金融大数据背景下多重信息源对证券市场微观行为及资产价格的影响

71701150
2017
G0114.金融工程
沈德华
青年科学基金项目
副教授
天津大学
19万元
多重信息源;微观行为;资产价格;金融大数据;计算实验建模
2018-01-01到2020-12-31
  • 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 Attention allocation and international stock return comovement: Evidence from the Bitcoin market 期刊论文 Yitong Hu;Xiao Li;Dehua Shen
2 Weibo Attention and Stock Market Performance: Some Empirical Evidence 期刊论文 Dong Minghua;Xiong Xiong;Li Xiao;Shen Dehua
3 Can overnight return really serve as a proxy for firm-specific investor sentiment? Cross-country evidence 期刊论文 Xiong Xiong;Yongqiang Meng;Xiao Li;Dehua Shen
4 投资者情绪与股价崩盘风险:来自中国市场的经验证据 期刊论文 赵汝为;熊熊;沈德华
5 经济政策不确定性的动态交叉相关分析------基于美国和英国证券市场的实证研究 期刊论文 沈德华;孔祥禹
6 Some stylized facts of the cryptocurrency market 期刊论文 Zhang Wei;Wang Pengfei;Li Xiao;Shen Dehua
7 Quantifying the cross-correlations between online searches and Bitcoin market 期刊论文 Zhang Wei;Wang Pengfei;Li Xiao;Shen Dehua
8 Stock mispricing, hard-to-value stocks and the influence of internet stock message boards 期刊论文 Xiong Xiong;Yongqiang Meng;Nathan Lael Joseph;Dehua Shen
9 Does twitter predict Bitcoin? 期刊论文 Shen Dehua;Urquhart Andrew;Wang Pengfei
10 Is cryptocurrency a hedge or a safe haven for international indices? A comprehensive and dynamic perspective 期刊论文 Wang Pengfei;Zhang Wei;Li Xiao;Shen Dehua
11 Stay-at-Home Stocks Versus Go-Outside Stocks: The Impacts of COVID-19 on the Chinese Stock Market 期刊论文 Dehua Shen;Wei Zhang
12 A three-factor pricing model for cryptocurrencies 期刊论文 Dehua Shen;Andrew Urquhart;Pengfei Wang
13 Investor reactions to local and overseas news: Evidence from A‐ and H‐shares in China 期刊论文 Yi Li;Dehua Shen;Pengfei Wang;Wei Zhang
14 The role of investor attention in predicting stock prices: The long short-term memory networks perspective 期刊论文 Yongjie Zhang;Gang Chu;Dehua Shen
15 The inefficiency of cryptocurrency and its cross-correlation with Dow Jones Industrial Average 期刊论文 Zhang Wei;Wang Pengfei;Li Xiao;Shen Dehua
16 The Dynamic Correlations Between Mass Media News and New Media News in Stock Market 期刊论文 Zhang Zuochao;Zhang Yongjie;Shen Dehua
17 The cross-correlations between online sentiment proxies: Evidence from Google Trends and Twitter 期刊论文 Zhang Zuochao;Zhang Yongjie;Shen Dehua;Zhang Wei
18 Do analyst recommendations matter for rival companies? 期刊论文 Li Yi;Shen Dehua;Wang Pengfei;Zhang Wei
19 Trading volume and return volatility of Bitcoin market: evidence for the sequential information arrival hypothesis 期刊论文 Wang Pengfei;Zhang Wei;Li Xiao;Shen Dehua
20 Investor attention and performance of IPO firms: Evidence from online searches 期刊论文 Zhao Ruwei;Xiong Xiong;Shen Dehua
21 Market Participation Willingness and Investor’s Herding Behavior: Evidence from an Emerging Market 期刊论文 Xiong Xiong;Chen Wang;Dehua Shen
22 Can the Baidu Index predict realized volatility in the Chinese stock market? 期刊论文 Zhang Wei;Yan Kai;Shen Dehua
23 Multifractal Detrended Cross-Correlation Analysis of the Return-Volume Relationship of Bitcoin Market 期刊论文 Zhang Wei;Wang Pengfei;Li Xiao;Shen Dehua
24 An empirical analysis of the Adaptive Market Hypothesis with calendar effects: Evidence from China 期刊论文 Xiong Xiong;Meng Yongqiang;Li Xiao;Shen Dehua
25 Do Chinese internet stock message boards convey firm-specific information? 期刊论文 Li Xiao;Shen Dehua;Zhang Wei
26 Dynamic Cross-Correlations between Investors' Attention and CSI300 Index Futures 期刊论文 Xiong Xiong;Xu Kewei;Shen Dehua
27 The dynamic cross-correlations between foreign news, local news and stock returns 期刊论文 Zhang Wei;Li Yi;Zhang Zuochao;Shen Dehua
28 Big Data Finance and Financial Markets 期刊论文 Shen Dehua;Chen Shu-Heng
29 Baidu news information flow and return volatility: Evidence for the Sequential Information Arrival Hypothesis 期刊论文 Shen Dehua;Li Xiao;Zhang Wei
30 Forecasting the volatility of Bitcoin: The importance of jumps and structural breaks 期刊论文 Shen Dehua;Urquhart Andrew;Wang Pengfei
31 Twitter’s daily happiness sentiment and international stock returns: Evidence from linear and nonlinear causality tests 期刊论文 Wei Zhang;Pengfei Wang;Xiao Li;Dehua Shen
32 Investor Structure and Stock Price Crash Risk in a Continuous Double Auction Market: An Agent-Based Perspective 期刊论文 Zhao Ruwei;Xiong Xiong;Shen Dehua;Zhang Wei
33 The Dynamic Cross-Correlations between Mass Media News, New Media News, and Stock Returns 期刊论文 Zhang Zuochao;Zhang Yongjie;Shen Dehua;Zhang Wei
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