上海财经大学经济学院
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Mingheng ZHANG
Professor
Financial Econometrics, Quantitative Risk Management
(Ph.D., Peking University, 2002)

Office Address
521, School of Economics
111 Wuchuan Rd

Contact Information:
Telephone: +86-21-65902567
Email: mingheng@mail.shufe.edu.cn
Personal Web Page: click here
Bio
Selected Publications
Currently Teaching


Bio


Professor Mingheng ZHANG received his Ph.D. in 2002 from Peking University. He joined the School of Economics at Shanghai University of Finance & Economics in 2002. His areas of specialization include financial econometrics, quantitative risk management and pattern recognition & machine intelligence.


Selected Publications

1. Testing the Impact of Opening ETF on its Component Stocks - Evidence from SSE50 (with Chen Yu), Shanghai Journal of Economics, 2011 (7) (in Chinese).

2. Quantitative structural information for inferring context free grammars with an extended Cocke-Younger-Kasami Algorithm, Pattern Recognition Letters, Volume 32, Issue 6, 15 April 2011, Pages 860-865.

3. Modelling total tail dependence along diagonals, Insurance Mathematics & Economics, 2008.

4. An Approach to VaR for Capital Markets with Gaussian Mixture, Applied Mathematics and Computation,18(2):1079-1085(2005).

5. Gaussian Mixture Modelling to Detect Random Walks in Capital Markets, Mathematical and Computer Modelling 38, 503-508(2003).

6. Determine the number of components in a mixture model by the extended KS test, Pattern Recognition Letters 25(2), 2003.


Currently Teaching

Financial Econometrics

Financial Risk Control and Analysis

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