Research Interests

• Empirical modeling, data-driven decision making, healthcare operations
• Asset pricing, information dynamics, financial engineering

Academic Qualification

• PhD Columbia University, Decision, Risk, and Operations
• M.Sc. Columbia University, Financial Engineering
• B.Sc. Peking University, Physics

Academic And Professional Experience

• Assistant Professor of ISOM, Hong Kong University of Science and Technology, 2021 - present
• Quantitative Researcher (Intern), Cubist Systematic Strategies, 2018
• Quantitative Analyst (Intern), Bank of America Merrill Lynch, 2017
• Desk Strat, Morgan Stanley, New York, 2016

Review Articles

• SHEN, Y., CHAN, C., ZHENG, F. and ESCOBAR, G., "Structural Estimation of Intertemporal Externalities on ICU Admission Decisions", submitted.
• SHEN, Y., Glasserman, P. and Mamaysky, H., "Dynamic Information Regimes in Financial Markets", Management Science, major revision.
• SHEN, Y. and SHI, M., "Index-based Investing and Intraday Stock Dynamics", Management Science, reject & resubmit.
• SHEN, Y., LI, C., and SCAILLET, O., "Wealth Effect on Portfolio Allocation in Incomplete Markets", working paper.

Funded Projects

Ongoing Projects

• Operating Room Scheduling with Effects of Surgeon’s Daily Workload, with Carri Chan, Fanyin Zheng
• Pricing Model for Credit Default Swaps with Text Data, with Harry Mamaysky and Hongyu Wu

Honors

• Second place in INFORMS HAS Paper Competition, 2021
• Chazen Research Grant, Columbia University, 2020
• Paul & Sandra Montrone Doctoral Fellowship, Columbia University, 2019, 2020
• Deming Doctoral Research Fellowship, Columbia University, 2019
• Silver Medalist in China Physics Olympiad, 2009