2 citations · 2 across the 2 of their papers we have counts for
2 papers
q-fin.TR2026
Robustness in Sequential Decision Making under Evolving Uncertainty: Evidence from High-Frequency Market Making
Ying Chen, Hoa Nguyen, Julian Sester +2
We study sequential decision making under evolving uncertainty in high-frequency financial markets, where changing market dynamics continually challenge static decision policies. W…
q-fin.MF2019★ 2 cited
Portfolio liquidation under transient price impact -- theoretical solution and implementation with 100 NASDAQ stocks
Ying Chen, Ulrich Horst, Hoang Hai Tran
We derive an explicit solution for deterministic market impact parameters in the Graewe and Horst (2017) portfolio liquidation model. The model allows to combine various forms of m…