Working Paper

• Periodic Trading Activities in Financial Markets: Mean-field Liquidation Game with Major-Minor Players
  Yufan Chen, Lan Wu, Renyuan Xu and Ruixun Zhang (2024)
  • Preprint. [SSRN]

• When Do Models Make Money? An Analytical Estimation of Profitability Based on Return Predictability
  Ruixun Zhang, Yufan Chen, and Lan Wu (2023)
  • Under Review.

Journal Publication

• High-Frequency Liquidity in the Chinese Stock Market: Measurements, Patterns, and Determinants
  Chaoyi Zhao, Yufan Chen, Lintong Wu, Yuehao Dai, Ermo Chen, Lan Wu and Ruixun Zhang
  • Pacific-Basin Finance Journal (2025). To appear. [Journal]
• A Hawkes Process Analysis of High-Frequency Price Endogeneity and Market Efficiency
  Jingbin Zhuo, Yufan Chen, Bang Zhou, Baiming Lang, Lan Wu and Ruixun Zhang
  • The European Journal of Finance (2023), 30(9), 949–979. [Journal]