David Yao

Columbia University

New York, NY

United States

SCHOLARLY PAPERS

4

DOWNLOADS

288

SSRN CITATIONS

1

CROSSREF CITATIONS

1

Scholarly Papers (4)

1.

Financial Network and Systemic Risk -- A Dynamic Model

Production and Operations Management, Forthcoming
Number of pages: 40 Posted: 18 Feb 2021
Hong Chen, Tan Wang and David Yao
Shanghai Advanced Institute in Finance, Shanghai Jiao Tong University, Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF) and Columbia University
Downloads 136 (393,065)

Abstract:

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systemic risk, network, dynamic model

2.

Polynomial Voting Rules

Number of pages: 23 Posted: 30 Jun 2022 Last Revised: 21 Aug 2023
Wenpin Tang and David Yao
Columbia University - Department of Industrial Engineering and Operations Research and Columbia University
Downloads 56 (689,740)
Citation 1

Abstract:

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Cryptocurrency, economic incentive, fluid limit, phase transition, polynomial voting rules, Proof of Stake protocol, stability, urn models

3.

Trading Under the Proof-of-Stake Protocol – A Continuous-Time Control Approach

To appear in Mathematical Finance https://onlinelibrary.wiley.com/doi/full/10.1111/mafi.12403
Number of pages: 24 Posted: 30 Jul 2022 Last Revised: 11 Jun 2023
Wenpin Tang and David Yao
Columbia University - Department of Industrial Engineering and Operations Research and Columbia University
Downloads 53 (701,515)
Citation 1

Abstract:

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Consumption-investment, Proof of Stake (PoS) protocol, cryptocurrency, dynamic programming, HJB equations, continuous-time control, risk control

4.

Transaction Fee Mechanism for Proof-of-Stake Protocol

Number of pages: 18 Posted: 28 Aug 2023 Last Revised: 30 Aug 2023
Wenpin Tang and David Yao
Columbia University - Department of Industrial Engineering and Operations Research and Columbia University
Downloads 43 (766,662)

Abstract:

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Blockchain, proof of stake, transaction fee mechanism, cryptocurrency, incentive compatibility, utility, martingale