296 Result(s)
within
Economic Theory/Quantitative Economics/Mathematical Methods
Qi** Li
Economics
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Article
Profit testing of profit sharing life insurance policies when asset returns are variance gamma distributed
This paper examines the profit testing of life insurance companies that issue participating policies, type B and type A universal life policies, and variable annuities with guaranteed minimum maturity and deat...
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Article
Market Ecology: Trading Strategies and Market Volatility
The value strategy and technical analysis strategy have existed in the financial market for a long time, and the impact of these two types of strategies on the financial market has also been debated for a long...
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Article
Evolution of Complex Network Topology for Chinese Listed Companies Under the COVID-19 Pandemic
The purpose of this study is to analyze the topological structure dynamics of the complex network of stocks before and after the outbreak of the COVID-19, so as to provide a basis for preventing financial risk...
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Article
Causal Linkage Effect on Chinese Industries via Partial Cross Map** Under the Background of COVID-19
Correctly identifying causal relations among the industries provide accurate orientation to the dynamical industry connection, which is crucial to drive the industrial structure modification and optimization f...
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Article
COVID-19 Impact on Stock Markets: A Multiscale Event Analysis Perspective
The existing literature primarily examined the impact of unexpected events on the stock market at a single scale, posing the challenge of a lack of multiscale analysis. This paper investigates the impact of CO...
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Article
Cost intervention in delinquent networks
This study investigates a novel intervention approach to network games, in which players are delinquents whose payoffs depend on the actions of their network neighbors. The social planner aims to manipulate th...
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Article
Research on the effectiveness of the volatility–tail risk-managed portfolios in China’s market
This paper attempts to extend the approach of quantitative investment and provide investors with suggestions about volatility timing. Based on the volatility-managed portfolios strategy, we propose two volatil...
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Article
The macroeconomic impact of COVID-19 on occupations
We adopt a pandemic-macroeconomic model to simulate the macroeconomic impact of COVID-19 on various occupations under both laissez-faire and government lockdown scenarios. We integrate a SIR model of virus tra...
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Article
Combining Feature Selection and Classification Using LASSO-Based MCO Classifier for Credit Risk Evaluation
Credit risk evaluation is a difficult task to predict default probabilities and deduce risk classification, and many classification methods and techniques have already been applied in predicting credit risk. I...
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Article
Research on Identification and Correction of Fund Investment Style Drift Based on FSD Model
In order to solve the problem of investment style drift of open industry theme fund, this paper divides 110 industry theme stocks into ten types based on ITC classification by establishing hierarchical model, ...
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Article
Directed association network analysis on the Standard and Poor’s 500 Index
In this paper, we study the association between the core American listed companies by analysing the stock data of the Standard and Poor’s 500 Index. During the network analysis, we use a new correlation coeffi...
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Chapter
Nonparametric Models with Random Effects
This chapter considers the three-dimensional nonparametric models with random effects, and proposes pooled local linear and two-step estimators for them. We find that the pooled local linear estimator can be i...
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Article
Evaluating ensemble learning techniques for stock index trend prediction: a case of China
Stock index trend prediction is a very important topic in the finance. The purpose of this paper is to compare six ensemble learning related techniques for stock index direction prediction, including four boos...
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Article
Panel Interval-Valued Data Nonlinear Regression Models and Applications
Panel data models have become increasingly popular in economic research and data analysis. Considering the uncertainty and variability of panel data, based on support vector regression, we propose robust estim...
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Article
Using Quadratic Interpolated Beetle Antennae Search for Higher Dimensional Portfolio Selection Under Cardinality Constraints
In this paper, we presented a Quadratic Interpolated Beetle Antennae Search (QIBAS), a variant of the Beetle Antennae Search (BAS) algorithm to solve the higher dimensional portfolio selection problem. The com...
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Article
Estimation of Rank-Ordered Regret Minimization Models
This paper considers the estimation of random regret minimization models using rank-ordered choice data. By analyzing Monte Carlo simulations results, we find that the efficiency increases as we use additional...
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Article
Green or grey stocks? Dynamic effects of carbon markets based on Chinese practices
Carbon trading and new energy markets are two key mechanisms for carbon reduction. However, theoretical analysis cannot reveal the complex links between carbon, green, and grey markets. Therefore, this study r...
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Article
Identifying Systemically Important Banks Based on an Improved DebtRank Model
Considering two risk contagion channels, namely interbank lending and common asset holdings, we introduce the bank's default probability into the DebtRank model to construct an improved one and measured the ba...
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Article
Research on the Effects of Liquidation Strategies in the Multi-asset Artificial Market
The widespread application of algorithmic trading (AT) will have a lasting and profound effect on the financial market. This paper uses the multi-agent model to construct a multi-asset artificial stock market ...
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Article
Multiple dimensions of private information in life insurance markets
A growing amount of literature has shown the unavailability of a positive correlation between insurance coverage and ex post risk, even though the risk-related adverse selection is confirmed by other evidence. Su...
