Journal Articles

• 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), 90, 102681. [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]

Working Papers

• A Brownian Inventory Model for Last-Mile Health Distribution in Liberia
  Baris Ata, Yufan Chen, and Robert Montgomery
  Working Paper. (2026)

• Enhance Jump Tests with Time Deformation
  Yufan Chen, Xuecan Cui and George J. Jiang
  Working Paper. (2026)

• Fund Management, Information Abundance, and Attention Allocation
  Haojun Hu, Yufan Chen, Martin Abrahamson, Katarzyna Cieslak and Fredrik Nilsson
  Working Paper. (2026)

• The Value of Limit Orders in Execution
  Yuehao Dai, Yufan Chen and Lan Wu
  Under Review. (2026)

• Periodic Trading Activities in Financial Markets: Mean-field Liquidation Game with Major–Minor Players
  Yufan Chen, Lan Wu, Renyuan Xu, and Ruixun Zhang
  Under Review. (2026) [SSRN]

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

• Deep Partially Linear Model
  Zhiqi Bu, Yufan Chen, Weijie J. Su, Lintong Wu, and Ruixun Zhang
  Under Review. (2023)