Publications

^‡ Corresponding author; ^† authors listed alphabetically.

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

RIDE: Reflected Interarrival Diffusion for Events
Yufan Chen, Renyuan Xu, and Baris Ata
Working Paper (2026).
A Brownian Inventory Model for Last-Mile Health Distribution in Liberia
Baris Ata, Yufan Chen^†, and Robert Montgomery
Submitted to Manufacturing & Service Operations Management (2026). [ArXiv]
Periodic Trading Activities in Financial Markets: Mean-field Liquidation Game with Major–Minor Players
Yufan Chen, Lan Wu, Renyuan Xu, and Ruixun Zhang
Submitted to Finance and Stochastics (2026). [SSRN]
The Value of Limit Orders in Execution
Yuehao Dai, Yufan Chen^‡, and Lan Wu
Major Revision, Quantitative Finance (2026).
Enhance Jump Tests with Time Deformation
Yufan Chen, Xuecan Cui, and George J. Jiang
Working Paper (2026).
News Trading and Fund Management
Haojun Hu, Yufan Chen, Martin Abrahamson, Katarzyna Cieslak, and Fredrik Nilsson
Submitted to Review of Finance (2026).

Tail-Sensitive Score Learning for Heavy-Tailed Diffusion Models
Yufan Chen, Minshuo Chen, and Baris Ata

Market Liquidity: Theory, Evidence, and Policy by Thierry Foucault, Marco Pagano, and Ailsa Röell
Chinese translation with Xue Cheng, Lan Wu, and Ziyi Xu (translators listed alphabetically).
Submitted to the publisher (2026).

When Do Models Make Money? An Analytical Estimation of Profitability Based on Return Predictability
Ruixun Zhang, Yufan Chen, and Lan Wu
Deep Partially Linear Model
Zhiqi Bu, Yufan Chen, Weijie J. Su, Lintong Wu, and Ruixun Zhang