Shen Lin

PBCSF, Tsinghua University

No. 43, Chengdu Road

Haidian District

Beijing 100083

China

SCHOLARLY PAPERS

5

DOWNLOADS

380

SSRN CITATIONS

1

CROSSREF CITATIONS

0

Scholarly Papers (5)

1.

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, PBCSF, Tsinghua University and Tianjin University
Downloads 149 (203,918)

Abstract:

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

2.

Reinforcement Learning in Limit Order Markets

Number of pages: 76 Posted: 07 Mar 2018 Last Revised: 13 Feb 2019
Xuezhong He and Shen Lin
University of Technology Sydney (UTS) - Finance Discipline Group, Business School and PBCSF, Tsinghua University
Downloads 124 (235,909)

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Reinforcement Learning, Order Book Information, Limit Orders, Momentum Trading

3.

The Microstructure of Endogenous Liquidity Provision

Number of pages: 62 Posted: 15 Nov 2019
The University of Sydney - Discipline of Finance, University of Technology Sydney (UTS) - Finance Discipline Group, Business School, University of Technology Sydney (UTS), UTS Business School, Students and PBCSF, Tsinghua University
Downloads 57 (379,089)
Citation 1

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endogenous liquidity provision, fragile liquidity, machine learning

4.

Short-term Reversal and Realized Profit: The Role of Mental Accounting in Prospect Theory

Number of pages: 52 Posted: 06 Oct 2019 Last Revised: 10 Feb 2020
Bin Guo and Shen Lin
Nankai University - School of Finance and PBCSF, Tsinghua University
Downloads 49 (405,724)

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

5.

Do Stock Bulletin Board Systems (Bbs) Contain Useful Information? A Viewpoint of Interaction between Bbs Quality and Predicting Ability

Accounting & Finance, Vol. 58, Issue 5, pp. 1385-1411, 2019
Number of pages: 27 Posted: 07 Mar 2019
Tianjin University, Tianjin University, Tianjin University and PBCSF, Tsinghua University
Downloads 1 (674,275)
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Abstract:

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Stock online information, Information quality, Searching, Return prediction