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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
Market microstructure model
Markov Chain Monte Carlo
heavy tail
outlier
scale mixtures of normal distributions
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
市场微观结构噪声
跳跃
波动率估计
Market microstructure noise
jumps
volatility estimation
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
Market microstructure model
Parameter estimation
Receding horizon optimization
Particle swarm optimization
Asset allocation
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
Asset allocation
Monte Carlo particle filter
financial markets
market microstructure model
self-organizing state space model
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
self-organizing state space model
Asset allocation
financial markets
market microstructure model
Monte Carlo particle filter
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
Financial time series
Microstructure modeling
Jump-diffusion model
Jump detection
Extended Kalman filter
Maximum likelihood estimation
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
Market microstructure model
Heavy tails
Student- t distribution
t
A mixture of two normal distributions
Markov chain Monte Carlo algorithm
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
Heterogeneous agent
Agent-based model
Multi-asset artificial stock market
Microstructure
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
discrete microstructure model (DMSM)
variable jump intensity
evolutionary algorithm ( EA)
asset allocation
excess demand
market liquidity
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