Yang, Chen
Assistant Professor
Department of Systems Engineering and Engineering Management
Faculty of Engineering
The Chinese University of Hong Kong
Postal Address
Room 511A, William M.W. Mong Engineering Building
The Chinese University of Hong Kong
Shatin, N.T., Hong Kong
Contact Details
Email: cyang at se.cuhk.edu.hk
Phone: +852 3943-8322
- SEEM3590 Investment Science, Fall 2019
- SEEM3580 Risk Analysis for Financial Engineering, Spring 2020
Publications
- Designing Stable Coins (with Yizhou Cao, Min Dai, Steven Kou and Lewei Li).
submitted, 2018.
- Inventory Management for High-Frequency Trading with Imperfect Competition (with Sebastian Herrmann, Johannes Muhle-Karbe and Dapeng Shang).
submitted, 2019. [SSRN | arXiv]
- Rebalancing of Leveraged ETFs under Market Frictions (with Min Dai, Steven Kou and H. Mete Soner).
submitted, 2019.
- Stochastic Representation for Nonlocal Problems (with Min Dai and Steven Kou).
submitted, 2017.
- Hedge Fund Leverage with Stochastic Market Conditions (with Li Zhao, Wenli Huang and Shenghong Li).
International Review of Economics & Finance 59:258-273, 2018. [Article]
- Optimal Tax-timing with Asymmetric Long-term/short-term Capital Gains Tax (with Min Dai, Hong Liu and Yifei Zhong).
The Review of Financial Studies 28.9:2687-2721, 2015. [Article]
Links
SEEM@CUHK FinTechHK
Last update 2019-08-22