Outstanding paper, “High Frequency Volatility of Oil Futures in China: Component, Modelling and Prediction by Hong, Xu and Yang (2023)
Guangdong-Hong Kong-Macao Greate Bay Area AI, Blockchain and Fintech International
Conference and Annual Conference of CSIAM, Zhuhai, 2023
Heifei Wang, Award of “Jinji Lake Talent”, SIP, 2021-22.
Zhou Youzhou, Award of “Jiangsu Province Entrepreneurship and Entrepreneurship Doctorate”,
Provincial and Ministerial Jiangsu Province Talent Work Leading Group Office (2018)
Publications
Publications and forthcoming papers of our members in the fields of quantitative finance, financial mathematics and financial engineering:
• Hong, Y. and Jin, X. (2023). Jump-Diffusion Volatility Models for Variance Swaps: An Empirical Performance Analysis. International Review of Financial Analysis, forthcoming.
• Hong, Y. and X. Jin (2022). Pricing of Variance Swap Rates and Investment Decisions of Variance Swaps: Evidence from a Three factor Model, European Journal of OperationalResearch, 303(2), 975-985
• Hong, Y. (2020). Arbitrage Bounds on Currency Basket Options. Mathematical and Computational Applications, 25(60), doi:10.3390/mca25030060
• Zhao, X., Y.A. Zhang and Y. Hong (2019). Empirical Study on Risk Factors for Long-only Equity Hedge Funds in China, Finance, 9(1), 58-73
• A. Yang, Q. Ye and J. Zhai, “Volatility forecasting with Hybrid-long short-term memory models: Evidence from the COVID-19 period”, InternationalJournal of Finance and Economics, in press, March 2023.
• Y. Cao, X. Liu, and J. Zhai, “Option Valuation under No-Arbitrage Constraints with Neural Networks”, European Journal of Operational Research, online 8 Dec 2020
• Y. Cao and J. Zhai, “Estimating price impact via deep reinforcement learning”, International Journal of Finance and Economics, online, 2 Dec 2020
• Y. Yao, Y. Cao, J. Zhai, J. Liu, M. Xiang and L. Wang, “Latent state recognition by an enhanced hidden Markov Model”, Expert Systems
with Applications, vol 161, in press Dec 2020
• Y. Cao, X. Liu, J. Zhai, S. Hua, “A two-stage Bayesian network model for corporate bankruptcy prediction”, International Journal of Finance and Economics, published Aug 2020
• J. Zhai, Y. Cao, X. Liu, “A neural network enhanced volatility component model”, Quantitative Finance, 20(5) 783-797, 2019 (ABS 3)
• J Liu, T Sun, Y Luo, S Yang, Y Cao, J Zhai, “Echo State Network Optimization Using Binary Grey Wolf Algorithm”, Neurocomputing, 385（14）:310-318
• J. Liu, T. Sun, Y. Luo, Y. Cao, J. Zhai, “An echo state network architecture based on quantum logic gate and its optimization”, Neurocomputing, 371:100-107, 2020
• Y. Jiang, Y. Cao, X. Liu, J. Zhai, “Volatility modeling and prediction: the role of price impact”,
• Quantitative Finance, 19(12):2015-2031, 2019.
• Peiwan Wang; Lu Zong ; Contagion Effects and Risk Transmission Channels in the Housing,
• Stock, Interest Rate and Currency Markets: An Empirical Study in China and the U.S., North American Journal of Economics and Finance, 2018, 54(2019): 0-101113
• Peiwan Wang; Lu Zong; Ye Ma ; An integrated early warning system for stock market
• turbulence, Expert Systems with Applications, 2020, 153(2020): 0-113463
• Peiwan Wang; Lu Zong ; Does machine learning help private sectors to alarm crises?
• Evidence from China’s currency market, Physica A: Statistical Mechanics and its Applications. 2023, 0(0): 128470
• T.L, Fei, X.Q Liu, and C.H. Wen, Forecasting stock return volatility: RV or duration-based estimates, Journal of Forecasting, DOI: 10.1002/for.2974, 1-28 2023.
• R. Jiang, Y. C.H. Wen*, R.N. Zhang, Cui, Investor’s Herding Behavior in Asian Equity Markets during COVID-19 Period, Pacific-Basin Finance Journal (SSCI, Q1), 101771, 2022.
• R Jiang and C.H. Wen* (2021), A comparison between parametric and nonparametric volatility forecasting of stock index futures in China, Emerging Markets
Finance and Trade (SSCI, Q1), DOI: 10.1080 /1540496X.2021.2002142.
• C.H. Wen, Z.X. Yang and R. Jiang (2021), Herding Behavior in Hong Kong Stock Market during the COVID-19 period: A Case Study of Hang Seng Index Components,
Journal of Chinese Economic and Business Studies (SSCI, Q2), DOI:10.1080/14765284.2021.1948320.
• C.H. Wen, J Fei, and J.L Hao (2020), Does VPIN provide predictive information for realized volatility forecasting: Evidence from Chinese stock index futures
market? China Finance Review International (ABS), DOI:10.1108.CFRI-05-2020-0049.
• C.H. Wen and J.W. Wei (2020), Volatility Forecasting Based on Cyclical Two-Component Model: Evidence from Chinese Futures Markets and Sector Stocks.
Mathematical and Computational Applications. (ESCI), 2020, 25 (3), 59.
• X.Q Liu, T.L. Fei, and C.H. Wen (2019), Cross-sectional return dispersion and volatility prediction, Pacific-Basin Finance Journal (SSCI, Q1), 58, 101218.
• Chen, Y.; Liu, J.; Yang, Y.; Ruin under Light-tailed or Moderately Heavy-tailed Insurance Risks Interplayed with Financial Risks. Methodology & Computing in Applied Probability (2023). 25, 14 (2023). https://doi.org/10.1007/s11009-023-10008-3.
• Yang, Y.; Gong, Y.;Liu,J.; Measuring Tail Operational Risk in Univariate and Multivariate Models with Extreme Losses, Journal of Operational Risk (2023), DOI: 10.21314/JOP.2022.028.
• Chen, Y.; Liu, J.; An asymptotic study of systemic expected shortfall and marginal expected shortfall. Insurance: Mathematics and Economics, 105 (2022), 238-251.
• Ling, C., Liu, J. Extremes for a general contagion risk measure. Eur. Actuar. J. (2022). https://doi.org/10.1007/s13385-021-00301-1
• Liu, J.; Yang, Y.; Asymptotics for Systemic Risk with Dependent Heavy-tailed Losses. ASTIN Bulletin (2021), 51(2), 571-605. doi:10.1017/asb.2021.11
• Gong, Y.;Yang, Y.; Liu, J.; On the Kesten-Type Inequality for Randomly Weighted Sums With Applications to an Operational Risk Model. Filomat (2021). 35(6):1879-1888 DOI:10.2298/FIL2106879G
• Yang, Y., Wang, K., Liu, J., Zhang, Z. Asymptotics for a bidimensional risk model with two geometric L.evy price processes, Journal of Industrial and Management Optimization (2019), 15(2): 481-505. doi: 10.3934/jimo.2018053
• Xu, R. (2023). Optimal singular dividend control with capital injection and affine penalty payment at ruin. Probability in the Engineering and Informational Sciences, 37(2), 462-490.
• Xu, R., Wang, W., & Garrido, J. (2022). Optimal dividend strategy under Parisian ruin with affine penalty. Methodology and Computing in Applied Probability, 24(3), 1385-1409.
• Wang, W., & Xu, R. (2022). General drawdown based dividend control with fixed transaction costs for spectrally negative Lévy risk processes. Journal of Industrial and Management Optimization, 18(2), 795-823.
• Xu, R., & Woo, J. K. (2020). Optimal dividend and capital injection strategy with a penalty payment at ruin: Restricted dividend payments. Insurance: Mathematics and Economics, 92, 1-16.
• Cheung, E. C., Rabehasaina, L., Woo, J. K., & Xu, R. (2019). Asymptotic correlation structure of discounted Incurred But Not Reported claims under fractional Poisson arrival process. European Journal of Operational Research, 276(2), 582-601.
GRANTS
On-going or completed governmental-funded research projects
✓ Optimal dividend and capital injection with practice constraints and risk management (2022-26) (NSFC, Ran Xu)
✓ Systemic risk under catatrophe risk: An asymptotic approach (2022-26) (NSFC, Jiajun Liu)
✓ The impact of competition of social status on games with strategic complementarities in social network: theoretical and experimental studies (NSFC, 2022-26, Mofei Jia)
✓ Fleming Viot Process and Related Issues (NSFC, 2019-22, Youzhou Zhou)
✓ The Setting and Utility Evaluation of Futures Margin from the Perspective of Option Pricing (MoE, 2018-21 Yi Hong)
✓ “Research on machine learning model based on option pricing theory”, National Natural Science Foundation of China (NSFC, 2022-25 Jia Zhai)
On-going or completed research collaboration projects
✓ Calibration of option pricing models with fractional Brownian motion and jumps
(2019-2023)
✓ Lambda Fleming-Viot process and Its Applications(2018-2021)
✓ Research on Economic Scenario Generation Engine I-IV (2019-22)
✓ Research on Economic Scenario Generation Engine (KSF-E-30, 2019-22)
✓ ranular dynamics simulation of flows and collisions of non-spherical agglomerates of fine particles in fluid using DEM-CFD (2018-2021)
✓ Chinese Futures/Options Market Based on Artificial Intelligence (KSF-A-20, 2017- 2020)
✓ High frequency database construction and big data analysis of China’s derivatives market (2020-21)
Research awards
Publications
Publications and forthcoming papers of our members in the fields of quantitative finance, financial mathematics and financial engineering:
• Hong, Y. and Jin, X. (2023). Jump-Diffusion Volatility Models for Variance Swaps: An Empirical Performance Analysis. International Review of Financial Analysis, forthcoming.
• Hong, Y. and X. Jin (2022). Pricing of Variance Swap Rates and Investment Decisions of Variance Swaps: Evidence from a Three factor Model, European Journal of OperationalResearch, 303(2), 975-985
• Hong, Y. (2020). Arbitrage Bounds on Currency Basket Options. Mathematical and Computational Applications, 25(60), doi:10.3390/mca25030060
• Zhao, X., Y.A. Zhang and Y. Hong (2019). Empirical Study on Risk Factors for Long-only Equity Hedge Funds in China, Finance, 9(1), 58-73
• A. Yang, Q. Ye and J. Zhai, “Volatility forecasting with Hybrid-long short-term memory models: Evidence from the COVID-19 period”, InternationalJournal of Finance and Economics, in press, March 2023.
• Y. Cao, X. Liu, and J. Zhai, “Option Valuation under No-Arbitrage Constraints with Neural Networks”, European Journal of Operational Research, online 8 Dec 2020
• Y. Cao and J. Zhai, “Estimating price impact via deep reinforcement learning”, International Journal of Finance and Economics, online, 2 Dec 2020
• Y. Yao, Y. Cao, J. Zhai, J. Liu, M. Xiang and L. Wang, “Latent state recognition by an enhanced hidden Markov Model”, Expert Systems
with Applications, vol 161, in press Dec 2020
• Y. Cao, X. Liu, J. Zhai, S. Hua, “A two-stage Bayesian network model for corporate bankruptcy prediction”, International Journal of Finance and Economics, published Aug 2020
• J. Zhai, Y. Cao, X. Liu, “A neural network enhanced volatility component model”, Quantitative Finance, 20(5) 783-797, 2019 (ABS 3)
• J Liu, T Sun, Y Luo, S Yang, Y Cao, J Zhai, “Echo State Network Optimization Using Binary Grey Wolf Algorithm”, Neurocomputing, 385（14）:310-318
• J. Liu, T. Sun, Y. Luo, Y. Cao, J. Zhai, “An echo state network architecture based on quantum logic gate and its optimization”, Neurocomputing, 371:100-107, 2020
• Y. Jiang, Y. Cao, X. Liu, J. Zhai, “Volatility modeling and prediction: the role of price impact”,
• Quantitative Finance, 19(12):2015-2031, 2019.
• Peiwan Wang; Lu Zong ; Contagion Effects and Risk Transmission Channels in the Housing,
• Stock, Interest Rate and Currency Markets: An Empirical Study in China and the U.S., North American Journal of Economics and Finance, 2018, 54(2019): 0-101113
• Peiwan Wang; Lu Zong; Ye Ma ; An integrated early warning system for stock market
• turbulence, Expert Systems with Applications, 2020, 153(2020): 0-113463
• Peiwan Wang; Lu Zong ; Does machine learning help private sectors to alarm crises?
• Evidence from China’s currency market, Physica A: Statistical Mechanics and its Applications. 2023, 0(0): 128470
• T.L, Fei, X.Q Liu, and C.H. Wen, Forecasting stock return volatility: RV or duration-based estimates, Journal of Forecasting, DOI: 10.1002/for.2974, 1-28 2023.
• R. Jiang, Y. C.H. Wen*, R.N. Zhang, Cui, Investor’s Herding Behavior in Asian Equity Markets during COVID-19 Period, Pacific-Basin Finance Journal (SSCI, Q1), 101771, 2022.
• R Jiang and C.H. Wen* (2021), A comparison between parametric and nonparametric volatility forecasting of stock index futures in China, Emerging Markets
Finance and Trade (SSCI, Q1), DOI: 10.1080 /1540496X.2021.2002142.
• C.H. Wen, Z.X. Yang and R. Jiang (2021), Herding Behavior in Hong Kong Stock Market during the COVID-19 period: A Case Study of Hang Seng Index Components,
Journal of Chinese Economic and Business Studies (SSCI, Q2), DOI:10.1080/14765284.2021.1948320.
• C.H. Wen, J Fei, and J.L Hao (2020), Does VPIN provide predictive information for realized volatility forecasting: Evidence from Chinese stock index futures
market? China Finance Review International (ABS), DOI:10.1108.CFRI-05-2020-0049.
• C.H. Wen and J.W. Wei (2020), Volatility Forecasting Based on Cyclical Two-Component Model: Evidence from Chinese Futures Markets and Sector Stocks.
Mathematical and Computational Applications. (ESCI), 2020, 25 (3), 59.
• X.Q Liu, T.L. Fei, and C.H. Wen (2019), Cross-sectional return dispersion and volatility prediction, Pacific-Basin Finance Journal (SSCI, Q1), 58, 101218.
• Chen, Y.; Liu, J.; Yang, Y.; Ruin under Light-tailed or Moderately Heavy-tailed Insurance Risks Interplayed with Financial Risks. Methodology & Computing in Applied Probability (2023). 25, 14 (2023). https://doi.org/10.1007/s11009-023-10008-3.
• Yang, Y.; Gong, Y.;Liu,J.; Measuring Tail Operational Risk in Univariate and Multivariate Models with Extreme Losses, Journal of Operational Risk (2023), DOI: 10.21314/JOP.2022.028.
• Chen, Y.; Liu, J.; An asymptotic study of systemic expected shortfall and marginal expected shortfall. Insurance: Mathematics and Economics, 105 (2022), 238-251.
• Ling, C., Liu, J. Extremes for a general contagion risk measure. Eur. Actuar. J. (2022). https://doi.org/10.1007/s13385-021-00301-1
• Liu, J.; Yang, Y.; Asymptotics for Systemic Risk with Dependent Heavy-tailed Losses. ASTIN Bulletin (2021), 51(2), 571-605. doi:10.1017/asb.2021.11
• Gong, Y.;Yang, Y.; Liu, J.; On the Kesten-Type Inequality for Randomly Weighted Sums With Applications to an Operational Risk Model. Filomat (2021). 35(6):1879-1888 DOI:10.2298/FIL2106879G
• Yang, Y., Wang, K., Liu, J., Zhang, Z. Asymptotics for a bidimensional risk model with two geometric L.evy price processes, Journal of Industrial and Management Optimization (2019), 15(2): 481-505. doi: 10.3934/jimo.2018053
• Xu, R. (2023). Optimal singular dividend control with capital injection and affine penalty payment at ruin. Probability in the Engineering and Informational Sciences, 37(2), 462-490.
• Xu, R., Wang, W., & Garrido, J. (2022). Optimal dividend strategy under Parisian ruin with affine penalty. Methodology and Computing in Applied Probability, 24(3), 1385-1409.
• Wang, W., & Xu, R. (2022). General drawdown based dividend control with fixed transaction costs for spectrally negative Lévy risk processes. Journal of Industrial and Management Optimization, 18(2), 795-823.
• Xu, R., & Woo, J. K. (2020). Optimal dividend and capital injection strategy with a penalty payment at ruin: Restricted dividend payments. Insurance: Mathematics and Economics, 92, 1-16.
• Cheung, E. C., Rabehasaina, L., Woo, J. K., & Xu, R. (2019). Asymptotic correlation structure of discounted Incurred But Not Reported claims under fractional Poisson arrival process. European Journal of Operational Research, 276(2), 582-601.
GRANTS
On-going or completed governmental-funded research projects
✓ Optimal dividend and capital injection with practice constraints and risk management (2022-26) (NSFC, Ran Xu)
✓ Systemic risk under catatrophe risk: An asymptotic approach (2022-26) (NSFC, Jiajun Liu)
✓ The impact of competition of social status on games with strategic complementarities in social network: theoretical and experimental studies (NSFC, 2022-26, Mofei Jia)
✓ Fleming Viot Process and Related Issues (NSFC, 2019-22, Youzhou Zhou)
✓ The Setting and Utility Evaluation of Futures Margin from the Perspective of Option Pricing (MoE, 2018-21 Yi Hong)
✓ “Research on machine learning model based on option pricing theory”, National Natural Science Foundation of China (NSFC, 2022-25 Jia Zhai)
On-going or completed research collaboration projects
✓ Calibration of option pricing models with fractional Brownian motion and jumps
(2019-2023)
✓ Lambda Fleming-Viot process and Its Applications(2018-2021)
✓ Research on Economic Scenario Generation Engine I-IV (2019-22)
✓ Research on Economic Scenario Generation Engine (KSF-E-30, 2019-22)
✓ ranular dynamics simulation of flows and collisions of non-spherical agglomerates of fine particles in fluid using DEM-CFD (2018-2021)
✓ Chinese Futures/Options Market Based on Artificial Intelligence (KSF-A-20, 2017- 2020)
✓ High frequency database construction and big data analysis of China’s derivatives market (2020-21)