Kesheng Wu

Lawrence Berkeley National Laboratory

1 Cyclotron Road

Berkeley, CA 94720

United States

SCHOLARLY PAPERS

9

DOWNLOADS
Rank 5,243

SSRN RANKINGS

Top 5,243

in Total Papers Downloads

6,712

CITATIONS
Rank 28,900

SSRN RANKINGS

Top 28,900

in Total Papers Citations

8

Scholarly Papers (9)

1.

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

Number of pages: 22 Posted: 07 Oct 2011
Lawrence Berkeley National Laboratory, Lawrence Berkeley National Laboratory, Lawrence Berkeley National Laboratory and Lawrence Berkeley National Laboratory
Downloads 1,494 (8,600)
Citation 7

Abstract:

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

2.

A Big Data Approach to Analyzing Market Volatility

Algorithmic Finance (2013), 2:3-4, 241-267
Number of pages: 28 Posted: 07 Jun 2013
Lawrence Berkeley National Laboratory, Lawrence Berkeley National Laboratory, Lawrence Berkeley National Laboratory, Lawrence Berkeley National Laboratory and Lawrence Berkeley National Laboratory
Downloads 1,028 (11,176)
Citation 1

Abstract:

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

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, Guggenheim Partners, LLC, Lawrence Berkeley National Laboratory and Lawrence Berkeley National Laboratory
Downloads 531 (20,009)

Abstract:

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

4.

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
Lawrence Berkeley National Laboratory, Guggenheim Partners, LLC, Lawrence Berkeley National Laboratory and Lawrence Berkeley National Laboratory
Downloads 414 (34,462)

Abstract:

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

5.

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

Number of pages: 3 Posted: 31 Aug 2013
Lawrence Berkeley National Laboratory, Lawrence Berkeley National Laboratory, Lawrence Berkeley National Laboratory, Lawrence Berkeley National Laboratory and Lawrence Berkeley National Laboratory
Downloads 286 (76,484)

Abstract:

false positive rate, probability of informed trading, VPIN

6.

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 D Simon
Lawrence Berkeley National Laboratory, Lawrence Berkeley National Laboratory and Lawrence Berkeley National Laboratory
Downloads 218 (74,711)

Abstract:

VPIN, volatility, sensitivity analysis, nonlinear optimization

7.

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 (NYU) - Courant Institute of Mathematical Sciences, Lawrence Berkeley National Laboratory and Guggenheim Partners, LLC
Downloads 104 (21,605)

Abstract:

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

8.

Predicting Baseline for Analysis of Electricity Pricing

Number of pages: 23 Posted: 03 May 2016
Ulsan National Institute of Science and Technology (UNIST), Lawrence Berkeley National Laboratory, Ulsan National Institute of Science and Technology (UNIST), Lawrence Berkeley National Laboratory, Lawrence Berkeley National Laboratory, Lawrence Berkeley National Laboratory and Lawrence Berkeley National Laboratory
Downloads 0 (160,967)

Abstract:

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

9.

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
Lawrence Berkeley National Laboratory, Guggenheim Partners, LLC, Lawrence Berkeley National Laboratory and Lawrence Berkeley National Laboratory
Downloads 0 (34,829)

Abstract:

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