Yang, Chen

Assistant Professor
Department of Systems Engineering and Engineering Management
Faculty of Engineering
The Chinese University of Hong Kong

Postal Address

Room 511A, William M.W. Mong Engineering Building
The Chinese University of Hong Kong
Shatin, N.T., Hong Kong

Contact Details

Email: cyang at se.cuhk.edu.hk
Phone: +852 3943-8322

Teaching [Blackboard]

Fall 2019: SEEM3590 Investment Science
Spring 2020: SEEM3580 Risk Analysis for Financial Engineering

Working Papers

  1. Designing Stable Coins (with Yizhou Cao, Min Dai, Steven Kou and Lewei Li).
    submitted, 2018.
  2. Inventory Management for High-Frequency Trading with Imperfect Competition (with Sebastian Herrmann, Johannes Muhle-Karbe and Dapeng Shang).
    submitted, 2019. [SSRN | arXiv]
  3. Rebalancing of Leveraged ETFs under Market Frictions (with Min Dai, Steven Kou and H. Mete Soner).
    submitted, 2019.
  4. Stochastic Representation for Nonlocal Problems (with Min Dai and Steven Kou).
    submitted, 2017.

Publications

  1. Optimal Tax-timing with Asymmetric Long-term/short-term Capital Gains Tax (with Min Dai, Hong Liu and Yifei Zhong).
    The Review of Financial Studies 28.9:2687-2721, 2015. [Article]

Last update 2019-08-22