Dr Cheng Zhang
BS, Shandong University, China
MPhil, Tilburg University, The Netherlands
PhD, London School of Economics, UK
Empirical and Theoretical Asset Pricing, Derivative Markets, Liquidity, Financial Econometrics, Security Lending Markets
- 'From funding liquidity to market liquidity: Evidence from the index options market' (with Chunbo Liu and Zhiping Zhou), The Journal of Futures Markets, 38, 10 (2018), pp. 1189-1205.
- 'The Effect of options on liquidity and asset returns'
- 'Dynamic equilibrium with rare events and value-at-risk constraint'