Search Results for author: Xiaofei Shi

Found 5 papers, 2 papers with code

Deep Learning Algorithms for Hedging with Frictions

1 code implementation2 Nov 2021 Xiaofei Shi, Daran Xu, Zhanhao Zhang

We show that, under the smallness assumption on the magnitude of the transaction costs, the leading order approximation of the optimal trading speed can be identified through the solution to a nonlinear SDE.

An Equilibrium Model for the Cross-Section of Liquidity Premia

no code implementations27 Nov 2020 Johannes Muhle-Karbe, Xiaofei Shi, Chen Yang

We study a risk-sharing economy where an arbitrary number of heterogenous agents trades an arbitrary number of risky assets subject to quadratic transaction costs.

Time Series

Sublinear Time Numerical Linear Algebra for Structured Matrices

no code implementations12 Dec 2019 Xiaofei Shi, David P. Woodruff

For example, in the overconstrained $(1+\epsilon)$-approximate polynomial interpolation problem, $A$ is a Vandermonde matrix and $T(A) = O(n \log n)$; in this case our running time is $n \cdot \poly(\log n) + \poly(d/\epsilon)$ and we recover the results of \cite{avron2013sketching} as a special case.

On Strategyproof Conference Peer Review

1 code implementation16 Jun 2018 Yichong Xu, Han Zhao, Xiaofei Shi, Jeremy Zhang, Nihar B. Shah

We then empirically show that the requisite property on the authorship graph is indeed satisfied in the submission data from the ICLR conference, and further demonstrate a simple trick to make the partitioning method more practically appealing for conference peer review.

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