Chen Yang

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

Hong Kong

China

SCHOLARLY PAPERS

5

DOWNLOADS

869

SSRN CITATIONS

1

CROSSREF CITATIONS

0

Scholarly Papers (5)

1.

Designing Stable Coins

Number of pages: 47 Posted: 07 Jun 2021
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 427 (95,607)

Abstract:

Loading...

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 133 (293,794)

Abstract:

Loading...

daily rebalancing, leveraged ETFs, market closure, frictions

3.

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 107 (343,377)
Citation 1

Abstract:

Loading...

asset pricing, Radner equilibrium, transaction costs, liquidity premia

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 103 (352,217)

Abstract:

Loading...

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

5.

Inventory Management for High-Frequency Trading With Imperfect Competition

Number of pages: 25 Posted: 29 Aug 2018 Last Revised: 13 Dec 2021
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 99 (361,544)

Abstract:

Loading...

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