Shen Lin

Tianjin University - College of Management and Economics

NO.92 Weijin Road

Nankai District

Tianjin, 300072

China

PBCSF, Tsinghua University

No. 43, Chengdu Road

Haidian District

Beijing 100083

China

SCHOLARLY PAPERS

6

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Scholarly Papers (6)

What Drives Intraday Reversal? Illiquidity or Liquidity Oversupply?

Number of pages: 73 Posted: 27 Feb 2021 Last Revised: 24 Jan 2022
Junqing Kang, Shen Lin and Xiong Xiong
Lingnan College, Sun Yat-sen University, Tianjin University - College of Management and Economics and College of Management and Economics and China Center for Social Computing and Analytics
Downloads 561 (72,142)

Abstract:

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Intraday reversal, liquidity, Chinese market

2.

Reinforcement Learning Equilibrium in Limit Order Markets

Journal of Economic Dynamics and Control, Forthcoming
Number of pages: 71 Posted: 07 Mar 2018 Last Revised: 29 Jul 2022
Xuezhong He and Shen Lin
Xi'an Jiaotong-Liverpool University (XJTLU) and Tianjin University - College of Management and Economics
Downloads 416 (104,576)

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Reinforcement learning, strategic trading, limit order market, evolutionary equilibrium, herding, market liquidity, price discovery

3.

The Microstructure of Endogenous Liquidity Provision

Number of pages: 64 Posted: 15 Nov 2019 Last Revised: 15 Oct 2020
The University of Sydney - Discipline of Finance, Xi'an Jiaotong-Liverpool University (XJTLU), Lingnan College, Sun Yat-sen University and Tianjin University - College of Management and Economics
Downloads 257 (175,148)

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Endogenous liquidity provision, fragile liquidity, market breaks, machine learning

4.

Intraday Market-Wide Ups/Downs and Returns

Journal of Management Science and Engineering, 1(1), 28-57 (2016)
Number of pages: 33 Posted: 14 Mar 2018
Wei Zhang, Shen Lin and Yongjie Zhang
Tianjin University - College of Management and Economics, Tianjin University - College of Management and Economics and Tianjin University
Downloads 222 (201,646)

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Intraday market-wide movements, Intraday returns, Investor sentiment, Individual (retail) investors

5.

Against Dumb Money

Number of pages: 77 Posted: 16 Aug 2021 Last Revised: 19 Aug 2022
Junqing Kang, Shen Lin and Xiong Xiong
Lingnan College, Sun Yat-sen University, Tianjin University - College of Management and Economics and College of Management and Economics and China Center for Social Computing and Analytics
Downloads 173 (253,015)

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Mutual fund; Retail investors; Exploring noise demand; Mutual fund skill

6.

A Behavioral Look on Short-term Reversal

Number of pages: 57 Posted: 06 Oct 2019 Last Revised: 13 Mar 2020
Bin Guo, Shen Lin and Wei Zhang
Nankai University - School of Finance, Tianjin University - College of Management and Economics and Tianjin University - College of Management and Economics
Downloads 152 (280,413)

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Prospect theory, mental accounting, quasi-hedonic editing, realized profit, short-term reversal