市场价格、过剩需求与流动性动态关系建模及在投资策略优化中的应用

71271215
2012
G0114.金融工程
彭辉
面上项目
教授
中南大学
56万元
投资策略优化;金融市场;非线性非高斯模型估计;微结构;动态特性建模
2013-01-01到2016-12-31
  • 中英文摘要
  • 结题摘要
  • 结题报告
  • 项目成果
  • 项目参与人
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序号 标题 类型 作者
1 A sequential learning algorithm based on adaptive particle filtering for RBF networks 期刊论文 Yanhui Xi|Hui Peng(*)|Xiaohong Chen|
2 A modeling approach to financial time series based on market microstructure model with jumps 期刊论文 Yoshiyasu Tamura|Yanhui Xi|Yemei Qin|Xiaohong Chen|
3 Dynamic assets allocation based on market microstructure model with variable intensity 期刊论文 Qin, Yemei|Peng, Hui|
4 Modeling Financial Time Series Based on a Market Microstructure Model with Leverage Effect 期刊论文 Xi, Yanhui|Peng, Hui|Qin, Yemei|
5 A Self-organizing State Space Type Microstructure Model for Financial Asset Allocation 期刊论文 Min Gan|Long Chen|Chunyang Zhang|Hui Peng|
6 Bayesian analysis of heavy-tailed market microstructure model and its application in stock markets 期刊论文 Hui Peng|Yemei Qin|Wenbiao Xie|Xiaohong Chen|
7 Multi-asset Allocation Based on Financial Market Microstructure Model 会议论文 Qin, Yemei|Peng, Hui|Xi, Yanhui|Chen, Xiaohong|
8 The auxiliary iterated extended Kalman particle filter 期刊论文 Xi, Yanhui|Peng, Hui|Kitagawa, Genshiro|Chen, Xiaohong|
9 An adaptive modeling and asset allocation approach to financial markets based on discrete microstructure model 期刊论文 Xi, Yanhui|Xie, Wenbiao|Sun, Yapeng|Chen, Xiaohong|
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