Chen Yang

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

Hong Kong

China

SCHOLARLY PAPERS

6

DOWNLOADS

1,497

SSRN CITATIONS

3

CROSSREF CITATIONS

1

Scholarly Papers (6)

1.

Designing Stable Coins

Number of pages: 50 Posted: 07 Jun 2021 Last Revised: 25 Sep 2022
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

Abstract:

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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)

Abstract:

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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)

Abstract:

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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
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

Abstract:

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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
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

Abstract:

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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)

Abstract:

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utility maximization, portfolio selection, transaction costs, concavification principle