Publications:
"A multifactor regime-switching model for inter-trade durations in the high-frequency limit order market" (First author, with Haipeng Xing and Xinyun Chen), Economic Modelling, forthcoming
“The non-linear effect of CSR on firm systematic risk: International evidence” (corresponding author, joint with Tazrina Farah, Jialong Li, and Abul Shamsuddin), Journal of International Financial Markets, Institutions, and Money, Vol.71 (2021)
"High-frequency quote volatility measurement using quote price duration" (First author, with Haipeng Xing), Mathematics, Vol.4 (2022)
"Modeling Inter-trade Durations in the Limit Order Market" (with Jianchao Yang and Haipeng Xing and Xingyun Chen) New Advances in Statistics and Data Science Vol. 57. Springer, New York (2017)
Working papers:
"Bitcoin transaction fees and the decentralization of Bitcoin mining pools'', submitted to Cross Country Perspectives in Finance (CCPF) Conference.
"Dynamic mean-downside risk portfolio selection with a stochastic interest rate in continuous-time", (with Weiping Wu, Ke Zhou, & Zhenpeng Tang), R&R at Journal of Computational and Applied Mathematics.
“The sustainability and reforms of China pension system”, with Yan Wang and Juan Conesa.