Publications and grants

Publications and grants

Research Awards

  • 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)