Research

期刊论文：（中文加粗为国家自然科学基金委管理科学部认定的A类重要期刊及教育部学科评估A类期刊、入选中国科协FMS管理科学领域T1类高质量期刊；按时间先后排序）

[1]      朱福敏,宋佳音,郑尊信.动态跳扩散双因子与长短期波动率:来自期权市场的证据[J].系统工程理论与实践, 2023.11录用. [2024-02-06在线发表:1-26].

http://kns.cnki.net/kcms/detail/11.2267.N.20240205.1036.002.html.

[2]      朱福敏,宋佳音,刘仪榕.基于Levy-GARCH模型的股票市场尾部风险度量研究[J].中央财经大学学报. 2024(2):47-60.

[3]      朱福敏,樊昊远,吴恒煜.机构投资者会助推企业“漂绿”吗？—基于重污染企业社会责任报告披露的实证研究[J].金融经济学研究, 2024,39(2):90-106.

在线发表：2023.12.26. https://link.cnki.net/urlid/44.1696.F.20231220.1103.020

[4]      朱福敏,刘仪榕,郑尊信.刘小泉.重大事件冲击下国际股票市场波动溢出与跳跃传导研究[J].管理科学学报, 2023.8 录用待刊

http://jmsc.tju.edu.cn/jmsc/article/abstract/202205040562

[5]      朱福敏,刘仪榕,郑尊信.连续波动的累积变化是否触发随机跳跃？来自国际股票市场的证据[J].管理科学学报, 2023,26(7):54-76.

[6]      尹亚华,吴恒煜,朱福敏.基于均值回复模型的VIX期权定价——源于日历时间与内在时间的视角[J].中国管理科学, 2022,30(02):94-105.

[7]      尹亚华,吴恒煜,朱福敏. 基于调和稳态均值回复模型的VIX期权定价[J].系统工程学报, 2021, 36(05): 653-667.

[8]      尹亚华,吴恒煜,庞若宁,朱福敏. VIX期权定价—基于随机参数的仿射调和稳态模型[J].系统工程理论与实践, 2020,40(10):2530-2545.

[9]      郑尊信,姜春艳,徐晓光,朱福敏 货币政策、商品金融化与物价波动[J].经济研究, 2020,55(07):76-91.

[10]   郑尊信,倪英照,朱福敏.商品金融化背景下商品期货定价[J].系统管理学报, 2019,28(04):625-634.

[11]   胡根华,朱福敏,邱甲贤.基于列维过程的碳排放权价格跳跃行为研究[J].南开经济研究. 2019(03): 62-75.

[12]   郑尊信,王华然,朱福敏.基于Levy-GARCH模型的上证50ETF市场跳跃行为与波动特征研究[J].中国管理科学, 2019,27(2):41-52.

[13]   郑尊信,倪英照,朱福敏,徐晓光.货币冲击、贸易融资套利与中国商品金融化[J].管理世界, 2018, 34(06):41-59.

[14]   胡根华,朱福敏.碳价格波动率模型构建与预测:基于无穷活动率Levy过程[J].数理统计与管理, 2018, 37(05): 892-903.

[15]   朱福敏,郑尊信,吴恒煜.跳跃自激发与非对称交叉回馈机制下的期权定价研究[J].系统工程理论与实践, 2018, 38(01):1-15.

[16]   朱福敏,郑尊信,吴恒煜.基于无穷跳-扩散双因子交叉回馈模型的期权定价[J].系统工程学报, 2017, 32(05):638-647.

[17]   胡根华,朱福敏,吴恒煜.人民币汇率货币篮子的动态结构变化研究[J].世界经济研究, 2017(05): 3-11+135.

[18]   吴恒煜,朱福敏,温金明,Aaron KIM.基于序贯贝叶斯参数学习的Lévy动态波动率模型研究[J].系统工程理论与实践, 2017,37(03):556-569.

[19]   吴恒煜,马俊伟,朱福敏,林漳希.基于Levy过程修正GJR-GARCH模型的权证定价——对中国大陆和香港权证的实证研究[J].系统工程理论与实践, 2014,34(12):3009-3021.

[20]   吴恒煜,朱福敏,胡根华,温金明.基于参数学习的GARCH动态无穷活动率Levy过程的欧式期权定价[J].系统工程理论与实践, 2014,34(10):2465-2482.

[21]   吴恒煜,马俊伟,朱福敏,林漳希.Lévy过程下非对称GARCH模型权证定价[J].系统工程, 2014, 32(10):38-45.

[22]   吴恒煜,朱福敏,温金明.带杠杆效应的无穷纯跳跃Levy过程期权定价[J].管理科学学报, 2014,17(08):74-94.

[23]   吴恒煜,朱福敏,温金明.基于ARMA-GARCH调和稳态Levy过程的期权定价[J].系统工程理论与实践, 2013,33(11):2721-2733.

[24]   吴恒煜,朱福敏,胡根华,马晶,田海山.基于自举粒子滤波的沪深300指数跳跃性形态[J].系统工程, 2013,31(09):24-32.

[25]   吴恒煜,朱福敏.GARCH驱动下历史滤波服从Levy过程的期权定价[J].系统工程学报, 2012, 27(03):327-337.

[26]   吴恒煜,朱福敏,王鹏,龚金国.CGMY过程下期权定价的蒙特卡罗模拟方法[J].系统工程, 2011, 29(11):15-21.

[27]   Ying Jiang; Xiaoquan Liu; Yirong Liu*; F Zhu; Bond return predictability: Macro-factors and machine learning methods, European Financial Management, 2024.3. Forthcoming,

[28]   J Wen, H He, Z He, F Zhu*. A Pseudo-Inverse-Based Hard Thresholding Algorithm for Sparse Signal Recovery. IEEE Transactions on Intelligent Transportation Systems. 2023,24(7):7621-7630. (1524-9050,中科院1区Top, IF 9.551, online 20220518) https://doi.org/10.1109/TITS.2022.3172868.

[29]   F Zhu, C Zhang, Z Zheng and S A Otaibi. Click Fraud Detection of Online Advertising-LSH Based Tensor Recovery Mechanism. IEEE Transactions on Intelligent Transportation Systems. 2022, 23 (7): 9747-9754. (1524-9050,中科院1区Top, IF 9.551, online 20210901). https://doi.org/10.1109/TITS.2021.3107373.

[30]   Li, T., Kim, Y.S., Fan, Q., F Zhu*, Aumann–Serrano index of risk in portfolio optimization. Mathematical Methods of Operations Research, 2021, 94(2): 197-217. DOI: https://doi.org/10.1007/s00186-021-00753-x

[31]   Zhu, F., Bianchi, M. L., Kim, Y. S., Fabozzi, F. J.*, & Wu, H. Learning for infinitely divisible GARCH models in option pricing, Studies in Nonlinear Dynamics & Econometrics, 2021, 25(3): 35-62. (1558-3708, SSCI, online 202008)

[32]   F Zhu, C. Zhang, Z. Zheng and A. Farouk, Practical Network Coding Technologies and Softwarization in Wireless Networks, IEEE Internet of Things Journal, 2021, 8(7): 5211-5218. (2327-4662,中科院1区Top, IF 10.238)

[33]   ZX Zheng, LM Wang, FM Zhu*, L Liu. Potential technologies and applications based on deep learning in the 6G networks, Computers and Electrical Engineering, 95: 107373, 2021.08 (0045-7906)

[34]   F Zhu, L Wang, J Wen, Z Zheng, Spectrum Analysis of Filtering Technologies in Management Networks and Wireless Systems, IEEE Network, 2019, 33(4): 42-47. (0890-8044,中科院1区Top,, IF 7.503)

[35]   J Wen, L He and F Zhu*, Swarm Robotics Control and Communications: Imminent Challenges for Next Generation Smart, IEEE communications magazine, 2018, 56(7): 102-107. (0163-6804,中科院1区Top, IF 10.356)

[36]   H Yang, S Qu, F Zhu*, Z Zheng, Robust objectness tracking with weighted multiple instance learning algorithm, Neurocomputing, 2018, 288: 43-53. (0925-2312, SCI JCR Q1, IF 3.241, Elsevier).

[37]   J Wen, J Tang, F Zhu*, Greedy Block Coordinate Descent under Restricted Isometry Property, Mobile Networks and Applications, 2017, 22(3): 371-376. (1383-469X, SCI JCR Q1, IF 3.259)

[38]   C Tong, Y Lian, J Qi, Z Xie, A Zhang, J Feng, F Zhu*, A Novel Classification Algorithm for New and Used Banknotes, Mobile Networks and Applications, 2017, 22(3): 395–404. (1383-469X, SCI JCR Q1, IF 3.259)

[39]   C Tong, J Li, F Zhu*, A convolutional neural network based method for event classification in event-driven multi-sensor network, Computers & Electrical Engineering, 2017, 60(1): 90-99. (0045-7906, SCI JCR Q2, IF 1.747)

[40]   J Zhao, F Zhu*, A multi-depot vehicle-routing model for the explosive waste recycling, International Journal of Production Research, 2016, 54(2), 550–563.(0020-7543, JCR Q1, IF = 3.119)

[41]   J Wen, D Li, F Zhu, Stable Recovery of Sparse Signals via $L_p$-Minimization, Applied and Computational Harmonic Analysis. 2015, 38(1), 161-176. (1063-5203,中科院1区Top, IF = 2.964)

 

 

  论文题目 作者 期刊名称 期刊页码
  1. 1.          
 Click Fraud Detection of Online Advertising-LSH Based Tensor Recovery Mechanism F Zhu, C Zhang, Z Zheng and S A Otaibi. IEEE Trans. on Intelligent Transportation Systems. 2022, 23 (7): 9747-9754
  1. 2.          
 A Pseudo-Inverse-Based Hard Thresholding Algorithm for Sparse Signal Recovery J. Wen, H. He, Z. He and F. Zhu*, IEEE Trans. on Intelligent Transportation Systems. 2023, 24(7): 7621-7630.
  1. 3.          
 Practical Network Coding Technologies and Softwarization in Wireless Networks F Zhu, C. Zhang, Z. Zheng and A. Farouk, IEEE Internet of Things Journal, 2021, 8(7): 5211-5218.
  1. 4.          
 Bond return predictability: Macro-factors and machine learning methods Ying Jiang; Xiaoquan Liu; Yirong Liu*; F Zhu; European Financial Management, 2024.3. Forthcoming
  1. 5.          
 Learning for infinitely divisible GARCH models in option pricing F Zhu, Bianchi, M, Kim, Y., Fabozzi, F.*, & Wu, H. Studies in Nonlinear Dynamics& Econometrics, 2021, 25(3): 35-62.
  1. 6.          
 Aumann–Serrano index of risk in portfolio optimization Li, T., Kim, Y.S., Fan, Q., F Zhu*, Mathematical Methods of Operations Research, 2021, 94(2): 197-217.
  1. 7.          
 Stable Recovery of Sparse Signals via $L_p$-Minimization J Wen, D Li, F Zhu, Applied and Computational Harmonic Analysis. 2015, 38(1), 161-176.
  1. 8.          
 重大事件冲击下国际股票市场波动溢出与跳跃传导 朱福敏,刘仪榕,郑尊信,刘小泉 管理科学学报 2023, 录用待刊Forthcoming
  1. 9.          
 连续波动的累积变化是否触发随机跳跃？来自国际股票市场的证据 朱福敏,刘仪榕,郑尊信 管理科学学报 2023.26(7):54-76.
  1. 10.       
 带杠杆效应的无穷纯跳跃Levy过程期权定价 吴恒煜,朱福敏,温金明 管理科学学报 2014, 17(08):74-94.
  1. 11.       
 货币政策、商品金融化与物价波动 郑尊信,姜春艳,徐晓光,朱福敏 经济研究 2020,55(07):76-91.
  1. 12.       
 货币冲击、贸易融资套利与中国商品金融化 郑尊信,倪英照,朱福敏,徐晓光. 管理世界 2018, 34(06):41-59.
  1. 13.       
 动态跳扩散双因子与长短期波动率:来自期权市场的证据 朱福敏,宋佳音,郑尊信. 系统工程理论与实践 2024.02.06, 在线发表.
  1. 14.       
 跳跃自激发与非对称交叉回馈机制下的期权定价研究 朱福敏,郑尊信,吴恒煜. 系统工程理论与实践 2018, 38(01):1-15.
  1. 15.       
 VIX期权定价—基于随机参数的仿射调和稳态模型 尹亚华,吴恒煜,庞若宁,朱福敏. 系统工程理论与实践 2020,40(10):2530-2545.
  1. 16.       
 基于序贯贝叶斯参数学习的Lévy动态波动率模型研究 吴恒煜,朱福敏,温金明,Aaron KIM. 系统工程理论与实践 2017,37(03):556-569.
  1. 17.       
 基于参数学习的GARCH动态无穷活动率Levy过程的欧式期权定价 吴恒煜,朱福敏,胡根华,温金明. 系统工程理论与实践 2014,34(10):2465-2482.
  1. 18.       
 基于Levy过程修正GJR-GARCH模型的权证定价—对中国大陆和香港权证的实证研究 吴恒煜,马俊伟,朱福敏,林漳希. 系统工程理论与实践 2014,34(12):3009-3021.
  1. 19.       
 基于ARMA-GARCH调和稳态Levy过程的期权定价 吴恒煜,朱福敏,温金明. 系统工程理论与实践 2013,33(11):2721-2733.

 

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