3 papers in the archive (2025), average empirical rigor 4.8/10, average math complexity 8/10. Quadrant mix: Holy Grail ×2, Lab Rats ×1.
Works mostly in Statistical Arbitrage & Pairs Trading, Stochastic Control & Optimal Stopping, Options & Derivatives Pricing, Portfolio Optimization.
Frequent co-authors: Xin-Jiang He (2), Xin-Jie Huang (1), Guiyuan Ma (1), Nanyi Zhang (1), Junyi Guo (1), Ke Zhou (1).
Scores are our LLM-assisted heuristics (methodology), not peer review or citation counts. Author pages are generated from paper metadata; name variants may split one person across pages. arXiv author page →
Ordered by a blend of empirical rigor (60%) and math complexity (40%).
We study an American option pricing problem with liquidity risks and transaction fees. As endogenous transaction costs, liquidity risks of the underlying asset are modeled by a mean-reverting process. Transaction fees are exogenous transaction costs and are assumed to be proportional to the trading
In this paper, we investigate a portfolio selection problem with transaction costs under a two-factor stochastic volatility structure, where volatility follows a mean-reverting process with a stochastic mean-reversion level. The model incorporates both proportional exogenous transaction costs and en
In this paper, we first conduct a study of the portfolio selection problem, incorporating both exogenous (proportional) and endogenous (resulting from liquidity risk, characterized by a stochastic process) transaction costs through the utility-based approach. We also consider the intrinsic relations