Jackie Shen

Financial Services, New York

Dr.

NY

United States

http://alum.mit.edu/www/jhshen

SCHOLARLY PAPERS

6

DOWNLOADS
Rank 43,421

SSRN RANKINGS

Top 43,421

in Total Papers Downloads

2,122

SSRN CITATIONS

3

CROSSREF CITATIONS

4

Scholarly Papers (6)

1.

Hybrid IS-VWAP Dynamic Algorithmic Trading via LQR

Number of pages: 23 Posted: 13 Jun 2017
Jackie Shen
Financial Services, New York
Downloads 669 (73,007)
Citation 2

Abstract:

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Dynamic Programming, LQR, IS, VWAP, Slippage, Spread, Delay Cost, Impact Cost, Bellman Equation, Value Function, Optimal Policy, Positive Matrix, Stability

2.

A Pre-Trade Algorithmic Trading Model under Given Volume Measures and Generic Price Dynamics (GVM-GPD)

Applied Mathematics Research Express, Forthcoming, DOI: 10.1093/amrx/abu007
Number of pages: 30 Posted: 20 Sep 2013 Last Revised: 15 Jan 2021
Jackie Shen
Financial Services, New York
Downloads 550 (93,450)
Citation 2

Abstract:

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Volume, Price, Impact, Risk, Compact positive operators, Hilbert spaces, Existence, Uniqueness, Quadratic Programming

3.

Styled Algorithmic Trading and the MV-MVP Style

Number of pages: 18 Posted: 09 Oct 2014
Jackie Shen and Yingjie Yu
Financial Services, New York and University of Illinois at Urbana-Champaign
Downloads 446 (120,408)
Citation 3

Abstract:

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Dynamic programming, style, moneyness, aggressive, passive, participation, parametric, stochastic, gradient descent, binomial trees

4.

Nine Challenges in Modern Algorithmic Trading and Controls

Algorithmic Trading and Controls, Vol. 1, No. 1, 2021, pp. 1-9, Forthcoming
Number of pages: 9 Posted: 18 Feb 2021
Jackie Shen
Financial Services, New York
Downloads 243 (231,078)

Abstract:

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Algos, liquidity, portfolio, correlation, special days, derivative pricing, universe, clustering, machine learning, auctions, shortfall, transaction cost, unit test, regression test, simulation, automated controls

5.

A Stochastic LQR Model for Child Order Placement in Algorithmic Trading

Number of pages: 18 Posted: 07 May 2020
Jackie Shen
Financial Services, New York
Downloads 179 (306,635)

Abstract:

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child order placement, dynamic programming, LQR, delay cost, spread cost, impact cost, Poisson hits, passive, aggressive, Bellman equation, optimal policy, positive matrix

6.

Bucketed PCA Neural Networks with Neurons Mirroring Signals

Number of pages: 17 Posted: 04 Aug 2021
Jackie Shen
Financial Services, New York
Downloads 35 (810,585)

Abstract:

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Interpretable AI, Supervised Learning, Neurons, DNN, Mirroring, PCA, Transforms, Bucketing, Error Correction, MNIST Data, Benchmark Models, SR 11-7