2 papers
math.OC2014
Illusory Shapes via Phase Transition
Yoon Mo Jung, Jianhong Jackie Shen
We propose a new variational illusory shape (VIS) model via phase fields and phase transitions. It is inspired by the first-order variational illusory contour (VIC) model proposed…
q-fin.TR2013
A Pre-Trade Algorithmic Trading Model under Given Volume Measures and Generic Price Dynamics (GVM-GPD)
Jackie Jianhong Shen
We make several improvements to the mean-variance framework for optimal pre-trade algorithmic execution, by working with volume measures and generic price dynamics. Volume measures…