Jackie Shen

Financial Services, New York

Dr.

NY

United States

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

SCHOLARLY PAPERS

6

DOWNLOADS
Rank 40,295

SSRN RANKINGS

Top 40,295

in Total Papers Downloads

1,510

SSRN CITATIONS

2

CROSSREF CITATIONS

4

Scholarly Papers (6)

1.

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 485 (75,396)
Citation 2

Abstract:

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

2.

Hybrid IS-VWAP Dynamic Algorithmic Trading via LQR

Number of pages: 23 Posted: 13 Jun 2017
Jackie Shen
Financial Services, New York
Downloads 450 (82,481)
Citation 1

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

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 391 (97,123)
Citation 3

Abstract:

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

4.

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 105 (323,342)

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

5.

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 70 (413,078)

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

6.

Bucketed PCA Neural Networks with Neurons Mirroring Signals

Number of pages: 17 Posted: 04 Aug 2021
Jackie Shen
Financial Services, New York
Downloads 9 (733,699)

Abstract:

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