Assistant Professor of Finance
The Chinese University of Hong Kong, Shenzhen
2001 Longxiang Boulevard,
Longgang District, Shenzhen
Guangdong, China 518172
Email: wenchen@cuhk.edu.cn
Interests
Information Economics, Machine Learning, Market Microstructure, and Asset Pricing
Research
"Dynamic Market Making with Asymmetric Information and Market Power" with Yajun Wang
3rd round Revise & Resubmit at Review of Financial Studies
The 13th Yihong Xia Best Paper Award, China International Conference in Finance
Johns Hopkins University 2018, Women in Market Microstructure 2018, Northern Finance Association 2018, Tsinghua Five-star Workshop 2018, Midwest Finance Association 2019, 4th PKU-NUS Annual International Conference on Quantitative Finance and Economics 2019, Baruch College 2019, China International Conference in Finance 2019, University of Queensland 2019, University of Sydney 2019
“How Does Benchmarking Affect Market Efficiency? The Role of Learning Technology” with Bo Hu and Yajun Wang
CUHK-Shenzhen 2019, Baruch College 2020, Women in Market Microstructure 2020, DC Finance Junior Conference 2021, CUNY Graduate School 2022, European Finance Association 2023, Midwest Finance Association 2024, China International Conference in Finance 2024 (scheduled)
“Whence Lasso? A Rational Interpretation” with Bo Hu and Liyan Yang
University of Kentucky Finance Conference 2023, XJTLU AI and Big Data in Accounting and Finance Research Conference 2023, Finance Theory Group Summer School 2023, China International Conference in Finance 2023, European Finance Association 2023, Western Finance Association 2024 (scheduled), Financial Management Association Asia 2024 (scheduled)
“Do Position Limits on Futures Trading Benefit Commodity Markets?” with Bo Hu and Yajun Wang
Florida State University 2017, University of Maryland Brownbag 2017, Peking University HSBC Business School 2017, Office of Currency Control 2017
“The Welfare Implication of Information Disclosure Frequency” with Yajun Wang
Shanghai University of Finance and Economics 2023, University of Macau 2024, Texas Tech University 2024, Baruch College at CUNY 2024, FTG Spring 2024 (scheduled), The Quantitative Research in Financial Economics Centre Workshop 2024 (scheduled), Women in Market Microstructure 2024 (scheduled)
"When Can Positive Return Autocorrelation Arise in Rational Expectation Models?" with Yajun Wang (In Progress)
“Algorithmic Arbitrage with Fat-Tail Beliefs” with Bo Hu and Liyan Yang (In Progress)
"Spillover Effects of Short-sale Constraints Across Segmented Markets" with Yajun Wang (In Progress)
Teaching
Python for Financial Data Analysis at The Chinese University of Hong Kong, Shenzhen (2022-now)
Foundation of Finance at The Chinese University of Hong Kong, Shenzhen (2018-now)
International Finance at University of Maryland, College Park (2015)
Mechanics at University of California, San Diego (2008)
Service
Ad Hoc Referee : Quarterly Review of Economics and Finance, Journal of Empirical Finance, Journal of Economic Dynamics and Control, Economic Modelling, Proceeding of the National Academy of Sciences (PNAS), Physical Review E, Review of Financial Studies
Paper Discussant : China International Forum on Finance and Policy 2018, China International Conference in Finance 2019
Conference Review Committee: FMA Annual Meeting 2020, SFS Asia Annual Meeting 2021, Asian Finance Association 2024