Fenghui Yu. Explicit Signal-Adaptive Sequential Optimal Execution Quotes. Preprint, 2026.
arxiv

Felix Lokin, Fenghui Yu. Fill Probabilities in a Limit Order Book with State-Dependent Stochastic Order Flows. Preprint, 2026.
arxiv

Junhong Dai, Yue Cui, Fenghui Yu, Chao Huang, Panshuo Li. Reinforcement Learning-based Hierarchical Planning for Multi-Vehicle Coordination in Mixed Unsignalized Intersections. Preprint, 2025.

Feng-Hui Yu, Wai-Ki Ching, Chu-Fang Wu, Jia-Wen Gu. Optimal Pairs Trading Strategies: a Stochastic Mean-Variance Approach. Journal of Optimization Theory and Applications, 196, 36–55, 2023.
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Dong-Mei Zhu, Jia-Wen Gu, Feng-Hui Yu, Tak-Kuen Siu, Wai-Ki Ching. Optimal Pairs Trading with Dynamic Mean-Variance Objective. Mathematical Methods of Operations Research, 94(1), 145-168, 2021.
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Dong-Mei Zhu, Jia-Wen Gu, Feng-Hui Yu, Wai-Ki Ching, Tak-Kuen Siu. How correlation risk in basket credit derivatives might be priced and managed?. IMA Journal of Management Mathematics, 32(2), 195-219, 2021.
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Feng-Hui Yu, Jie-Jun Lu, Jia-Wen Gu, Wai-Ki Ching. Modeling Credit Risk with Hidden Markov Default Intensity. Computational Economics, 54(3), 1213-1229, 2019.
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Feng-Hui Yu, Wai-Ki Ching, Jia-Wen Gu, Tak-Kuen Siu. Interacting default intensity with a hidden Markov process. Quantitative Finance, 7(5), 781-794, 2017.
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Feng-Hui Yu. Optimal Convergence Trading Strategies with Cutting Loss Exit. Working Paper, 2022.

Tak-Kuen Siu, Feng-Hui Yu, Qing-Qing Yang, Jia-Wen Gu, Wai-Ki Ching. Pricing Participating Policies Under Hidden Markov Models via Neural Networks. Preprint, 2020.

Feng-Hui Yu, Wai-Ki Ching. Multi-Period Optimal Mean-reverting Spread Trading Strategies with Hidden Markovian Regime Switching. Working Paper, 2019.

Feng-Hui Yu. On Pricing, Hedging and Trading in Financial Management. PhD Thesis, 2018.
Thesis Link