72 citations · 292 across the 19 of their papers we have counts for
19 papers
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…
Link Cascades in Complex Networks: A Mean-field Approach
King Chun Wong, Sai-Ping Li
Cascade models on networks have been used extensively to study cascade failure in complex systems. However, most current models consider failure caused by node damage and neglect t…
Climate Effect on Wildfire Burned Area in Alberta (1961-2010)
Hung-I Lee, Shih-Luen Wang, Sai-Ping Li
The spread and burned areas of wildfires in Alberta, Canada during a 50 year period, from 1961 through 2010 are studied here. Meteorological factors that control the spread and bur…
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…
Dynamic portfolio strategy using clustering approach
Fei Ren, Ya-Nan Lu, Sai-Ping Li +3
The problem of portfolio optimization is one of the most important issues in asset management. This paper proposes a new dynamic portfolio strategy based on the time-varying struct…
Dynamic structure of stock communities: A comparative study between stock returns and turnover rates
Li-Ling Su, Xiong-Fei Jiang, Sai-Ping Li +2
The detection of community structure in stock market is of theoretical and practical significance for the study of financial dynamics and portfolio risk estimation. We here study t…