Xiao Chen

Rutgers, The State University of New Jersey

311 North 5th Street

New Brunswick, NJ 08854

United States

SCHOLARLY PAPERS

2

DOWNLOADS

125

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (2)

1.

Asset Pricing Puzzles and Price-Impact

Number of pages: 65 Posted: 16 Oct 2019 Last Revised: 26 Feb 2021
Rutgers, The State University of New Jersey, Ulsan National Institute of Science and Technology (UNIST), Rutgers, The State University of New Jersey and Carnegie Mellon University - David A. Tepper School of Business
Downloads 83 (369,019)
Citation 1

Abstract:

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Asset pricing, price-impact, Nash equilibrium, Radner equilibrium, Pareto-efficient equilibrium, risk-free rate puzzle

2.

Learning about Latent Dynamic Trading Demand

Number of pages: 53 Posted: 28 May 2021 Last Revised: 06 Aug 2021
Rutgers, The State University of New Jersey, Ulsan National Institute of Science and Technology (UNIST), Rutgers, The State University of New Jersey and Carnegie Mellon University - David A. Tepper School of Business
Downloads 42 (512,945)

Abstract:

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Order-splitting, optimal order execution, subgame perfect Nash equilibrium, dynamic learning, trading targets, front-running