56 citations · 62 across the 4 of their papers we have counts for
4 papers
Endogenous structural transformation in economic development
Justin Y. F. Lin, Haipeng Xing
This paper extends Xing's (2023abcd) optimal growth models of catching-up economies from the case of production function switching to that of economic structure switching and argue…
A multifactor regime-switching model for inter-trade durations in the limit order market
Zhicheng Li, Haipeng Xing, Xinyun Chen
This paper studies inter-trade durations in the NASDAQ limit order market and finds that inter-trade durations in ultra-high frequency have two modes. One mode is to the order of a…
A singular stochastic control approach for optimal pairs trading with proportional transaction costs
Haipeng Xing
Optimal trading strategies for pairs trading have been studied by models that try to find either optimal shares of stocks by assuming no transaction costs or optimal timing of trad…
Mean--variance portfolio optimization when means and covariances are unknown
Tze Leung Lai, Haipeng Xing, Zehao Chen
Markowitz's celebrated mean--variance portfolio optimization theory assumes that the means and covariances of the underlying asset returns are known. In practice, they are unknown…