3 papers
q-fin.MF2019
Common Decomposition of Correlated Brownian Motions and its Financial Applications
Tianyao Chen, Xue Cheng, Jingping Yang
In this paper, we develop a theory of common decomposition for two correlated Brownian motions, in which, by using change of time method, the correlated Brownian motions are repres…
q-fin.MF2019
Optimal execution with dynamic risk adjustment
Xue Cheng, Marina Di Giacinto, Tai-Ho Wang
This paper considers the problem of optimal liquidation of a position in a risky security in a financial market, where price evolution are risky and trades have an impact on price…
math.PR2018
Decomposing Correlated Random Walks on Common and Counter Movements
Tianyao Chen, Xue Cheng, Jingping Yang
Random walk is one of the most classical and well-studied model in probability theory. For two correlated random walks on lattice, every step of the random walks has only two state…