Publications

Working Papers

• Youcheng Lou, Moris S. Strub and Shouyang Wang. How many financial advisers do you need? 2023.  [pdf]
  

• Alexander Zimper and Youcheng Lou. Establishing perfect price collusion Bayesian Nash equilibria for Kyle's (1989) market microstructure model when assets have non-negative values. 2023.  [pdf]
  

• Youcheng Lou, Moris S. Strub and Shouyang Wang. Following the actions of others: The simple average of strategies in a rational expectations economy. 2023.  [pdf]
  

Selected Journal Papers

• Yaqing Yang and Youcheng Lou. Information sharing in a perfectly competitive market. North American Journal of Economics and Finance, 69 Part A, 102015, 2024.  [pdf]  Online Appendix
  The absence of uninformed traders in the market weakens the overall crowding-out effect, which reverses the market implication results regarding network connectedness in the market encompassing both informed and uninformed traders.

• Youcheng Lou and Rohit Rahi. Information, market power and welfare. Journal of Economic Theory, 214, 105756, 2023.  [pdf]  Online Appendix
  Due to adverse selection, uninformed agents are less willing than the informed to provide liquidity, and engage in greater bid shading when prices are more informative. While increased participation by informed agents leads to perfect competition in the limit, the market remains illiquid to some degree even with free entry of uninformed traders.

• Huichao Guo and Youcheng Lou. The impact of relative wealth concerns on wealth gap and welfare in a noisy rational expectations economy. Economics Letters, 233, 111376, 2023.  [pdf]  Online Appendix
  It is impossible to simultaneously reduce the wealth gap and increase investor welfare by simply manipulating the degree of relative wealth concerns in general.

• Youcheng Lou. On the functional equivalence of two perfectly competitive economies with negative exponential utility and linear utility with a quadratic holding cost. Mathematics and Financial Economics, 17(2): 239–245, 2023.  [pdf]
  The two most widely used linear utility with a quadratic holding cost and negative exponential utility in market microstructure are essentially equivalent.

• Youcheng Lou and Yaqing Yang. Information linkages in a financial market with imperfect competition. Journal of Economic Dynamics and Control, 150, 104643, 2023.  [pdf]
  The implications of information networks on market equilibrium outcomes in imperfectly competitive economies differ from that in perfectly competitive economies.

• Weijian Li, Zihan Chen, Youcheng Lou (corresponding author) and Yiguang Hong. On the convergence properties of a distributed projected subgradient algorithm. IEEE Transactions on Automatic Control, 68(12): 7546-7559, 2023.  [pdf]
  The classical distributed projected subgradient algorithm is convergent for any periodically switching un-balanced graph sequence, where the converged solution minimizes a weighted sum of local cost functions and the weights depend on the Perron vectors of some product matrices of the underlying switching graphs.

• Youcheng Lou, Moris S. Strub, Duan Li and Shouyang Wang. The impact of a reference point determined by social comparison on wealth growth and inequality. Journal of Economic Dynamics and Control, 127, 104120, 2021.  [pdf]
  An extension of the reference point concept in Prospect Theory to an environment of social networks, where each investor's reference point is socially determined. Increasing the degree of social interactions is beneficial for both increasing wealth growth and reducing inequality.

• Youcheng Lou and Shouyang Wang. The equivalence of two rational expectations equilibrium economies with different approaches to processing neighbors’ information. Mathematical Social Sciences, 109: 93–105, 2021.  [pdf]
  Establish the necessary and sufficient conditions for the equivalence of the two information processing approaches based on the complete collection and an average of observed signals, and reveal that they are not equivalent in general.

• Youcheng Lou and Shouyang Wang. A new approach to the existence and regularity of linear equilibrium in a noisy rational expectations economy. Journal of Mathematical Economics, 90: 119–127, 2020.  [pdf]
  The newly proposed approach can also handle the existence of equilibrium in economies with heterogeneous valuations where the existing method fails.

• Youcheng Lou. Some properties of optimal investment strategies in a behavioral portfolio choice model. Optimization Letters, 14(7): 1731–1746, 2020.  [pdf]
  Title is self-explanatory.

• Youcheng Lou, Sahar Parsa, Debraj Ray, Duan Li and Shouyang Wang. Information aggregation in a financial market with general information structure. Journal of Economic Theory, 183: 594–624, 2019.  [pdf]  Online Appendix
  An extension of the classical rational expectations equilibrium model to a framework of social networks that allows signals to be multi-dimensional and to have general correlations. Establish the existence、regularity and uniqueness of linear equilibrium.

• Youcheng Lou. On the investment direction of a behavioral portfolio choice model. Operations Research Letters, 47(4): 270–273, 2019.  [pdf]
  The investment direction result of a behavioral investor under two-point distribution cases cannot be fully extended to general distributions.

• Youcheng Lou, Lean Yu, Shouyang Wang and Peng Yi. Privacy preservation in distributed subgradient optimization algorithms. IEEE Transactions on Cybernetics, 48(7): 2154–2165, 2018.  [pdf]
  The classical distributed gradient descent algorithm with homogenous step-sizes is not privacy preserving. Propose a new heterogenous steps-size algorithm to guarantee agents’ privacy as well as the desired optimality of convergent solutions.

• Youcheng Lou and Shouyang Wang. Approximate representation of the Pareto frontier in multiparty negotiations: Decentralized methods and privacy preservation. European Journal of Operational Research, 254(3): 968–976, 2016.  [pdf]
  A decentralized privacy-preserving algorithm is proposed to compute the approximate Pareto frontier of multi-party negotiation problems.

• Youcheng Lou, Yiguang Hong and Shouyang Wang. Distributed continuous-time approximate projection protocols for shortest distance optimization problems. Automatica, 69: 289–297, 2016.  [pdf]
  In contrast to the discrete-time version, no matter how large the approximate angle is, the system states of continuous-time approximate projected convex intersection computation algorithms are always bounded for any initial condition.

• Youcheng Lou, Yiguang Hong, Lihua Xie, Guodong Shi and Karl Henrik Johansson. Nash equilibrium computation in subnetwork zero-sum games with switching communications. IEEE Transactions on Automatic Control, 61(10): 2920–2935, 2016.  [pdf]
  Establish strictly the solvability of the distributed gradient descent algorithm under general (may be unbalanced) network graphs.

• Youcheng Lou and Yiguang Hong. Distributed surrounding design of target region with complex adjacency matrices. IEEE Transactions on Automatic Control, 60(1): 283–288, 2015.  [pdf]
  A distributed controller is designed to surround a given set in a plane with the same distance and desired projection angles specified by a complex-value adjacency matrix.

• Youcheng Lou, Guodong Shi, Karl Henrik Johansson and Yiguang Hong. Approximate projected consensus for convex intersection computation: Convergence analysis and critical error angle. IEEE Transactions on Automatic Control, 59(7): 1722–1736, 2014.  [pdf]
  Projection accuracy conditions are presented for a discrete-time approximate projected convex intersection computation algorithm to converge to a point of the intersection of convex sets. is a critical angle for the error of the projection approximation to ensure the boundedness of system states.

• Youcheng Lou and Yiguang Hong. Target containment control of multi-agent systems with random switching interconnection topologies. Automatica, 48(5): 879–885, 2012.  [pdf]
  A distributed controller is designed for a group of second-order agents to complete the containment task under Markovian switching topologies.
  
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