Tianhui Li

Princeton University

22 Chambers Street

Princeton, NJ 08544-0708

United States

SCHOLARLY PAPERS

5

DOWNLOADS

943

SSRN CITATIONS
Rank 30,715

SSRN RANKINGS

Top 30,715

in Total Papers Citations

15

CROSSREF CITATIONS

13

Scholarly Papers (5)

1.

Optimal Limit-versus-Market Order Slicing under a VWAP Benchmark - Discrete Case

Number of pages: 39 Posted: 01 Sep 2013 Last Revised: 03 Sep 2013
Tianhui Li
Princeton University
Downloads 316 (124,964)
Citation 1

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Market impact model, optimal order execution, algorithmic trading, VWAP, TWAP

2.

Closed-Form Solutions for Option Hedging with Market Impact

Number of pages: 30 Posted: 01 Sep 2013
Tianhui Li and Robert Almgren
Princeton University and University of Toronto - Department of Mathematics
Downloads 262 (151,840)
Citation 13

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market impact model, optimal order execution, algorithmic trading, options hedging

3.

Dual Characterization of Properties of Risk Measures

Number of pages: 27 Posted: 03 Mar 2008
Patrick Cheridito and Tianhui Li
ETH Zurich and Princeton University
Downloads 234 (169,637)

Abstract:

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Risk measures, Gateaux-differentiability, strict monotonicity, strict convexity, stochastic orders, Orlicz hearts

4.

Optimal Limit-versus-Market Order Slicing Under a VWAP Benchmark - Continuous Case

Number of pages: 37 Posted: 01 Sep 2013 Last Revised: 03 Sep 2013
Tianhui Li
Princeton University
Downloads 129 (283,055)
Citation 1

Abstract:

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Market impact model, optimal order execution, algorithmic trading, VWAP, TWAP

5.
Downloads 2 (799,692)

Risk Measures on Orlicz Hearts

Mathematical Finance, Vol. 19, Issue 2, pp. 189-214, April 2009
Number of pages: 26 Posted: 27 Apr 2009
Patrick Cheridito and Tianhui Li
ETH Zurich and Princeton University
Downloads 2 (835,065)
Citation 3
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Risk Measures on Orlicz Hearts

Posted: 09 May 2007
Patrick Cheridito and Tianhui Li
ETH Zurich and Princeton University

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coherent risk measures, convex monetary risk measures, monetary risk measures, acceptance sets, robust representations, cash-additive hulls, transformed norm risk measures, transformed loss risk measures, Orlicz spaces