:05 +08:00
Chen Yang
be4dd2d5c6 Removed underlines in author and paper links. 2025-06-21 14:34:08 +08:00
Chen Yang
3f0e7c92a7 Updated boldness of link. 2025-06-21 14:09:40 +08:00
Chen Yang
1bf2fb2ba7 Adjusted navbar size on mobile. 2025-06-21 14:08:36 +08:00
Chen Yang
06a39c90d8 Change publication to numbered list. 2025-06-21 13:57:30 +08:00
Chen Yang
2fa346acc1 Updated colorscheme to gruvbox light. 2025-06-21 13:52:12 +08:00
3 changed files with 690 additions and 228 deletions
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@@ -3,6 +3,7 @@
<head> <head>
<link rel="stylesheet" href="style.css"> <link rel="stylesheet" href="style.css">
<link rel="stylesheet" media="print" href="style-print.css" />
<link rel="stylesheet" href="fontawesome-free-5.15.3-web/css/all.css"> <link rel="stylesheet" href="fontawesome-free-5.15.3-web/css/all.css">
<meta http-equiv="content-type" content="text/html; charset=utf-8"> <meta http-equiv="content-type" content="text/html; charset=utf-8">
<title>Homepage of YANG Chen @ SEEM, CUHK</title> <title>Homepage of YANG Chen @ SEEM, CUHK</title>
@@ -15,6 +16,45 @@
x.style.display = "none"; x.style.display = "none";
} }
} }
function toggleDarkLight() {
var element = document.body;
element.classList.toggle("dark_mode_body");
var elements = document.getElementsByClassName("authorlink")
for (const element of elements)
element.classList.toggle("dark_mode_authorlink");
var elements = document.getElementsByClassName("paperlink")
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element.classList.toggle("dark_mode_paperlink");
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var elements = document.getElementsByClassName("style-zero");
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icon.classList.toggle("fa-sun");
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sessionStorage.setItem('scrollpos', window.scrollY);
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</script> </script>
</head> </head>
@@ -25,6 +65,7 @@
<a href="#teaching">Teaching</a> <a href="#teaching">Teaching</a>
<a href="#research">Research</a> <a href="#research">Research</a>
<a href="#service">Service</a> <a href="#service">Service</a>
<a href="" onclick="toggleDarkLight();return false"><i id="toggleICON" class="fas fa-moon"></i></a>
</div> </div>
<div class="main" id="home"> <div class="main" id="home">
@@ -32,23 +73,25 @@
</div> </div>
<h1>YANG, Chen</h1> <h1>YANG, Chen</h1>
<div id="shadowbox"> <div>
<table> <table class="isPrinttable">
<tbody> <tbody>
<tr> <tr>
<td width="5"></td> <td class="isPrint" width="5"></td>
<td width="160"><img src="ME.jpeg" width="160"></td> <td class="isPrint" width="160"><img src="ME.jpeg" width="150"></td>
<td width="20"></td> <td class="isPrint" width="20"></td>
<td> <td>
Assistant Professor <br> <div class="isPrinttd">
<a href="http://www.se.cuhk.edu.hk" target="_blank">Department of Systems Engineering and Associate Professor <br>
<a class="extlink" href="http://www.se.cuhk.edu.hk" target="_blank">Department of Systems Engineering and
Engineering Management</a> <br> 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> The Chinese University of Hong Kong <br><br>
</div>
<i class="fas fa-map-marker-alt"></i> <i class="fas fa-map-marker-alt"></i>
&nbsp;&nbsp;Room 511A, William M.W. Mong Engineering Building <br> <span class="links">&nbsp;&nbsp;</span>Room 511A, William M.W. Mong Engineering Building <br>
&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; The Chinese University of Hong Kong <br> <span class="links">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; </span>The Chinese University of Hong Kong <br>
&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shatin, N.T., Hong Kong<br><br> <span class="links">&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; </span>Shatin, N.T., Hong Kong<br>
<i class="fas fa-envelope"></i> &nbsp;cyang at se.cuhk.edu.hk <br> <i class="fas fa-envelope"></i> &nbsp;cyang at se.cuhk.edu.hk <br>
<i class="fas fa-phone-alt"></i> &nbsp;+852 3943-8322 <br> <i class="fas fa-phone-alt"></i> &nbsp;+852 3943-8322 <br>
</td> </td>
@@ -57,34 +100,32 @@
</table> </table>
</div> </div>
<br><br>
<hr id="teaching" class="style-one">
<hr id="teaching" class="style-zero">
<p> <p>
<h3>Teaching <br> <a href="https://blackboard.cuhk.edu.hk" target="_blank">[Blackboard@CUHK]</a></h3> <h3>Teaching <br> <a id="blackboard" class="extlink" href="https://blackboard.cuhk.edu.hk" target="_blank">[Blackboard@CUHK]</a></h3>
Undergraduate Courses Undergraduate Courses
<ul class="notATable"> <ul class="notATable">
<li><label><b>Spring 2020-2025 </b></label> <li><label><b>Spring 2020-2025 </b></label>
<div>SEEM3580 Risk Analysis for Financial Engineering</div> <div>SEEM3580 Risk Analysis for Financial Engineering</div>
</li> </li>
<li><label><b>Fall 2019-2024 </b></label> <li><label><b>Fall 2019-2025 </b></label>
<div>SEEM3590 Investment Science</div> <div>SEEM3590 Investment Science</div>
</li> </li>
</ul> </ul>
Postgraduate Courses Postgraduate Courses
<ul class="notATable"> <ul class="notATable">
<li><label><b>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Spring 2025 </b></label> <li><label><b>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Spring 2025 </b></label>
<div>SEEM5410 Optimal Control</div> <div>SEEM5410 Optimal Control</div>
</li> </li>
<li><label><b>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Spring 2023 </b></label> <li><label><b>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Spring 2023 </b></label>
<div>SEEM5670 Advanced Models in Financial Engineering</div> <div>SEEM5670 Advanced Models in Financial Engineering</div>
</li> </li>
<li><label><b>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Fall 2021 </b></label> <li><label><b>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Fall 2021 </b></label>
<div>SEEM5340 Stochastic Calculus (with <a href="https://sites.google.com/site/xuedonghepage/home" <div>SEEM5340 Stochastic Calculus</div>
target="_blank">Xuedong He</a> and <a href="https://sites.google.com/view/lingfeili"
target="_blank">Lingfei Li</a>)</div>
</li> </li>
</ul> </ul>
</p> </p>
@@ -104,14 +145,24 @@
<p> <p>
<h3>Selected Publications</h3> <h3>Selected Publications</h3>
<ul style="list-style-type:square"> <ol>
<li>Arbitraging on Decentralized Exchanges (with <a href="https://sites.google.com/site/xuedonghepage/home" <li>Optimal Investment with Quadratic Transaction Costs in a Multi-factor and Stochastic Interest Rate Environment (with <a class="authorlink" href="https://sites.google.com/view/lingfeili/home"
target="_blank">Xuedong He</a> and Yutian Zhou).<br> target="_blank">Lingfei Li</a> and Qianyu Liu).<br>
Working Paper. [<a href="" onclick="toggleAbstract('abs_arbDEX');return false">Abstract</a>]<br> Working Paper. <span class="links">[<a class="paperlink" href="" onclick="toggleAbstract('abs_investFactor');return false">Abstract</a>|<a class="paperlink"
<div style="display:none" id="abs_arbDEX"> href="https://papers.ssrn.com/sol3/papers.cfm?abstract_id=5652190" target="_blank">SSRN</a>]</span><br>
<div class="fade-in" style="display:none" id="abs_investFactor">
<hr> <hr>
<i>Decentralized exchanges (DEXs) are alternative venues to centralized exchanges to trade This paper studies an optimal investment problem in a comprehensive market environment featuring geometric Brownian motion type asset dynamics, stochastic interest rates, return and volatility factors, and time-varying, state-dependent quadratic transaction costs. Under a finite-horizon mean-quadratic variation objective, we derive a semi-analytical solution for the value function and optimal trading strategy and establish the well-posedness of the associated system of nonlinear PDEs along with the verification theorem. The optimal strategy retains a tractable structure that echoes the core economic principle of trading gradually toward an aim portfolio as proposed in Gârleanu and Pedersen (2013). Specifically, the aim portfolio is adjusted for hedging demands against the interest rate risk, and the trading speed reflects an intertemporal trade-off between immediate rebalancing costs and future market liquidity. Additionally, we propose a deep learning scheme to enable efficient implementation in high-dimensional settings based on observable market data and estimated factor models.
cryptocurrencies (CEXs) and have become increasingly popular. An arbitrage opportunity arises when </div>
</li><br>
<li>Arbitrage 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>
Working Paper. <span class="links">[<a class="paperlink" href="" onclick="toggleAbstract('abs_arbDEX');return false">Abstract</a>|<a class="paperlink"
href="https://papers.ssrn.com/sol3/papers.cfm?abstract_id=5347630" target="_blank">SSRN</a>|<a class="paperlink" href="https://arxiv.org/abs/2507.08302" target="_blank">arXiv</a>]</span><br>
<div class="fade-in" style="display:none" id="abs_arbDEX">
<hr>
Decentralized exchanges (DEXs) are alternative venues to centralized exchanges (CEXs) for trading
cryptocurrencies and have become increasingly popular. An arbitrage opportunity arises when
the exchange rate of two cryptocurrencies in a DEX differs from that in a CEX. Arbitrageurs can then the exchange rate of two cryptocurrencies in a DEX differs from that in a CEX. Arbitrageurs can then
trade on the DEX and CEX to make a profit. Trading on the DEX incurs a gas fee, which determines the trade on the DEX and CEX to make a profit. Trading on the DEX incurs a gas fee, which determines the
priority of the trade being executed. We study a gas-fee competition game between two arbitrageurs priority of the trade being executed. We study a gas-fee competition game between two arbitrageurs
@@ -120,39 +171,19 @@
opportunity is small; (ii) the probability of the arbitrageurs choosing a higher gas fee is lower; opportunity is small; (ii) the probability of the arbitrageurs choosing a higher gas fee is lower;
(iii) the arbitrageurs pay a higher gas fee and trade more when the arbitrage opportunity becomes (iii) the arbitrageurs pay a higher gas fee and trade more when the arbitrage opportunity becomes
larger and when liquidity becomes higher. The above findings are consistent with our empirical larger and when liquidity becomes higher. The above findings are consistent with our empirical
study. </i> study.
</div> </div>
</li><br> </li><br>
<li>Portfolio Selection with Time-Varying Taxation (with Xianhao Zhu).<br> <li>Periodic Evaluation with Non-Concave Utility (with <a class="authorlink"
Working Paper. [<a href="" onclick="toggleAbstract('abs_TaxTimeVarying');return false">Abstract</a>]<br> href="https://scholar.google.com/citations?user=OzeF8T0AAAAJ&hl" target="_blank">Cong Qin</a> and <a class="authorlink"
<div style="display:none" id="abs_TaxTimeVarying">
<hr>
<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
continuous-time portfolio selection framework with a time-varying capital gains tax rate. Featuring
differential tax rate announcement time and implementation time, our framework is able to capture
the investors' anticipation over a potential future tax rate change before its announcement, as well
as their reaction to an announced tax change yet to be implemented. The optimal investment strategy
embodies the interaction between the time-varying tax rate and the lock-in and diversification
effects proposed in the existing literature. Furthermore, our findings provide theoretical support
for the permanent and transitory effects of tax rate changes documented in the empirical studies.
The strength of the transitory effect depends on the size of the tax rate change, and the tax rate
uncertainty mostly affects the transitory effect and has a negligible impact on the permanent
effect. Moreover, the permanent effect vanishes under a zero interest rate while the transitory
effect persists. </i>
</div>
</li><br>
<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> href="https://www.ma.ic.ac.uk/~hz/"> Harry Zheng</a>).<br>
<b>submitted</b>. [<a href="" submitted. <span class="links">[<a class="paperlink" href=""
onclick="toggleAbstract('abs_periodicEvaluation');return false">Abstract</a>|<a 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> 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 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
leverage, no short-selling, and a forced liquidation clause. We formulate this as a periodic leverage, no short-selling, and a forced liquidation clause. We formulate this as a periodic
evaluation problem with a non-concave utility, a stochastic reference point, and trading evaluation problem with a non-concave utility, a stochastic reference point, and trading
@@ -164,20 +195,20 @@
this local concavity/convexity weakens and shifts inward from the liquidation boundary to the this local concavity/convexity weakens and shifts inward from the liquidation boundary to the
interior region as the evaluation horizon increases. As a result, the joint effect of periodic interior region as the evaluation horizon increases. As a result, the joint effect of periodic
evaluation and forced liquidation can generate highly nonlinear investment strategies, which is evaluation and forced liquidation can generate highly nonlinear investment strategies, which is
helpful in understanding the complexity of trading strategies in the loss region.</i> helpful in understanding the complexity of trading strategies in the loss region.
</div> </div>
</li><br> </li><br>
<li>Pricing Model for Data Assets in Investment-Consumption Framework with Ambiguity (with <a <li>Pricing Model for Data Assets in Investment-Consumption Framework with Ambiguity (with <a class="authorlink"
href="https://scholar.google.com/citations?user=os0TtfkAAAAJ&hl=en" target="_blank">Xiaoshan Chen</a> href="https://scholar.google.com/citations?user=os0TtfkAAAAJ&hl=en" target="_blank">Xiaoshan Chen</a>
and Zhou Yang).<br> and <a class="authorlink" href="https://www.researchgate.net/profile/Zhou-Yang-9" target="_blank">Zhou Yang</a>).<br>
<b>submitted</b>. [<a href="" onclick="toggleAbstract('abs_dataAsset');return false">Abstract</a>|<a submitted. <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 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> 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 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
market and realizing their value. Most existing literature approaches data asset pricing from the market and realizing their value. Most existing literature approaches data asset pricing from the
seller's perspective, focusing on data properties and collection costs, however, research from the seller's perspective, focusing on data properties and collection costs, however, research from the
@@ -190,54 +221,35 @@
existing research results, we simplify the value function, using mathematical analysis and existing research results, we simplify the value function, using mathematical analysis and
differential equation theory, we derive general expressions for data assets price and explore their differential equation theory, we derive general expressions for data assets price and explore their
properties under various conditions. Furthermore, we derive the explicit pricing formulas for properties under various conditions. Furthermore, we derive the explicit pricing formulas for
specific scenarios and provide numerical illustration to describe how to use our pricing model.</i> specific scenarios and provide numerical illustration to describe how to use our pricing model.
</div> </div>
</li><br> </li><br>
<li>Arbitrage in Perpetual Contracts (with <a href="https://sites.google.com/view/mindai/home" <li>Arbitrage in Perpetual Contracts (with <a class="authorlink" href="https://sites.google.com/view/mindai/home"
target="_blank">Min Dai</a> and Linfeng Li).<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>. [<a href="" onclick="toggleAbstract('abs_arbPerp');return false">Abstract</a>|<a submitted. Updated: September 2025. <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>]<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 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
between perpetual contracts and the underlying asset cannot be explained solely by transaction fees. between perpetual contracts and the underlying asset cannot be explained solely by transaction fees.
By examining the impact of the clamping function inherent in the funding swap mechanism -- an By examining the impact of the clamping function inherent in the funding swap mechanism -- an
overlooked aspect in existing literature -- we derive model-free no-arbitrage bounds for perpetual overlooked aspect in existing literature -- we derive model-free no-arbitrage bounds for perpetual
contracts. Our findings reveal that these bounds persist as intervals even without transaction fees, contracts. Our findings reveal that these bounds persist as intervals even without transaction fees,
due to the clamping function. Empirical analysis using two years of Binance data supports the due to the clamping function. Empirical analysis using two years of Binance data supports the
validity of our proposed bounds. </i> validity of our proposed bounds.
</div> </div>
</li><br> </li><br>
<li>Optimal Tax-Timing with Transaction Costs (with <a href="https://sites.google.com/view/mindai/home" <li>Optimal Design of Automated Market Makers on Decentralized Exchanges (with <a class="authorlink"
target="_blank">Min Dai</a>, Yaoting Lei, and <a href="http://apps.olin.wustl.edu/faculty/liuh/" 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">Hong Liu</a>).<br> submitted. <span class="links">[<a class="paperlink" href="" onclick="toggleAbstract('abs_AMM');return false">Abstract</a>|<a class="paperlink"
<b>submitted</b>. [<a href="" onclick="toggleAbstract('abs_TaxTC');return false">Abstract</a>|<a 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=4952040" target="_blank">SSRN</a>]<br> href="https://arxiv.org/abs/2404.13291" target="_blank">arXiv</a>]</span><br>
<div style="display:none" id="abs_TaxTC"> <div class="fade-in" style="display:none" id="abs_AMM">
<hr> <hr>
<i>We develop a dynamic portfolio model incorporating capital gains tax (CGT), transaction costs, and Automated market makers are a popular mechanism used on decentralized exchange, through which users
year-end taxation. We find that even tiny transaction costs can lead to significant deferral of
large losses and transaction costs affect loss deferrals much more than gain deferrals. Our model
can thus help explain the puzzle that even when investors face equal long-term/short-term CGT rates,
they may still defer realizing large capital losses for an extended period of time, displaying the
disposition effect. In addition, we find misestimating transaction costs is costly. We also provide
several unique, empirically testable predictions and shed light on recently proposed tax policy
changes.</i>
</div>
</li><br>
<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
href="https://arxiv.org/abs/2404.13291" target="_blank">arXiv</a>]<br>
<div style="display:none" id="abs_AMM">
<hr>
<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
function. The liquidity provider contributes to the liquidity pool by supplying assets to the pool, function. The liquidity provider contributes to the liquidity pool by supplying assets to the pool,
and in return, they earn trading fees from investors who trade in the pool. We propose a model of and in return, they earn trading fees from investors who trade in the pool. We propose a model of
@@ -247,18 +259,18 @@
strategy and the optimal design of the automated market maker that maximizes the liquidity strategy and the optimal design of the automated market maker that maximizes the liquidity
provider's utility. We find that the optimal unit trading fee increases in the volatility of the provider's utility. We find that the optimal unit trading fee increases in the volatility of the
fundamental exchange rate of the two assets. We also find that the optimal pricing function is fundamental exchange rate of the two assets. We also find that the optimal pricing function is
chosen to make the asset allocation in the liquidity pool efficient for the liquidity provider.</i> chosen to make the asset allocation in the liquidity pool efficient for the liquidity provider.
</div> </div>
</li><br> </li><br>
<li>Calibration of Local Volatility Models under the Implied Volatility Criterion (with <a <li>Calibration of Local Volatility Models under the Implied Volatility Criterion (with <a class="authorlink"
href="https://scholar.google.com/citations?user=MbbX8kUAAAAJ&hl=en" target="_blank">Xinfu Chen</a>, <a href="https://scholar.google.com/citations?user=MbbX8kUAAAAJ&hl=en" target="_blank">Xinfu Chen</a>, <a class="authorlink"
href="https://sites.google.com/view/mindai/home" target="_blank">Min Dai</a>, and Zhou Yang).<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>. [<a href="" onclick="toggleAbstract('abs_LocalVol');return false">Abstract</a>|<a submitted. <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>]<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 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
literature minimizing the distance between theoretical and market prices of options as a calibration literature minimizing the distance between theoretical and market prices of options as a calibration
criterion, we instead minimize the distance between theoretical and market implied volatilities, criterion, we instead minimize the distance between theoretical and market implied volatilities,
@@ -266,43 +278,44 @@
well-posedness of the calibration problem. In particular, comparing to Jiang and Tao (2001), we well-posedness of the calibration problem. In particular, comparing to Jiang and Tao (2001), we
obtain a global uniqueness result, where no additional weight functions are required. Numerical obtain a global uniqueness result, where no additional weight functions are required. Numerical
results reveal that our method achieves a better trade-off between minimizing calibration errors and results reveal that our method achieves a better trade-off between minimizing calibration errors and
reducing overfitting.</i> reducing overfitting.
</div> </div>
</li><br> </li><br>
<li>Patience is a Virtue: Optimal Investment in the Presence of Market Resilience (with <a <li>Patience is a Virtue: Optimal Investment in the Presence of Market Resilience (with <a class="authorlink"
href="https://www1.se.cuhk.edu.hk/~nchenweb/index.htm" target="_blank">Nan Chen</a>, <a href="https://www1.se.cuhk.edu.hk/~nchenweb/index.htm" target="_blank">Nan Chen</a>, <a class="authorlink"
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>. [<a href="" onclick="toggleAbstract('abs_LOB');return false">Abstract</a>|<a submitted. Updated: July 2025. <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>]<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 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
finite market resilience --- on the investor's decision. By employing a Bachelier process to model finite market resilience --- on the investor's decision. By employing a Bachelier process to model
the dynamic of the fundamental value of the asset and assuming CARA-type utility for the investor, the dynamic of the fundamental value of the asset and assuming CARA-type utility for the investor,
we manage to obtain the investor's optimal dynamic trading strategy in closed form by solving the we obtain the investor's optimal dynamic trading strategy in closed form by solving the
resulting high-dimensional singular control problem. Furthermore, we extend the model to incorporate resulting high-dimensional singular control problem. Furthermore, we extend the model to incorporate
return-predicting signals and utilize an asymptotic expansion approach to derive approximate optimal return-predicting signals and utilize an asymptotic expansion approach to derive approximate optimal
trading strategies. The theoretical and numerical results emphasize the vital role of patience. trading strategies. The theoretical and numerical results emphasize the vital role of patience.
Specifically, rather than dispersing small trades continuously over time as advocated by the Specifically, rather than dispersing small trades continuously over time as advocated by the
existing literature, our findings suggest that investors should strategically time their trading existing literature, our findings suggest that investors should strategically time their trading
activities to align with the aim portfolio in the presence of market resilience. To quantify this activities jointly based on market liquidity and market signal. To quantify this
timing decision, we introduce a patience index that enables investors to strike a balance among timing decision, we introduce a patience index that enables investors to strike a balance among
various competing goals, including achieving currently optimal risk exposure, incorporating signals various competing goals, including achieving currently optimal risk exposure, incorporating signals
about future predictions, and minimizing trading costs, by leveraging market resilience.</i> about future predictions, and minimizing trading costs, by leveraging market resilience. We also
demonstrate how to implement our patient trading strategy using real-life market data.
</div> </div>
</li><br> </li><br>
<li>Non-Concave Utility Maximization with Transaction Costs (with <a <li>Non-Concave Utility Maximization with Transaction Costs (with <a class="authorlink"
href="https://sites.google.com/view/shuaijie-qian" target="_blank">Shuaijie Qian</a>).<br> 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 <i><b>SIAM Journal on Financial Mathematics</b></i>. <i>Accepted for Publication</i>. <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 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> 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 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
longer valid here, and we establish a proper theoretical characterization of this problem. We first longer valid here, and we establish a proper theoretical characterization of this problem. We first
give the asymptotic terminal behavior of the value function, which implies any transaction close to give the asymptotic terminal behavior of the value function, which implies any transaction close to
@@ -311,21 +324,39 @@
asymptotic terminal condition. Via numerical analyses, we find that the introduction of transaction asymptotic terminal condition. Via numerical analyses, we find that the introduction of transaction
costs into non-concave utility maximization problems can prevent the portfolio from unbounded costs into non-concave utility maximization problems can prevent the portfolio from unbounded
leverage and make a large short position in stock optimal despite a positive risk premium and leverage and make a large short position in stock optimal despite a positive risk premium and
symmetric transaction costs.</i> symmetric transaction costs.
</div> </div>
</li><br> </li><br>
<li>Designing Stablecoins (with <a href="https://www.linkedin.com/in/yizhoucao/" target="_blank">Yizhou Cao</a>, <li>Optimal Tax-Timing with Transaction Costs (with <a class="authorlink" href="https://sites.google.com/view/mindai/home"
<a href="https://sites.google.com/view/mindai/home" target="_blank">Min Dai</a>, <a target="_blank">Min Dai</a>, Yaoting Lei, and <a class="authorlink" href="http://apps.olin.wustl.edu/faculty/liuh/"
href="https://www.bu.edu/questrom/profile/steven-kou/" target="_blank">Steven Kou</a> and <a target="blank">Hong Liu</a>).<br>
href="https://www.linkedin.com/in/lewei-li/" target="_blank">Lewei Li</a>).<br> <i><b>Management Science</b></i>, <i>Accepted for Publication</i>. <span class="links">[<a class="paperlink" href="" onclick="toggleAbstract('abs_TaxTC');return false">Abstract</a>|<a class="paperlink"
<i><b>Mathematical Finance</b></i>, 35(1):263-294, 2025. [<a href="" href="https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4952040" target="_blank">SSRN</a>]</span><br>
onclick="toggleAbstract('abs_StableCoin');return false">Abstract</a>|<a <div class="fade-in" style="display:none" id="abs_TaxTC">
href="https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3856569" target="_blank">SSRN</a>|<a
href="https://doi.org/10.1111/mafi.12445" target="_blank">Article</a>]<br>
<div 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, 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
large losses and transaction costs affect loss deferrals much more than gain deferrals. Our model
can thus help explain the puzzle that even when investors face equal long-term/short-term CGT rates,
they may still defer realizing large capital losses for an extended period of time, displaying the
disposition effect. In addition, we find misestimating transaction costs is costly. We also provide
several unique, empirically testable predictions and shed light on recently proposed tax policy
changes.
</div>
</li><br>
<li>Designing Stablecoins (with <a class="authorlink" href="https://www.linkedin.com/in/yizhoucao/" target="_blank">Yizhou Cao</a>,
<a class="authorlink" href="https://sites.google.com/view/mindai/home" target="_blank">Min Dai</a>, <a class="authorlink"
href="https://www.bu.edu/questrom/profile/steven-kou/" target="_blank">Steven Kou</a> and <a class="authorlink"
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. <span class="links">[<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>]</span><br>
<div class="fade-in" style="display:none" id="abs_StableCoin">
<hr>
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
cryptocurrency.” However, existing cryptocurrencies are too volatile for these purposes. By using 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 the option pricing theory, we design several dual-class structures that offer a fixed income crypto
@@ -333,21 +364,21 @@
understand the impact of the proposed coins on the speculative and non-speculative demands of 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 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 values of stable coins in presence of jump risk and black-swan type events shows the robustness of
the design.</i> the design.
</div> </div>
</li><br> </li><br>
<li>An Equilibrium Model for the Cross Section of Liquidity Premia (with <a <li>An Equilibrium Model for the Cross Section of Liquidity Premia (with <a class="authorlink"
href="https://wwwf.imperial.ac.uk/~jmuhleka/" target="_blank">Johannes Muhle-Karbe</a> and <a href="https://wwwf.imperial.ac.uk/~jmuhleka/" target="_blank">Johannes Muhle-Karbe</a> and <a class="authorlink"
href="https://xf-shi.github.io" target="_blank">Xiaofei Shi</a>).<br> 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="" <i><b>Mathematics of Operations Research</b></i>, 48(3):1423-1453, 2023. <span class="links">[<a class="paperlink" href=""
onclick="toggleAbstract('abs_LiqPre');return false">Abstract</a>|<a 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 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 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> 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 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
forward-backward stochastic differential equations characterizing equilibrium asset prices and 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 trading strategies in this context reduce to a system of matrix-valued Riccati equations. We prove
@@ -355,63 +386,63 @@
to approximate the corresponding equilibrium for small transaction costs. These tractable 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 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 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> trading costs. This is illustrated by an empirical case study.
</div> </div>
</li><br> </li><br>
<li>Leveraged Exchange-Traded Funds with Market Closure and Frictions (with <a <li>Leveraged Exchange-Traded Funds with Market Closure and Frictions (with <a class="authorlink"
href="https://sites.google.com/view/mindai/home" target="_blank">Min Dai</a>, <a href="https://sites.google.com/view/mindai/home" target="_blank">Min Dai</a>, <a class="authorlink"
href="https://www.bu.edu/questrom/profile/steven-kou/" target="_blank">Steven Kou</a> and <a href="https://www.bu.edu/questrom/profile/steven-kou/" target="_blank">Steven Kou</a> and <a class="authorlink"
href="https://people.math.ethz.ch/~hmsoner/" target="blank">H. Mete Soner</a>).<br> 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="" <i><b>Management Science</b></i>, 69(4):2517-2535, 2023. <span class="links">[<a class="paperlink" href=""
onclick="toggleAbstract('abs_LETF');return false">Abstract</a>|<a 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 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> 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 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
ETFs in a comprehensive setting, including overnight market closure and market frictions. The model ETFs in a comprehensive setting, including overnight market closure and market frictions. The model
allows for an analytical optimal rebalancing strategy. 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 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 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 time-varying weight, because the rebalancing performance is monitored only at discrete time points
but the rebalancing takes place continuously. Empirical findings and implications for the weekend but the rebalancing takes place continuously. Empirical findings and implications for the weekend
effect and the intraday trading volume are also presented.</i> effect and the intraday trading volume are also presented.
</div> </div>
</li><br> </li><br>
<li>A Stochastic Representation for Nonlocal Parabolic PDEs with Applications (with <a <li>A Stochastic Representation for Nonlocal Parabolic PDEs with Applications (with <a class="authorlink"
href="https://sites.google.com/view/mindai/home" target="_blank">Min Dai</a> and <a href="https://sites.google.com/view/mindai/home" target="_blank">Min Dai</a> and <a class="authorlink"
href="https://www.bu.edu/questrom/profile/steven-kou/" target="_blank">Steven Kou</a>).<br> 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="" <i><b>Mathematics of Operations Research</b></i>, 47(3):1707-1730, 2022 <span class="links">[<a class="paperlink" href=""
onclick="toggleAbstract('abs_FK');return false">Abstract</a>|<a 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 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> 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 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
particular, the solution is represented as the expectation of functionals of a diffusion process 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 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 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> processes, and the third one on modeling the entropy on a one-dimensional non-rigid body.
</div> </div>
</li><br> </li><br>
<li>Inventory Management for High-Frequency Trading with Imperfect Competition (with <a <li>Inventory Management for High-Frequency Trading with Imperfect Competition (with <a class="authorlink"
href="http://www-personal.umich.edu/~sherrma/" target="blank">Sebastian Herrmann</a>, <a href="http://www-personal.umich.edu/~sherrma/" target="blank">Sebastian Herrmann</a>, <a class="authorlink"
href="https://wwwf.imperial.ac.uk/~jmuhleka/" target="blank">Johannes Muhle-Karbe</a> and <a href="https://wwwf.imperial.ac.uk/~jmuhleka/" target="blank">Johannes Muhle-Karbe</a> and <a class="authorlink"
href="https://www.linkedin.com/in/dapeng-shang-654316105/<Paste>" target="blank">Dapeng Shang</a>).<br> 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 href="" <i><b>SIAM Journal on Financial Mathematics</b></i>, 11(1):1-26, 2020. <span class="links">[<a class="paperlink" href=""
onclick="toggleAbstract('abs_HFT');return false">Abstract</a>|<a 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 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 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> 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 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
strategies and their equilibrium price impact are described by a system of nonlinear equations; 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 explicit solutions obtain around the continuous-time limit. Unlike in the risk-neutral case, the
@@ -419,29 +450,29 @@
In contrast, the HFTs' risk-adjusted profits and the equilibrium price impact converge to their 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 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 competition leads to excess trading, so that marginal transaction taxes in fact decrease market
liquidity.</i> liquidity.
</div> </div>
</li><br> </li><br>
<li>Optimal Tax-timing with Asymmetric Long-term/short-term Capital Gains Tax (with <a <li>Optimal Tax-timing with Asymmetric Long-term/short-term Capital Gains Tax (with <a class="authorlink"
href="https://sites.google.com/view/mindai/home" target="_blank">Min Dai</a>, <a href="https://sites.google.com/view/mindai/home" target="_blank">Min Dai</a>, <a class="authorlink"
href="http://apps.olin.wustl.edu/faculty/liuh/" target="blank">Hong Liu</a> and <a href="http://apps.olin.wustl.edu/faculty/liuh/" target="blank">Hong Liu</a> and <a class="authorlink"
href="https://www.linkedin.com/in/yifei-zhong-12858524/" target="_blank">Yifei Zhong</a>).<br> 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="" <i><b>The Review of Financial Studies</b></i>, 28.9:2687-2721, 2015. <span class="links">[<a class="paperlink" href=""
onclick="toggleAbstract('abs_taxTiming');return false">Abstract</a>|<a 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 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> 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 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
the existing literature, this model can help explain why many investors not only defer short-term the existing literature, this model can help explain why many investors not only defer short-term
capital losses to long term but also defer large long-term capital gains and losses. Because the capital losses to long term but also defer large long-term capital gains and losses. Because the
benefit of tax deductibility of capital losses increases with the short-term tax rates, effective benefit of tax deductibility of capital losses increases with the short-term tax rates, effective
tax rates can decrease as short-term capital gains tax rates increase.</i> tax rates can decrease as short-term capital gains tax rates increase.
</div> </div>
</li> </li>
</ul> </ol>
</p> </p>
<hr class="style-one"> <hr class="style-one">
@@ -463,29 +494,34 @@
<p> <p>
<h3>Professional Service</h3> <h3>Professional Service</h3>
<ul style="list-style-type:square"> <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="jourlink" href="https://www.springer.com/journal/42521" target="_blank"><i><b>Digital
Finance</i></a>, 2020 - Present</li><br> Finance</b></i></a>, 2020 - Present</li><br>
<li> <b>Reviewer:</b> <li> <b>Reviewer:</b>
<ul style="list-style-type:circle"> <ul style="list-style-type:circle">
<li> Management Science, Operations Research, Mathematics of Operations Research. </li> <li> Management Science, Operations Research, Mathematics of Operations Research, Journal of the Operational Research Society, Journal of Optimization Theory and Applications</li>
<li> Mathematical Finance, Finance and Stochastics, SIAM Journal on Financial Mathematics, Quantitative <li> Mathematical Finance, Finance and Stochastics, SIAM Journal on Financial Mathematics, Quantitative
Finance, Mathematics and Financial Economics. </li> Finance, Mathematics and Financial Economics. </li>
<li> European Financial Management, Journal of Economic Dynamics and Control, International Journal of <li> Journal of Financial and Quantitative Analysis, European Financial Management, Journal of Economic Dynamics and Control, International Journal of
Theoretical and Applied Finance, Economic Modelling. </li> Theoretical and Applied Finance, Economic Modelling. </li>
</ul> </ul>
</li><br> </li><br>
<li> <b>Conference Organizing:</b> <li> <b>Conference Organizing:</b>
<ul style="list-style-type:circle"> <ul style="list-style-type:circle">
<li> Local Organizing Committee Member, <a class="jourlink" href="https://events.polyu.edu.hk/scftml/home"
target='_blank'><b>Workshop on Stochastic Control, Financial Technology, and Machine Learning</b></a>, 2025</li>
<li> Mini-Symposium Organizer, <a class="jourlink" href="https://meetings.siam.org/sess/dsp_programsess.cfm?SESSIONCODE=84092"
target='_blank'><b>MS54 Recent Advances in Quantitative Finance and FinTech</b></a>, SIAM
Conference on Financial Mathematics and Engineering (FM25), 2025.</li>
<li> Session Chair, <b>ME14 Quantitative Finance and FinTech</b>, 2024 INFORMS Annual Meeting, 2024. <li> Session Chair, <b>ME14 Quantitative Finance and FinTech</b>, 2024 INFORMS Annual Meeting, 2024.
</li> </li>
<li> Local Organizing Committee Member, <a href="https://events.polyu.edu.hk/icfe/home" <li> Local Organizing Committee Member, <a class="jourlink" href="https://events.polyu.edu.hk/icfe/home"
target='_blank'>First INFORMS Conference on Financial Engineering and FinTech</a>, 2024. </li> target='_blank'><b>First INFORMS Conference on Financial Engineering and FinTech</b></a>, 2024. </li>
<li> Session Chair, <b>TA73 Financial Frictions and Machine Learning</b>, 2023 INFORMS Annual Meeting, <li> Session Chair, <b>TA73 Financial Frictions and Machine Learning</b>, 2023 INFORMS Annual Meeting,
2023. </li> 2023. </li>
<li> Local Organizing Committee Member, <a <li> Local Organizing Committee Member, <a class="jourlink"
href="https://www.polyu.edu.hk/ama/news-and-events/events/2023/8/recent-advances-on-quantitative-finance/" 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> target="_blank"><b>Recent Advances on Quantitative Finance</b></a>, 2023. </li>
<li> Mini-Symposium Organizer, <a <li> Mini-Symposium Organizer, <a class="jourlink"
href="https://meetings.siam.org/sess/dsp_programsess.cfm?SESSIONCODE=70910" 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 target="_blank"><b>MS5 Investment and Asset Pricing under Market Frictions</b></a>, SIAM
Conference on Financial Mathematics and Engineering (FM21), 2021. </li> Conference on Financial Mathematics and Engineering (FM21), 2021. </li>
@@ -493,18 +529,16 @@
</li><br> </li><br>
<li> <b> Seminar Organizing:</b> <li> <b> Seminar Organizing:</b>
<ul style="list-style-type:circle"> <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 target="_blank"><b>The Hong Kong - Singapore Joint Seminar Series in Financial
Mathematics/Engineering</b><a>.</li> Mathematics/Engineering</b></a>.</li>
<li> Organizing Committee Member, <a href="https://www.cfe.cuhk.edu.hk/cuhkqf/" target="_blank"><b> CUHK <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> Distinguished Lectures in Quantitative Finance</b></a>.</li>
</ul> </ul>
</li> </li>
</ul> </ul>
</p> </p>
<!-- <hr class="curve"> -->
<div align="right"> <div align="right">
<font size="-1"></font> <font size="-1"></font>
</div> </div>
@@ -520,4 +554,4 @@
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</body> </body>
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@@ -32,6 +34,30 @@ p {
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@@ -65,14 +91,16 @@ ul#course {
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@@ -80,8 +108,8 @@ ul#course {
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color: black; color: #3c3836;
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/* Main content */ /* Main content */
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background-image: -webkit-linear-gradient(left, #282828, #f9f5d7, #282828);
background-image: -moz-linear-gradient(left, #282828, #f9f5d7, #282828);
background-image: -ms-linear-gradient(left, #282828, #f9f5d7, #282828);
background-image: -o-linear-gradient(left, #282828, #f9f5d7, #282828);
}
.fade-in {
opacity: 1;
animation-name: fadeInOpacity;
animation-iteration-count: 1;
animation-timing-function: ease-in;
animation-duration: 0.3s;
}
@keyframes fadeInOpacity {
0% {
opacity: 0;
}
100% {
opacity: 1;
}
} }