Yiwen Shen

Hong Kong University of Science & Technology (HKUST) - Department of Information Systems, Business Statistics and Operations Management

Clear Water Bay

Kowloon

Hong Kong

  • Hong Kong University of Science & Technology (HKUST) - Department of Information Systems, Business Statistics and Operations Management

SCHOLARLY PAPERS

5

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Scholarly Papers (5)

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1.

Intraday Variation in Cross-sectional Stock Comovement and Impact of Index-based Strategies

Number of pages: 50 Posted: 09 Nov 2020 Last Revised: 07 Sep 2023
Yiwen Shen and Meiqi Shi
Hong Kong University of Science & Technology (HKUST) - Department of Information Systems, Business Statistics and Operations Management and University of California, Berkeley - Haas School of Business
Downloads 807 (53,603)

Abstract:

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market microstructure, index-based investing, intraday stock dynamics, high-frequency estimation, big data

2.

Credit Information in Earnings Calls

HKUST Business School Research Paper No. 2022-075
Number of pages: 55 Posted: 09 Aug 2022 Last Revised: 30 Aug 2023
Harry Mamaysky, Yiwen Shen and Hongyu Wu
Columbia University - Columbia Business School, Hong Kong University of Science & Technology (HKUST) - Department of Information Systems, Business Statistics and Operations Management and Yale School of Management
Downloads 709 (63,877)

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Corporate credit, credit default swaps, return forecasting, NLP

3.

Dynamic Information Regimes in Financial Markets

Number of pages: 48 Posted: 09 Feb 2019 Last Revised: 19 Oct 2023
Paul Glasserman, Harry Mamaysky and Yiwen Shen
Columbia Business School, Columbia University - Columbia Business School and Hong Kong University of Science & Technology (HKUST) - Department of Information Systems, Business Statistics and Operations Management
Downloads 570 (84,062)
Citation 2

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asset pricing, information choice

4.

Structural Estimation of Intertemporal Externalities on ICU Admission Decisions

Number of pages: 60 Posted: 24 Apr 2020 Last Revised: 25 Sep 2022
Yiwen Shen, Carri Chan, Fanyin Zheng and Gabriel J. Escobar
Hong Kong University of Science & Technology (HKUST) - Department of Information Systems, Business Statistics and Operations Management, Columbia University - Columbia Business School, Columbia University - Columbia Business School and Kaiser Permanente
Downloads 297 (177,178)

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Healthcare, Structural Estimation, Empirical Operations Management, Intensive Care Unit, Behavioral Operations

5.

Wealth Effect on Portfolio Allocation in Incomplete Markets

Swiss Finance Institute Research Paper No. 20-22
Number of pages: 71 Posted: 22 Apr 2020 Last Revised: 30 Aug 2021
Chenxu Li, O. Scaillet and Yiwen Shen
Peking University - Guanghua School of Management, Swiss Finance Institute - University of Geneva and Hong Kong University of Science & Technology (HKUST) - Department of Information Systems, Business Statistics and Operations Management
Downloads 165 (308,403)

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optimal portfolio choice, stochastic volatility, incomplete market, wealth-dependent utility, closed-form