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中国科学院数学与系统科学研究院机构知识库
KMS Of Academy of mathematics and systems sciences, CAS
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Market volatility, market skewness, and the cross-section of expected returns in Chinese equity markets
期刊论文
APPLIED ECONOMICS, 2022, 页码: 17
作者:
Liu, Qing
;
Wang, Shouyang
;
Sui, Cong
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  |  
浏览/下载:57/0
  |  
提交时间:2023/02/07
Volatility risk
risk-neutral skewness
options
cross-sectional regression
asymmetry
Heterogeneity dependence between oil prices and exchange rate: Evidence from a parametric test of Granger causality in quantiles
期刊论文
NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE, 2022, 卷号: 62, 页码: 15
作者:
Jiang, Yong
;
Ren, Yi-Shuai
;
Narayan, Seema
;
Ma, Chao-Qun
;
Yang, Xiao-Guang
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  |  
浏览/下载:120/0
  |  
提交时间:2023/02/07
Heterogeneity dependence
Oil price
Exchange rate
Granger causality in quantiles
Hybrid data decomposition-based deep learning for Bitcoin prediction and algorithm trading
期刊论文
Financial Innovation, 2022, 卷号: 8, 期号: 1
作者:
Li,Yuze
;
Jiang,Shangrong
;
Li,Xuerong
;
Wang,Shouyang
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  |  
浏览/下载:115/0
  |  
提交时间:2022/04/29
Bitcoin price
Variational mode decomposition
Deep learning
Price forecasting
Algorithmic trading
A New Hybrid VMD-ICSS-BiGRU Approach for Gold Futures Price Forecasting and Algorithmic Trading
期刊论文
IEEE TRANSACTIONS ON COMPUTATIONAL SOCIAL SYSTEMS, 2021, 卷号: 8, 期号: 6, 页码: 1357-1368
作者:
Li, Yuze
;
Wang, Shouyang
;
Wei, Yunjie
;
Zhu, Qing
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  |  
浏览/下载:112/0
  |  
提交时间:2022/04/02
Gold
Forecasting
Autoregressive processes
Predictive models
Signal resolution
Deep learning
Mathematical model
Algorithmic trading
bidirectional gated recurrent unit (BiGRU)
gold futures price forecasting
variational mode decomposition (VMD)
A discrete-time and finite-state Markov chain based in-play prediction model for NBA basketball matches
期刊论文
COMMUNICATIONS IN STATISTICS-SIMULATION AND COMPUTATION, 2021, 卷号: 50, 期号: 11, 页码: 3768-3776
作者:
Shi, Jian
;
Song, Kai
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浏览/下载:101/0
  |  
提交时间:2022/04/02
Betting
In-play predictions
Markov chain
Positive returns
Uncertainty analysis
The time-varying causal relationship between the Bitcoin market and internet attention
期刊论文
Financial Innovation, 2021, 卷号: 7, 期号: 1
作者:
Zhang,Xun
;
Lu,Fengbin
;
Tao,Rui
;
Wang,Shouyang
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浏览/下载:124/0
  |  
提交时间:2021/10/26
Bitcoin
Internet attention
Google trends
Time-varying granger causality
Multiple bubbles test
G11
G15
C15
Take Bitcoin into your portfolio: a novel ensemble portfolio optimization framework for broad commodity assets
期刊论文
Financial Innovation, 2021, 卷号: 7, 期号: 1
作者:
Li,Yuze
;
Jiang,Shangrong
;
Wei,Yunjie
;
Wang,Shouyang
收藏
  |  
浏览/下载:123/0
  |  
提交时间:2021/10/26
Portfolio optimization
Bitcoin
Deep learning
Reinforcement learning
Variational mode decomposition
Asymmetric responses to Purchasing Managers' Index announcements in China's stock returns
期刊论文
INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS, 2021, 页码: 19
作者:
Wang, Yingli
;
Lu, Chang
;
Yang, Xiaoguang
;
Zhang, Qingpeng
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  |  
浏览/下载:125/0
  |  
提交时间:2021/10/26
asymmetric response
Chinese stock market
economic period
individual investors
PMI announcements
rise-chasing and down-freezing
Forecasting crude oil price intervals and return volatility via autoregressive conditional interval models
期刊论文
ECONOMETRIC REVIEWS, 2021, 卷号: 40, 期号: 6, 页码: 584-606
作者:
He, Yanan
;
Han, Ai
;
Hong, Yongmiao
;
Sun, Yuying
;
Wang, Shouyang
收藏
  |  
浏览/下载:125/0
  |  
提交时间:2021/10/26
ACI model
interval-valued crude oil prices
range
trading strategy
volatility forecast
Discovering research trends and opportunities of green finance and energy policy: A data-driven scientometric analysis
期刊论文
ENERGY POLICY, 2021, 卷号: 154, 页码: 12
作者:
Wang, Moran
;
Li, Xuerong
;
Wang, Shouyang
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  |  
浏览/下载:136/0
  |  
提交时间:2021/10/26
Green finance policy
Green bonds
Data-driven scientometric analysis
co2 emissions
Fintech