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

6

DOWNLOADS

1,497

SSRN CITATIONS

3

CROSSREF CITATIONS

1

Scholarly Papers (6)

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1.

Designing Stable Coins

Number of pages: 50 Posted: 07 Jun 2021 Last Revised: 25 Sep 2022
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 765 (57,336)
Citation 4

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stable coins, 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 264 (198,643)

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daily rebalancing, leveraged ETFs, market closure, frictions

3.

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 159 (316,204)

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

4.

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 136 (358,727)
Citation 2

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asset pricing, Radner equilibrium, transaction costs, liquidity premia

5.

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 132 (366,898)
Citation 1

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

6.

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 41 (711,713)

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utility maximization, portfolio selection, transaction costs, concavification principle