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Modelling financial time series based on heavy-tailed market microstructure models with scale mixtures of normal distributions 期刊论文
International Journal of Systems Science, 2018, 卷号: 49, 期号: 8, 页码: 1615-1626
作者:  Xi, Yanhui*;  Peng, Hui
收藏  |  浏览/下载：3/0  |  提交时间：2019/12/03
市场微观结构噪声、跳跃与波动率估计：方法及其应用 学位论文
2017, 2016
张传海
收藏  |  浏览/下载：5/0  |  提交时间：2017/06/20
An adaptive modeling and asset allocation approach to financial markets based on discrete microstructure model 期刊论文
Applied Soft Computing Journal, 2016, 卷号: 43, 页码: 390-405
作者:  Qin, Yemei;  Peng, Hui*;  Xi, Yanhui;  Xie, Wenbiao;  Sun, Yapeng
收藏  |  浏览/下载：4/0  |  提交时间：2019/12/03
A Self-Organizing State Space Type Microstructure Model for Financial Asset Allocation 期刊论文
IEEE Access, 2016, 卷号: 4, 页码: 8035-8043
作者:  Gan, Min;  Chen, Long*;  Zhang, Chun-Yang*;  Peng, Hui
收藏  |  浏览/下载：3/0  |  提交时间：2019/12/03
Modeling Financial Time Series Based on a Market Microstructure Model with Leverage Effect 期刊论文
DISCRETE DYNAMICS IN NATURE AND SOCIETY, 2016
作者:  Xi, Yanhui;  Peng, Hui*;  Qin, Yemei
收藏  |  浏览/下载：3/0  |  提交时间：2019/12/03
A Self-Organizing State Space Type Microstructure Model for Financial Asset Allocation 期刊论文
IEEE ACCESS, 2016, 卷号: 4, 页码: 8035-8043
作者:  Gan, Min;  Chen, Long;  Zhang, Chun-Yang;  Peng, Hui
收藏  |  浏览/下载：3/0  |  提交时间：2019/11/21
A modeling approach to financial time series based on market microstructure model with jumps 期刊论文
Applied Soft Computing Journal, 2015, 卷号: 29, 页码: 40-51
作者:  Peng, Hui*;  Kitagawa, Genshiro;  Tamura, Yoshiyasu;  Xi, Yanhui;  Qin, Yemei
收藏  |  浏览/下载：3/0  |  提交时间：2019/12/03
Bayesian analysis of heavy-tailed market microstructure model and its application in stock markets 期刊论文
Mathematics and Computers in Simulation, 2015, 卷号: 117, 页码: 141-153
作者:  Xi, Yanhui;  Peng, Hui*;  Qin, Yemei;  Xie, Wenbiao;  Chen, Xiaohong
收藏  |  浏览/下载：4/0  |  提交时间：2019/12/03
A comparison of U.S and Chinese financial market microstructure: heterogeneous agent-based multi-asset artificial stock markets approach 期刊论文
JOURNAL OF EVOLUTIONARY ECONOMICS, 2015, 卷号: 25, 页码: 901-924
作者:  Yang, Haijun;  Wang, Harry Jiannan;  Sun, Gui Ping;  Wang, Li
收藏  |  浏览/下载：1/0  |  提交时间：2020/01/06
Dynamic assets allocation based on market microstructure model with variable-intensity jumps 期刊论文
Journal of Central South University, 2014, 卷号: 21, 期号: 3, 页码: 993-1002
作者:  Qin Ye-mei;  Peng Hui*
收藏  |  浏览/下载：4/0  |  提交时间：2019/12/03

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