XU Haichuan  Assistant Professor  |  Finance Tel. +86-21-64253634 | E-mail: hcxu@ecust.edu.cn

SUMMARY

• DISCIPLINE

    Finance 

• FACULTY QUALIFICATION

    Scholarly Academic (SA)

• COURSES TAUGHT

    Introduction to Financial Engineering

    Advanced Investment Studies

• EDUCATION

    Tianjin University, Ph.D., 2014, China 

    Tianjin University of Finance & Economics, Bachelor, 2011, China

• WORK EXPERIENCE

    East China University of Science and Technology, since 2014, China

SELECTED INTELLECTUAL CONTRIBUTIONS (Completed within 5 years)

• JOURNAL ARTICLES

    A Weekly Sentiment Index and the Cross-section of Stock Returns, Finance Research Letters, 2018, 27:135-139.

    Linear and Nonlinear Correlations in the Order Aggressiveness of Chinese Stocks, Fractals-Complex Geometry Patterns and Scaling in Nature and Society, 2017, 25(5).

    Power-law Tails in the Distribution of Order Imbalance, Physica A-Statistical Mechanics and Its Applications, 2017, 483:201-208.

    Symmetric Thermal Optimal Path and Time-Dependent Lead-Lag Relationship: Novel Statistical Tests and Application to UK and US Real-Estate and Monetary Policies, Quantitative Finance, 2017, 17(6):959-977.

    Time-dependent Lead-Lag Relationship between the Onshore and Offshore Renminbi Exchange Rates, Journal of International Financial Markets Institutions & Money, 2017, 49:173-183.

    Direct Determination Approach for the Multifractal Detrending Moving Average Analysis, Physical Review E, 2017, 96(5).

    Immediate Price Impact of a Stock and its Warrant: Power-law or Logarithmic Model?, International Journal of Modern Physics B, 2017, 31(8).

    Quantifying Immediate Price Impact of Trades Based on the $k$-shell Decomposition of Stock Trading Networks, (EPL) Europhysics Letters, 2017.

    Limit-order Book Resiliency after Effective Market Orders: Spread, Depth and Intensity, Journal of Statistical Mechanics-Theory and Experiment, 2017, 10.

    Quantifying Immediate Price Impact of Trades Based on the $k$-shell Decomposition of Stock Trading Networks, EPL, 2016, 116(2):.

    Taylor's Law of Temporal Fluctuation Scaling in Stock Illiquidity, Fluctuation and Noise Letters, 2016, 15(4):.

    Emotional Index and Market Return: Including the Analysis of China Wave Index (iVX), Journal of Management Sciences in China, 2018, (01):88-96 (in Chinese).

• INDUSTRY/RESEARCH PROJECTS

    Construction, Verification and Application of Multi Agent Order Book Model: Based on the Liquidity Strategy Behavior, The National Natural Science Foundation of China for Young Scholars , Research grants: ¥185,000.00, 2015-2018.

    Study on the Price Impact of Block Trading in the Stock Market and Optimal Exercise Strategy, China Postdoctoral Science Foundation, Research grants: ¥80,000.00, 2015-2018.