Jackie Shen

Financial Services, New York

Dr.

NY

United States

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

SCHOLARLY PAPERS

4

DOWNLOADS
Rank 41,756

SSRN RANKINGS

Top 41,756

in Total Papers Downloads

1,111

SSRN CITATIONS

3

CROSSREF CITATIONS

3

Scholarly Papers (4)

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: 25 Sep 2014
Jackie Shen
Financial Services, New York
Downloads 442 (69,517)
Citation 2

Abstract:

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

2.

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 355 (90,170)
Citation 3

Abstract:

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

3.

Hybrid IS-VWAP Dynamic Algorithmic Trading via LQR

Number of pages: 23 Posted: 13 Jun 2017
Jackie Shen
Financial Services, New York
Downloads 285 (114,468)

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

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 29 (508,742)

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