2 papers
q-fin.ST2022
New volatility evolution model after extreme events
Mei-Ling Cai, Zhang-HangJian Chen, Sai-Ping Li +4
In this paper, we propose a new dynamical model to study the two-stage volatility evolution of stock market index after extreme events, and find that the volatility after extreme e…
q-fin.CP2018
Modelling stock correlations with expected returns from investors
Ming-Yuan Yang, Sai-Ping Li, Li-Xin Zhong +1
Stock correlations is crucial to asset pricing, investor decision-making, and financial risk regulations. However, microscopic explanation based on agent-based modeling is still la…