“It does not matter how slowly you go as long as you do not stop. -- Confucius”

Research Interests

Stochastic Control, Bayesian Learning, Optimization
Applications: Behavioral Finance, Financial Engineering

Publications (Google Citation)

Behavioral Finance

• Equilibrium Asset Pricing with Epstein-Zin and Loss-Averse Investors (with Xuedong He)

  Journal of Economics Dynamics and Control, Volume 70, Pages 90-104, 2017

• Recursive Utility with Narrow Framing: Existence and Uniqueness (with Xuedong He)

  First round revision, Mathematics of Operations Research

• A New Preference Model that Allows for Narrow Framing (with Xuedong He)

  Journal of Mathematical Economics, forthcoming, 2021

Algorithmic Trading

• Order Book Dynamics Analysis with Hidden Markov Model

  R codes Filtering Plots

• Eletronic Market Making (2014 Morgan Stanley Prize for Excellence in Financial Market)

Bayesian Learning

• High Dimensional Financial PCA (with Yves Atchade and Rahul Mazumder)

• Markov Regime Switching Stochastic Volatility(with Michael Johannes)

Stochastic Control

• The Relationship Between the Maximum Principle and Dynamic Programming on FBSDE (with Xuedong He)

*All PDF files available here are pre-publication manuscripts. Visit the publisher's website to obtain copies of these publications.