個(gè)人簡(jiǎn)歷

教育經(jīng)歷

2002-2006  東南大學(xué)外國(guó)語(yǔ)學(xué)院，英語(yǔ)專業(yè)，文學(xué)學(xué)士

2007-2012  中國(guó)科學(xué)院數(shù)學(xué)與系統(tǒng)科學(xué)研究院，管理科學(xué)與工程專業(yè)，管理學(xué)博士

工作經(jīng)歷

2021-至今   對(duì)外經(jīng)濟(jì)貿(mào)易大學(xué)金融學(xué)院，教授

2016-2020  對(duì)外經(jīng)濟(jì)貿(mào)易大學(xué)金融學(xué)院，副教授

2012-2015  對(duì)外經(jīng)濟(jì)貿(mào)易大學(xué)金融學(xué)院，講師

研究方向

金融計(jì)量、資產(chǎn)定價(jià)、風(fēng)險(xiǎn)管理、預(yù)測(cè)

講授課程

本科生：金融風(fēng)險(xiǎn)管理、金融工程學(xué)、市場(chǎng)風(fēng)險(xiǎn)與操作風(fēng)險(xiǎn)管理（FRM）

研究生：計(jì)量經(jīng)濟(jì)軟件與應(yīng)用（STATA）

國(guó)際留學(xué)生：Financial Risk Management

研究成果

論文成果

波動(dòng)率建模

1. Wu X.Y., Xie H.B., A realized EGARCH-MIDAS model with higher moments. Financial Research Letters, 2021. (SSCI)

2. Wu X.Y., Niu S.H., Xie H.B., Forecasting Bitcoin volatility using two component CARR model. Economic Computation and Economic Cybernetics Studies and Research, 2020. (SSCI)

3. Xie H.B., Range-based volatility forecasting: a multiplicative component conditional autoregressive range model. Journal of Risk, 2020. (SSCI)

4. Xie H.B., Yu C.T., Realized GARCH models: Simpler is better. Financial Research Letters, 2020. (SSCI)

5. Wu X.Y., Xie H.B., Volatility forecasting using stochastic conditional range model with leverage effect. Applied Stochastic Models in Business and Industry, 2019. (SSCI)

6. Xie H.B., Qi N., Wang S.Y., A new variant of RealGARCH for volatility modeling. Financial Research Letters, 2019. (SSCI)

7. Xie H.B., Wu X.Y., Range-based volatility modeling: an extended conditional autoregressive range model. Journal of Risk, 2019. (SSCI)

8. Xie H.B., Financial volatility modeling: the feedback asymmetric conditional autoregressive range model. Journal of Forecasting, 2019. (SSCI)

9. Xie H.B., Wu X.Y., A conditional autoregressive range model with gamma distribution for financial volatility modeling. Economic Modelling, 2017. (SSCI)

10. 吳鑫育、謝海濱、李心丹，基于非對(duì)稱雙成分CARR模型的波動(dòng)率預(yù)測(cè)，《數(shù)理統(tǒng)計(jì)與管理》，2021

11. 吳鑫育、謝海濱、汪壽陽(yáng)，雙因子隨機(jī)條件極差模型及其實(shí)證研究，《管理科學(xué)學(xué)報(bào)》，2020

資產(chǎn)定價(jià)

1. Xie H.B., Wu X.Y., Fang P.Y., Accelerating FHS option pricing under linear GARCH. Computational Economics, 2020 (online). (SSCI, SCI)

2. Xie H.B., Zhou M., Ruan T.H., Pricing VIX futures under the GJR-GARCH process: an analytical approximation method. Journal of Derivatives, 2020. (SSCI)

3. Wu X.Y., Xie H.B., Li X.D., Probability weighting functions obtained from Hong Kong index option market. Economic Research-Ekonomska Istrazivanja, 2019.

4. Xie H.B., Wang S.Y., Lu Z.D., The behavioral implications of the bilateral gamma process. Physica A, 2018. (SSCI, SCI)

5. Xie H.B., Wang S.Y., Timing the market: the economic value of price extremes. Financial Innovation, 2018.

6. Xie H.B., Qin Q.L., Wang S.Y., Is Halloween effect a new puzzle? Evidence from price gap. Review of Economics and Finance, 2016.

7. Zhou H.L., Xie H.B., Wu X.Y., Ding Z.M., Wang S.Y., The impact of warrants introduction: sign effect or magnitude effect? Journal of Systems Science and Complexity, 2013. (SCI)

8. 謝海濱、顧霞、魏云捷，基于信息分解視角的香港股市運(yùn)行效率研究，系統(tǒng)工程理論與實(shí)踐，2017.

9. 謝海濱、田軍、汪壽陽(yáng)，極端風(fēng)險(xiǎn)下中國(guó)股市反應(yīng)特征研究，《中國(guó)管理科學(xué)》，2015

10. 謝海濱、范奎奎、周末，中國(guó)股市對(duì)利好和利空消息反應(yīng)的差異研究，《系統(tǒng)工程理論與實(shí)踐》，2015

預(yù)測(cè)

1. Meng X.G., Ma J., Qiao H., Xie H.B., Forecasting U.S. stock market returns: a Japanese Candlestick approach. Journal of Systems Science and Complexity, 2021. (SCI)

2. Xie H.B., Wang S.Y., Risk-return tradeoff, information diffusion, and U.S. stock market predictability. International Journal of Financial Engineering, 2015.

3. Zhang J.W., Hassani H., Xie H.B., Zhang X., Estimating multi-country prosperity index: a two-dimensional singular spectrum analysis approach. Journal of Systems Science and Complexity, 2014. (SCI)

4. Xie H.B., Bian J.Z., Wang M.X., Qiao H., Is technical analysis informative in UK Stock market? Evidence from DVAR model. Journal of Systems Science and Complexity, 2014. (SCI)

5. Xie H.B., Fan K.K., Wang S.Y., The role of Japanese Candlestick in DVAR model. Journal of Systems Science and Complexity, 2015. (SCI)

6. Xie H.B., Wang S.Y., A new approach to model financial markets, Journal of Systems Science and Complexity, 2012. (SCI)

其他

1. 周末、張宇杰、謝海濱、雷家骕，央企上市公司高資金占用與低資產(chǎn)負(fù)債率之謎——基于融資性貿(mào)易視角的解讀，《國(guó)際金融研究》，2021.

2. 周末、謝海濱、王天韻、李墨凡，農(nóng)村宅基地入市改革對(duì)城市國(guó)有土地價(jià)格的影響效應(yīng)分析——基于圍觀土地交易數(shù)據(jù)的準(zhǔn)自然實(shí)驗(yàn)研究，《江蘇社會(huì)科學(xué)》，2020.

3. 周巍、朱榮、謝海濱，多主題抽樣調(diào)查中改進(jìn)估計(jì)方法的研究，《統(tǒng)計(jì)研究》，2016.

4. 周末、謝海濱、黃雨婷，成品油價(jià)格管制能抑制石油企業(yè)的壟斷利潤(rùn)嗎？《財(cái)經(jīng)研究》，2015.

5. 余湄、謝海濱、高茜，國(guó)際投資中的匯率風(fēng)險(xiǎn)對(duì)沖問(wèn)題研究，《系統(tǒng)工程理論與實(shí)踐》，2014.

工作論文

1. Forecasting Return Density with Structural Mixed Distribution Model.

2. Pricing VIX Futures with Linear Regression.

3. Market States, Risk-return Tradeoff and Market Predictability.

4. PPI與利率期限結(jié)構(gòu)——基于DNS模型的實(shí)證研究

著作

1. Xie H.B., Fan K.K., Wang S.Y.，Candlestick Forecasting for Investments. Taylor & Francis Group, 2021.

2. 謝海濱、范奎奎、汪壽陽(yáng)，《極差分解方法與金融市場(chǎng)預(yù)測(cè)研究》，科學(xué)出版社，2014.

主持基金項(xiàng)目

1. 2019-2022，基于混合分布的收益率建模及其在風(fēng)險(xiǎn)管理中的應(yīng)用研究，校級(jí)一般項(xiàng)目

2. 2015-2018，市場(chǎng)對(duì)不同信息的反應(yīng)差異研究，校級(jí)優(yōu)青培育項(xiàng)目

3. 2015-2018，基于極值信息的收益率時(shí)序建模及其應(yīng)用研究，國(guó)家自科青年項(xiàng)目

4. 2014-2019，極端市場(chǎng)風(fēng)險(xiǎn)下投資者決策行為模式研究，教育部青年項(xiàng)目

榮譽(yù)與獎(jiǎng)勵(lì)

1. 2020，國(guó)家自科項(xiàng)目結(jié)項(xiàng)績(jī)效評(píng)估優(yōu)秀

2. 2019，校級(jí)優(yōu)秀論文指導(dǎo)教師，校級(jí)優(yōu)秀班主任

3. 2018，全國(guó)商務(wù)發(fā)展研究獎(jiǎng)，商務(wù)部

4. 2014，金融教育優(yōu)秀研究成果著作類三等獎(jiǎng)，中國(guó)金融教育發(fā)展基金會(huì)

社會(huì)服務(wù)

1. 擔(dān)任Journal of Forecasting, Journal of Derivatives, Journal of Risk、Computational Economics、Economic Modeling、 《管理科學(xué)學(xué)報(bào)》 、《管理評(píng)論》、《中國(guó)管理科學(xué)》等十多個(gè)期刊匿名審稿人

2. 金融系統(tǒng)工程專業(yè)委員會(huì)理事

學(xué)生培養(yǎng)

招生需求

1. 良好的數(shù)理統(tǒng)計(jì)或經(jīng)濟(jì)計(jì)量基礎(chǔ)、較好的計(jì)算機(jī)編程或軟件應(yīng)用基礎(chǔ)

2. 熱愛(ài)學(xué)術(shù)、思維活躍、愛(ài)實(shí)踐