Guiyuan Ma

Xi'an Jiaotong University (XJTU) - School of Economics and Finance

No.74, Yanta Road, Xi'an, Shaanxi, P.R. China

Xi'an, Shaanxi 710061

China

SCHOLARLY PAPERS

4

DOWNLOADS

199

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (4)

1.

Pricing European Call Options Under a Hard-to-Borrow Stock

Number of pages: 38 Posted: 02 Jun 2017 Last Revised: 25 Jul 2017
Guiyuan Ma, Song-Ping Zhu and Wenting Chen
Xi'an Jiaotong University (XJTU) - School of Economics and Finance, University of Wollongong and University of Wollongong
Downloads 74 (399,889)

Abstract:

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Hard-to-borrow stock; Option pricing; Short-selling; Buy-in

2.

Optimal Portfolio Execution Problem With Stochastic Price Impact

Automatica, Forthcoming
Number of pages: 14 Posted: 30 Nov 2019
Xi'an Jiaotong University (XJTU) - School of Economics and Finance, Department of Mathematics, Statistics and Insurance, School of Decision Sciences, The Hang Seng University of Hong Kong, University of Wollongong and University of South Australia - School of Commerce
Downloads 58 (453,427)

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Stochastic optimal control; Application in finance; Optimal portfolio execution problem; Regime-switching price impact; Markov jump system; Coupled differential Riccati equations.

3.

Strategic Trading with Information Acquisition and Long-Memory Stochastic Liquidity

Number of pages: 33 Posted: 09 Aug 2021
Jinhui Han, Guiyuan Ma and Adrian Kennedy
The Chinese University of Hong Kong (CUHK) - Department of Statistics, Xi'an Jiaotong University (XJTU) - School of Economics and Finance and The Chinese University of Hong Kong (CUHK) - Department of Statistics
Downloads 37 (544,290)

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Dynamic information acquisition; Strategic trading; Equilibrium asset pricing; Trade disclosure; Fractional noise trading

4.

Optimal Investment and Consumption with Return Predictability and Execution Costs

Economic Modelling, Forthcoming
Number of pages: 30 Posted: 02 May 2019 Last Revised: 07 Oct 2019
Guiyuan Ma, Chi Chung Siu and Song-Ping Zhu
Xi'an Jiaotong University (XJTU) - School of Economics and Finance, Department of Mathematics, Statistics and Insurance, School of Decision Sciences, The Hang Seng University of Hong Kong and University of Wollongong
Downloads 30 (582,380)

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Continuous-time investment and consumption problem; Return predictability; Linear temporary price impact; Execution costs; Utility maximization.