Working Papers

Hao Jiang, Sophia Zhengzi Li, Peixuan Yuan (2024). Granular Information and Sectoral Movements. Journal of Economic Dynamics and Control, Forthcoming.

Peixuan Yuan (2024). A New Model for the Joint Valuation of S&P 500 and VIX Options: Specification Analysis. Management Science, Forthcoming.

Peixuan Yuan (2022). Time-Varying Skew in VIX Derivatives Pricing. Management Science, 68(10), 7761-7791.

Xinjie Wang, Zhiqiang Xiang, Weike Xu, Peixuan Yuan (2022). The Causal Relationship between Social Media Sentiment and Stock Return: Experimental Evidence from an Online Message Forum. Economics Letters, 216, 110598.