Research

Research Interests

• Mathematical Finance, Market Microstructure, Equilibrium Models and Liquidity Risk
  
• Stochastic Analysis and Forward-backward Stochastic Differential Equations
  
• Machine Learning, Game Theory with Applications in Strategyproof Conference Review
  
• Dynamical Systems, Reinforcement Learning and Compressed Sensing with Applications in Big Data
  

Preprints

• (In progress) Liquidity Risk and Asset Prices
  (with Agostino Capponi, and Johannes Muhle-Karbe)
  2023.
  
• (In progress) Deep Learning Algorithms for an Equilibrium Model with Frictions
  (with Zhanhao Zhang)
  2023.
  
• Dynamic Portfolio Choice with Intertemporal Hedging and Transaction Costs
  (with Johannes Muhle-Karbe, and James Sefton)
  Submitted to The Review of Financial Studies, 2023.
  

Publications

• Deep Learning Algorithms for Hedging with Frictions
  (with Daran Xu, and Zhanhao Zhang)
  Forthcoming, Digital Finance.
  
• An Equilibrium Model for the Cross-Section of Liquidity Premia
  (with Johannes Muhle-Karbe, and Chen Yang)
  Forthcoming, Mathematics of Operations Research.
  
• Asset Pricing with General Transaction Costs: Theory and Numerics
  (with Lukas Gonon, and Johannes Muhle-Karbe)
  Mathematical Finance, Vol. 31 (2021), No. 2, pp. 595-648.
  
• On Strategyproof Conference Peer Review
  (with Yichong Xu, Han Zhao, and Nihar B. Shah)
  IJCAI 2019 (The 28th International Joint Conference on Artificial Intelligence).
  
• Sublinear Time Numerical Linear Algebra for Structured Matrices
  (with David P. Woodruff)
  AAAI 2019 (The 33th Association for the Advancement of Artificial Intelligence Conference).
  
• Improved Algorithms for Adaptive Compressed Sensing
  (with Vasileios Nakos, David P. Woodruff, and Hongyang Zhang)
  ICALP 2018 (The 45th International Colloquium on Automata, Languages and Programming).
  

Thesis