3 citations · 3 across the 2 of their papers we have counts for
5 papers
An Equilibrium Model for the Cross-Section of Liquidity Premia
Johannes Muhle-Karbe, Xiaofei Shi, Chen Yang
We study a risk-sharing economy where an arbitrary number of heterogenous agents trades an arbitrary number of risky assets subject to quadratic transaction costs. For linear state…
Sublinear Time Numerical Linear Algebra for Structured Matrices
Xiaofei Shi, David P. Woodruff
We show how to solve a number of problems in numerical linear algebra, such as least squares regression, -regression for any , low rank approximation, and kernel…
Asset Pricing with General Transaction Costs: Theory and Numerics
Lukas Gonon, Johannes Muhle-Karbe, Xiaofei Shi
We study risk-sharing equilibria with general convex costs on the agents' trading rates. For an infinite-horizon model with linear state dynamics and exogenous volatilities, we pro…
On Strategyproof Conference Peer Review
Yichong Xu, Han Zhao, Xiaofei Shi +2
We consider peer review in a conference setting where there is typically an overlap between the set of reviewers and the set of authors. This overlap can incentivize strategic revi…
Improved Algorithms for Adaptive Compressed Sensing
Vasileios Nakos, Xiaofei Shi, David P. Woodruff +1
In the problem of adaptive compressed sensing, one wants to estimate an approximately -sparse vector from linear measurements …