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谢海滨

 

 

 

 

 

 

 

 

 

 

 

 

办公室:博学楼708房间

 

电 话:86-10-64492533

 

传 真:86-10-64495059

 

Email:hbxie@amss.ac.cn

 

      

 

教育背景与学术经历

 

2002-2006,东南大学,英语专业(八级),文学学士学位

 

2007-2012,中国科学院数学与系统科学研究院,管理科学与工程,管理学博士学位

 

工作经历

 

2012.09-2015.12,对外经济贸易大学金融学院,讲师、副教授,硕士生导师

 

主要研究方向

 

实证金融,风险管理,预测理论与方法等

 

当前研究兴趣

 

资产价格过程建模,极值与收益率建模,日历效应,Monte Carlo方法。欢迎对此感兴趣的同学报考!

 

主要教学课程

 

高级金融经济学、应用计量经济软件——Stata,金融工程学,金融风险管理,FRM

 

论文与著作

 

[1] 谢海滨、邹国华、汪寿阳,《价格波动幅度变动率——一个新的市场风险度量指标》,系统科学与数学,2009,29(11)

 

[2] 柳冬、王雯珺、谢海滨、汪寿阳,《我国房地产价格影响要素分析与趋势预测》,管理评论,2010,22(5)

 

[3] 谢海滨、成冲、部慧、汪寿阳,《极端风险条件下的市场反应检验》,系统工程理论与实践,2011,31(04)

 

[4] 王明熹、王明荣、谢海滨、汪寿阳,《博弈视角下我国铁矿石价格谈判的长短期均衡》,管理评论,2012,24(9)

 

[5] 董坤、谢海滨、汪寿阳,《中国股票市场的石油效应之谜》,管理科学学报,2012,15(11)

 

[6] 谢海滨、范奎奎、周末,《中国股市对利好和利空消息反应的差异研究》,系统工程理论与实践,2015,35(7)

 

[7] 谢海滨、田军、汪寿阳,《极端风险下中国股市的反应特征研究》,中国管理科学,2015年,23(11)

 

[8] Haibin Xie, Guohua Zou, Shouyang Wang, How volatile tomorrow is? Forecasting the technical range with moving average range switching (MARS) model, International Review of Applied Financial Issues and Economics, 2010, 2

 

[9]Shouyang Wang, Xiaoguang Yang, Xiuli Liu, Haibin Xie, Fighting China’s financial crisis with O.R., How China’s economy recovered from the ‘Great Recession’ to reach its growth target of 8 percent by the end of 2009, OR/MS Today, 2010

 

[10] Dabin Zhang, Haibin Xie, Asymmetric verification of business cycle by forecasting turning points based on neural network, 2010 Third International Joint Conference on Computational Science and Optimization, 2010

 

[11] Dabin Zhang, Lean Yu, Shouyang, Wang, Haibin Xie, Neural network methods for forecasting turning points in economic time series: An asymmetric verification to business cycle, Frontier of Computer Science in China, 2010, 4

 

[12] Jiawei Zhang, Haibin Xie, Shouyang Wang, Amulti-country prosperity index by two-dimension singular spectrum analysis, Procedia Computer Science, 2011, 4

 

[13] Haibin Xie, Guohua Zou, Shouyang Wang, Theoretical properties of technical range and its application, Journal of Stock & Forex Trading (Open Access Journal), 2012, available at http://dx.doi.org/10.4172/2168-9458.1000103

 

[14] Habin Xie, Xiujuan Zhao, Shouyang Wang, A comprehensive look at the predictive information in Japanese candlestick, Procedia Computer Science, 2012, 9

 

[15] Habin Xie, Shouyang Wang, A new approach to modeling financial markets, Journal of Systems Science and Complexity, 2013, 26: 1-9

 

[16] Haibin Xie, Xun Zhang, Shouyang Wang, The more the better: forecasting oil price with decomposition-based vector autoregressive model, International Journal of Energy and Statistics, 2013, 1: 45-53.

 

[17] Haibin Xie, Jiangze Bian, Mingxi Wang, Shouyang Wang, Is technical analysis informative in the UK stock market? Evidence from decomposition-based vector autoregressive (DVAR) model, Journal of Systems Science and Complexity, 2014, 27: 144-156.

 

[18] Haibin Xie, Mo Zhou, Yi Hu, Mei Yu, Forecasting the crude oil price with extreme values, Journal of Systems Science and Information, 2014, 2: 193-205.

 

[19] Haibin Xie, Kuikui Fan, Mingxi Wang, Shouyang Wang, The role of Japanese candlestick in DVAR model, Journal of Systems Science and Complexity, 2015, 28, 1177-1193.

 

[20] Haibin Xie, Shouyang Wang,  Risk-return trade-off, information diffusion, and US stock market predictability, International Journal of Financial Engineering, 2015, 2(4), DOI:10.1142/S2424786315500383

 

[21] 谢海滨、范奎奎、汪寿阳,《极差分解方法与金融市场预测研究》,科学出版社,2014

 

工作论文

 

[1] 谢海滨、汪寿阳:中国股市资产价格变动特征的极值分析

 

[2] 谢海滨、顾霞、汪寿阳:基于信息分解视角的香港股市运行效率研究

 

[3] Haibin Xie, Qilin Qi, Shouyang Wang, Halloween Effect, Efficient Market in Disguise.

 

[4] Haibin Xie, A Summation Gamma Process for Speculative Assets

 

[5] Haibin Xie, Forecasting US Stock Returns with Halloween Effect in Japanese Candlestick

 

[6] Haibin Xie, Shouyang Wang, Asymmetric Response: New Evidence from Price Extremes

 

学术与社会兼职

 

Journal of Systems Science and Complexity,《系统科学与复杂性》,《系统工程理论与实践》,《国际金融研究》,《中国管理科学》匿名审稿人.

 

所获荣誉与奖励

 

中国科学院英达奖学金优秀奖,2011

 

Green Group Award of Computational Finance and Business Intelligence, Singapore, 2011

 

中国科学院英达奖学金特等奖,2012

 

金融教育优秀研究成果三等奖(著作类),中国金融教育发展基金会,2014

 

主持项目

 

(1)国家自然科学基金资助项目(青年):基于极值信息的收益率时序建模及其应用研究(71401033),2015-2017

 

(2)教育部人文社科项目(青年):极端风险下投资者决策行为模式研究(14YJCZH167),2014-2016

 

(3)对外经济贸易大学优秀青年培育计划项目:市场对不同信息的反应差异研究(15YQ08),2015-2017