Chen Yang

The Chinese University of Hong Kong (CUHK) - Department of Systems Engineering and Engineering Management

Hong Kong

China

  • The Chinese University of Hong Kong (CUHK) - Department of Systems Engineering and Engineering Management

SCHOLARLY PAPERS

10

DOWNLOADS
Rank 39,915

SSRN RANKINGS

Top 39,915

in Total Papers Downloads

2,709

TOTAL CITATIONS

17

Scholarly Papers (10)

Actions:
Email selected abstracts
1.

Designing Stablecoins

Number of pages: 54 Posted: 07 Jun 2021 Last Revised: 29 Jul 2024
Yizhou Cao, Min Dai, Steven Kou, Lewei Li and Chen Yang
Tau Strategy, The Hong Kong Polytechnic University, Boston University, FinBook and The Chinese University of Hong Kong (CUHK) - Department of Systems Engineering and Engineering Management
Downloads 1,158 (39,829)
Citation 9

Abstract:

Loading...

stablecoins, fixed income crypto assets, leveraged return crypto assets, smart contracts

2.

Leveraged ETFs with Market Closure and Frictions

Number of pages: 50 Posted: 07 Jun 2021
Min Dai, Steven Kou, H. Mete Soner and Chen Yang
The Hong Kong Polytechnic University, Boston University, Princeton University - Department of Operations Research & Financial Engineering (ORFE) and The Chinese University of Hong Kong (CUHK) - Department of Systems Engineering and Engineering Management
Downloads 349 (184,152)
Citation 1

Abstract:

Loading...

daily rebalancing, leveraged ETFs, market closure, frictions

3.

Calibration of Local Volatility Models under the Implied Volatility Criterion

Number of pages: 26 Posted: 22 Apr 2024
Xinfu Chen, Min Dai, Chen Yang and Zhou Yang
Independent, The Hong Kong Polytechnic University, The Chinese University of Hong Kong (CUHK) - Department of Systems Engineering and Engineering Management and School of Mathematical Sciences, South China Normal University
Downloads 194 (333,569)

Abstract:

Loading...

implied volatility, inverse problem, local volatility, Tikhonov regularization

4.

A Stochastic Representation for Nonlocal Parabolic PDEs with Applications

Mathematics of Operations Research, Forthcoming
Number of pages: 32 Posted: 21 Apr 2020
Min Dai, Steven Kou and Chen Yang
The Hong Kong Polytechnic University, Boston University and The Chinese University of Hong Kong (CUHK) - Department of Systems Engineering and Engineering Management
Downloads 191 (336,822)

Abstract:

Loading...

Dual-purpose Funds, Feynman-Kac Representation, Linear Thermoelasticity, Nonlocal Problems, Parabolic PDEs

5.

Optimal Design of Automated Market Makers on Decentralized Exchanges

Number of pages: 44 Posted: 22 Apr 2024 Last Revised: 26 Nov 2024
Xue Dong He, Chen Yang and Yutian Zhou
The Chinese University of Hong Kong - Department of Systems Engineering and Engineering Management, The Chinese University of Hong Kong (CUHK) - Department of Systems Engineering and Engineering Management and The Chinese University of Hong Kong (CUHK), Faculty of Engineering, Department of Systems Engineering & Engineering Management, Students
Downloads 188 (341,684)
Citation 1

Abstract:

Loading...

Automated market maker, Decentralized exchange, Dynamic programming

6.

An Equilibrium Model for the Cross-Section of Liquidity Premia

Number of pages: 35 Posted: 12 Jan 2021
Johannes Muhle-Karbe, Xiaofei Shi and Chen Yang
Imperial College London - Department of Mathematics, Carnegie Mellon University - Department of Mathematical Sciences and The Chinese University of Hong Kong (CUHK) - Department of Systems Engineering and Engineering Management
Downloads 164 (385,699)
Citation 4

Abstract:

Loading...

asset pricing, Radner equilibrium, transaction costs, liquidity premia

7.

Patience is a Virtue: Optimal Investment in the Presence of Market Resilience

Number of pages: 47 Posted: 27 Dec 2023
Nan Chen, Min Dai, Qiheng Ding and Chen Yang
The Chinese University of Hong Kong (CUHK), The Hong Kong Polytechnic University, The Chinese University of Hong Kong (CUHK) - Department of Systems Engineering and Engineering Management and The Chinese University of Hong Kong (CUHK) - Department of Systems Engineering and Engineering Management
Downloads 162 (389,724)

Abstract:

Loading...

Optimal investment, Market tightness, Market resilience, Singular control, Asymptotic expansion

8.

Inventory Management for High-Frequency Trading With Imperfect Competition

Number of pages: 25 Posted: 29 Aug 2018 Last Revised: 13 Dec 2021
Sebastian Herrmann, Johannes Muhle-Karbe, Dapeng Shang and Chen Yang
The University of Manchester, Imperial College London - Department of Mathematics, Boston University - Questrom School of Business and The Chinese University of Hong Kong (CUHK) - Department of Systems Engineering and Engineering Management
Downloads 153 (409,189)
Citation 2

Abstract:

Loading...

High-Frequency Trading, Information Asymmetry, Inventory Management, Imperfect Competition

9.

Non-Concave Utility Maximization with Transaction Costs

Number of pages: 34 Posted: 12 Jul 2023
Shuaijie Qian and Chen Yang
Department of Mathematics, HKUST and The Chinese University of Hong Kong (CUHK) - Department of Systems Engineering and Engineering Management
Downloads 102 (564,552)

Abstract:

Loading...

utility maximization, portfolio selection, transaction costs, concavification principle

10.

Optimal Tax-Timing with Transaction Costs

Number of pages: 40 Posted: 15 Oct 2024 Last Revised: 31 Dec 2024
Min Dai, Yaoting Lei, Hong Liu and Chen Yang
The Hong Kong Polytechnic University, Nanchang University - School of Economics and Management, Washington University in St. Louis - Olin Business School and The Chinese University of Hong Kong (CUHK) - Department of Systems Engineering and Engineering Management
Downloads 48 (847,527)

Abstract:

Loading...

portfolio choice, capital gains tax, transaction costs, delayed tax