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科研机构
数学与系统科学研究... [26]
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期刊论文 [26]
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2022 [6]
2021 [2]
2020 [1]
2019 [2]
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2017 [2]
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专题:数学与系统科学研究院
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Sensitivity-based Conditional Value at Risk (SCVaR): An efficient measurement of credit exposure for options
期刊论文
NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE, 2022, 卷号: 62, 页码: 19
作者:
Shi, Ruoshi
;
Zhao, Yanlong
;
Bao, Ying
;
Peng, Cheng
收藏
  |  
浏览/下载:15/0
  |  
提交时间:2023/02/07
Counterparty credit exposure
VaR
CVaR
Sensitivity
Greeks
Heterogeneity dependence between oil prices and exchange rate: Evidence from a parametric test of Granger causality in quantiles
期刊论文
NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE, 2022, 卷号: 62, 页码: 15
作者:
Jiang, Yong
;
Ren, Yi-Shuai
;
Narayan, Seema
;
Ma, Chao-Qun
;
Yang, Xiao-Guang
收藏
  |  
浏览/下载:11/0
  |  
提交时间:2023/02/07
Heterogeneity dependence
Oil price
Exchange rate
Granger causality in quantiles
Multi-objective approaches to portfolio optimization with market impact costs
期刊论文
MEMETIC COMPUTING, 2022, 页码: 11
作者:
Wang, Hongze
;
Li, Xuerong
;
Hong, Wenjing
;
Tang, Ke
收藏
  |  
浏览/下载:10/0
  |  
提交时间:2023/02/07
Portfolio optimization
Market impact cost
Multi-objective optimization
Evolutionary computation
Memetic algorithm
New insights and augmented Lagrangian algorithm for optimal portfolio liquidation with market impact
期刊论文
INTERNATIONAL TRANSACTIONS IN OPERATIONAL RESEARCH, 2022, 页码: 25
作者:
Xu, Fengmin
;
Li, Xuepeng
;
Dai, Yu-Hong
;
Wang, Meihua
收藏
  |  
浏览/下载:9/0
  |  
提交时间:2023/02/07
augmented Lagrangian algorithm
equity and liability
optimal portfolio liquidation
price impact
A Credit Risk Contagion Intensity Model of Supply Chain Enterprises under Different Credit Modes
期刊论文
SUSTAINABILITY, 2022, 卷号: 14, 期号: 20, 页码: 26
作者:
Wang, Yuhao
;
Shen, Jiaxian
;
Pan, Jinnan
;
Chen, Tingqiang
收藏
  |  
浏览/下载:9/0
  |  
提交时间:2023/02/07
supply chain finance
trade credit financing
bank credit financing
credit default
contagion intensity
Can financial crisis be detected? Laplacian energy measure
期刊论文
EUROPEAN JOURNAL OF FINANCE, 2022, 页码: 28
作者:
Huang, Chuangxia
;
Deng, Yunke
;
Yang, Xin
;
Yang, Xiaoguang
;
Cao, Jinde
收藏
  |  
浏览/下载:7/0
  |  
提交时间:2023/02/07
Financial crisis
complex network
Laplacian energy
network structure
seasonal-trend decomposition procedure based on loess (STL)
A novel multiscale forecasting model for crude oil price time series
期刊论文
TECHNOLOGICAL FORECASTING AND SOCIAL CHANGE, 2021, 卷号: 173, 页码: 15
作者:
Li, Ranran
;
Hu, Yucai
;
Heng, Jiani
;
Chen, Xueli
收藏
  |  
浏览/下载:9/0
  |  
提交时间:2022/04/02
Crude oil price forecasting
Decomposition-ensemble method
Support vector machine
Multiscale strategy
Complexity analysis
A New Hybrid VMD-ICSS-BiGRU Approach for Gold Futures Price Forecasting and Algorithmic Trading
期刊论文
IEEE TRANSACTIONS ON COMPUTATIONAL SOCIAL SYSTEMS, 2021, 卷号: 8, 期号: 6, 页码: 1357-1368
作者:
Li, Yuze
;
Wang, Shouyang
;
Wei, Yunjie
;
Zhu, Qing
收藏
  |  
浏览/下载:14/0
  |  
提交时间:2022/04/02
Gold
Forecasting
Autoregressive processes
Predictive models
Signal resolution
Deep learning
Mathematical model
Algorithmic trading
bidirectional gated recurrent unit (BiGRU)
gold futures price forecasting
variational mode decomposition (VMD)
Assessing the price dynamics of onshore and offshore RMB markets: An ITS model approach
期刊论文
CHINA ECONOMIC REVIEW, 2020, 卷号: 62, 页码: 12
作者:
Sun, Yuying
;
Bao, Qin
;
Zheng, Jiali
;
Wang, Shouyang
收藏
  |  
浏览/下载:7/0
  |  
提交时间:2021/01/14
RMB exchange rate
Onshore and offshore markets
Price dynamics, interval time series
A hybrid VMD-BiGRU model for rubber futures time series forecasting
期刊论文
APPLIED SOFT COMPUTING, 2019, 卷号: 84, 页码: 13
作者:
Zhu, Qing
;
Zhang, Fan
;
Liu, Shan
;
Wu, Yiqiong
;
Wang, Lin
收藏
  |  
浏览/下载:69/0
  |  
提交时间:2020/01/10
BiGRU
Rubber futures
Time series
VMD
Volatility prediction
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