Kesheng Wu

University of California, Berkeley - Lawrence Berkeley National Laboratory (Berkeley Lab)

1 Cyclotron Road

Berkeley, CA 94720

United States

SCHOLARLY PAPERS

10

DOWNLOADS
Rank 6,227

SSRN RANKINGS

Top 6,227

in Total Papers Downloads

12,768

SSRN CITATIONS

8

CROSSREF CITATIONS

5

Scholarly Papers (10)

1.

Intraday Patterns in Natural Gas Futures: Extracting Signals from High-Frequency Trading Data

Number of pages: 26 Posted: 09 Sep 2015 Last Revised: 07 Mar 2016
University of California, Berkeley - Lawrence Berkeley National Laboratory (Berkeley Lab), Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority, University of California, Berkeley - Lawrence Berkeley National Laboratory (Berkeley Lab) and University of California, Berkeley - Lawrence Berkeley National Laboratory (Berkeley Lab)
Downloads 3,101 (7,504)

Abstract:

Loading...

Time series analysis, non-uniform FFT, co-integration

2.

Solving the Optimal Trading Trajectory Problem Using a Quantum Annealer

IEEE Journal of Selected Topics in Signal Processing, Forthcoming, 2016, NYU Tandon Research Paper No. 2649376
Number of pages: 12 Posted: 24 Aug 2015 Last Revised: 26 Jun 2017
1QBit, 1QBit, 1QBit, New York University Finance and Risk Engineering, University of California, Berkeley - Lawrence Berkeley National Laboratory (Berkeley Lab) and Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads 2,588 (9,972)
Citation 3

Abstract:

Loading...

Qubit, quantum computer, optimal trading trajectory, portfolio optimization, quantum annealing

3.

Statistical Overfitting and Backtest Performance

"Risk-Based and Factor Investing", Quantitative Finance Elsevier, 2015 (Forthcoming).
Number of pages: 10 Posted: 09 Oct 2014 Last Revised: 05 Jul 2015
Lawrence Berkeley National Laboratory, Northwestern University - Department of Engineering Sciences and Applied Mathematics, Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority, University of California, Berkeley - Lawrence Berkeley National Laboratory (Berkeley Lab) and University of California, Berkeley - Lawrence Berkeley National Laboratory (Berkeley Lab)
Downloads 1,919 (16,074)
Citation 4

Abstract:

Loading...

backtest, historical simulation, backtest over-fitting, investment strategy, optimization, Sharpe ratio, performance degradation

4.

A Big Data Approach to Analyzing Market Volatility

Algorithmic Finance (2013), 2:3-4, 241-267
Number of pages: 28 Posted: 07 Jun 2013
University of California, Berkeley - Lawrence Berkeley National Laboratory (Berkeley Lab), University of California, Berkeley - Lawrence Berkeley National Laboratory (Berkeley Lab), University of California, Berkeley - Lawrence Berkeley National Laboratory (Berkeley Lab), University of California, Berkeley - Lawrence Berkeley National Laboratory (Berkeley Lab) and University of California, Berkeley - Lawrence Berkeley National Laboratory (Berkeley Lab)
Downloads 1,680 (19,750)
Citation 8

Abstract:

Loading...

high-performance computing, market microstructure, probability of informed trading, VPIN, liquidity, flow toxicity, volume imbalance, flash crash

5.

Exploring Irregular Time Series Through Non-Uniform Fast Fourier Transform

Proceedings of the International Conference for High Performance Computating, IEEE, 2014.
Number of pages: 26 Posted: 30 Aug 2014 Last Revised: 05 Mar 2016
University of California, Berkeley - Lawrence Berkeley National Laboratory (Berkeley Lab), Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority, University of California, Berkeley - Lawrence Berkeley National Laboratory (Berkeley Lab) and University of California, Berkeley - Lawrence Berkeley National Laboratory (Berkeley Lab)
Downloads 1,482 (23,959)
Citation 1

Abstract:

Loading...

In-homogeneous Time Series, Non-Uniform Fourier Transform, High Frequency Trading, Sampling Frequency, Volume Time

6.

Data Driven Dimensionality Reduction to Improve Modeling Performance

Number of pages: 28 Posted: 25 Jun 2023
University of California, Berkeley, Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority, University of California, Berkeley - Lawrence Berkeley National Laboratory (Berkeley Lab) and University of California, Berkeley - Lawrence Berkeley National Laboratory (Berkeley Lab)
Downloads 760 (61,981)

Abstract:

Loading...

Dimensionality reduction, mean-decreased accuracy, feature selection, hyperparamters optimization

7.

Parameter Analysis of the VPIN (Volume Synchronized Probability of Informed Trading) Metric

Constantin Zopounidis, Editor. Quantitative Financial Risk Management: Theory and Practice. 2014. Wiley.
Number of pages: 26 Posted: 21 Apr 2014
Jung Heon Song, Kesheng Wu and Horst Simon
University of California, Berkeley - Lawrence Berkeley National Laboratory (Berkeley Lab), University of California, Berkeley - Lawrence Berkeley National Laboratory (Berkeley Lab) and University of California, Berkeley - Lawrence Berkeley National Laboratory (Berkeley Lab)
Downloads 529 (97,836)

Abstract:

Loading...

VPIN, volatility, sensitivity analysis, nonlinear optimization

8.

Testing VPIN on Big Data – Response to 'Reflecting on the VPIN Dispute'

Number of pages: 3 Posted: 31 Aug 2013
University of California, Berkeley - Lawrence Berkeley National Laboratory (Berkeley Lab), University of California, Berkeley - Lawrence Berkeley National Laboratory (Berkeley Lab), University of California, Berkeley - Lawrence Berkeley National Laboratory (Berkeley Lab), University of California, Berkeley - Lawrence Berkeley National Laboratory (Berkeley Lab) and University of California, Berkeley - Lawrence Berkeley National Laboratory (Berkeley Lab)
Downloads 412 (131,816)

Abstract:

Loading...

false positive rate, probability of informed trading, VPIN

9.

Predicting Baseline for Analysis of Electricity Pricing

Number of pages: 23 Posted: 03 May 2016
Ulsan National Institute of Science and Technology (UNIST), University of California, Berkeley - Lawrence Berkeley National Laboratory (Berkeley Lab), Ulsan National Institute of Science and Technology (UNIST), University of California, Berkeley - Lawrence Berkeley National Laboratory (Berkeley Lab), University of California, Berkeley - Lawrence Berkeley National Laboratory (Berkeley Lab), University of California, Berkeley - Lawrence Berkeley National Laboratory (Berkeley Lab) and University of California, Berkeley - Lawrence Berkeley National Laboratory (Berkeley Lab)
Downloads 297 (188,353)
Citation 1

Abstract:

Loading...

baseline model, residential electricity consumption, outdoor temperature, gradient tree boosting, electricity rate scheme

10.

Federal Market Information Technology in the Post Flash Crash Era: Roles for Supercomputing

Posted: 21 May 2019
University of California, Berkeley - Lawrence Berkeley National Laboratory (Berkeley Lab), University of California, Berkeley - Lawrence Berkeley National Laboratory (Berkeley Lab), University of California, Berkeley - Lawrence Berkeley National Laboratory (Berkeley Lab) and University of California, Berkeley - Lawrence Berkeley National Laboratory (Berkeley Lab)

Abstract:

Loading...

VPIN, flash crash, liquidity, flow toxicity, market microstructure, probability of informed trading, circuit breakers, market fragmentation