教师主页
许海川 副教授
性       别
职       务
所属部门 金融学系
学科领域 计算金融
电子邮箱 hcxu@ecust.edu.cn
 
 
本科:证券投资学, 金融工程
教育背景
2011.09 - 2014.06,天津大学管理与经济学部,管理学博士
工作经历
2014.09 - 至今,华东理工大学商学院,讲师
量化金融、计算实验金融
“多主体订单簿模型构建、校验及其应用:基于流动性策略行为的视角”,国家自然科学基金项目,2015
“股票市场中大单交易的价格影响与最优执行策略研究”,中国博士后科学基金项目,2015
Hai-Chuan Xu, Wei-Xing Zhou*, Didier Sornette, “Time-dependent lead-lag relationship between the onshore and offshore Renminbi exchange rates”, Journal of International Financial Markets, Institutions and Money, 49, 2017, 173-183.
Hao Meng#, Hai-Chuan Xu#, Wei-Xing Zhou*, and Didier Sornette*, “Symmetric thermal optimal path and time-dependent lead-lag relationship: Novel statistical tests and application to UK and US real-estate and monetary policies”, Quantitative Finance 17, 2017, 959-977.
Hai-Chuan Xu, Wei Chen, Xiong Xiong, Wei Zhang, Wei-Xing Zhou*, H. E. Stanley, “Limit-order book resiliency after effective market orders: Spread, depth and intensity”, Journal of Statistical Mechanics 2017 (7): 073404
Hai-Chuan Xu, Gao-Feng Gu, Wei-Xing Zhou*, "Direct determination approach for the multifractal detrending moving average analysis." Physical Review E 2017, 96(5): 052201.
Hai-Chuan Xu, Zhi-Qiang Jiang, Wei-Xing Zhou*, “Immediate price impact of a stock and its warrant: Power-law or logarithmic model? ”. International Journal of Modern Physics B, 2017, 31(8): 1750048.
Ting Zhang, Gao-Feng Gu, Hai-Chuan Xu*, Xiong Xiong, Wei Chen, Wei-Xing Zhou*, “Power-law tails in the distribution of order imbalance”, Physica A: Statistical Mechanics and its Applications, 483, 2017, 201-208.
许海川, 周炜星*. “情绪指数与市场收益:纳入中国波指(iVX)的分析”, 管理科学学报, 21(1), 2018, 88-96.
Hai-Chuan Xu, Wei Zhang and Yi-Fang Liu*, "Short-term market reaction after trading halts in Chinese stock market", Physica A: Statistical Mechanics and Its Applications, 2014, 401: 103-111.
Peng Yue, Hai-Chuan Xu, Wei Chen, Xiong Xiong, Wei-Xing Zhou*,"Linear and nonlinear correlations in the order aggressiveness of Chinese stocks", Fractals, 2007, 25(5):1750041.
Yi-Fang Liu, Wei Zhang, Hai-Chuan Xu*, "Collective behavior and options volatility smile: An agent-based explanation", Economic Modelling, 2014, 39, 232-239.
Hai-Chuan Xu, Wei Zhang, Xiong Xiong*, Wei-Xing Zhou, "An agent-based computational model for China’s stock market and stock index futures market". Mathematical Problems in Engineering, 2014, 563912.
Hai-Chuan Xu, Wei Zhang, Xiong Xiong*, Wei-Xing Zhou, "Wealth share analysis with 'Fundamentalist/Chartist' heterogeneous agents". Abstract and Applied Analysis, 2014, 328498.
Yi-Fang Liu, Wei Zhang, Chao Xu*, Jorgen Vitting Andersen, Hai-Chuan Xu, "Impact of information cost and switching of trading strategies in an artificial stock market". Physica A: Statistical Mechanics and its Applications, 2014, 407, 204-215.
熊熊, 刘俊, 许海川, 张维, 张永杰, "期现套利对我国股指期货市场波动性影响分析", 系统工程理论实践, 2014, 34(3), 623-630.
Qing Cai, Hai-Chuan Xu, Wei-Xing Zhou*, "Taylor’s Law of Temporal Fluctuation Scaling in Stock Illiquidity", Fluctuation and Noise Letters, 2016, 15 (4), 1650029.
2015, 第四届思源人文社会科学博士论文奖,台北。

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