Xundi DIAO
Associate Professor at Antai College of Economics & Management
Schools
- Antai College of Economics & Management
Links
Biography
Antai College of Economics & Management
Academic and Working Experience
· 2016.08- Assistant Professor/Associate Professor/Doctoral supervisor, Antai College of Economics & management, Shanghai Jiao Tong University
· 2013.06-2016.07 Assistant Professor, School of Electronic Information and Electrical Engineering, Shanghai Jiao Tong University
· 2014.07-2014.12 Visiting Scholar, The Chinese University of Hong Kong
· 2014.03-2014.04 Research Associate, The Chinese University of Hong Kong
· 2010.06-2013.05 Postdoctoral Fellow, Antai College of Economics & management, Shanghai Jiao Tong University
· 2008.03-2009.07 Research Assistant, The Hong Kong Polytechnic University
Key Publications in English
(1) Bounded rationality, asymmetric information and mispricing in financial markets. Economic
(2) Market Segmentation and Supply-chain Predictability: Evidence from China. Accounting and Finance, 2020, 60: 1531-1562.( with Chenchen Li, Rui Li, Chongfeng Wu.)
(3) Heterogeneous beliefs and aggregate market volatility revisited: New evidence from China. Pacific-Basin Finance Journal, 2019, 55: 127-141.( with Yudong Wang, Zhiyuan Pan, Chongfeng Wu.)
(4) Operational risk quantified with spectral risk measures: a refined closed-form approximation. Quantitative Finance, 2019, 19(7): 1221-1242.( with Bin Tong, Chongfeng Wu.)
(5) A general accurate approximation for pricing and hedging basket options with exact moment matching. The Journal of Derivatives. 2019, 26 (3): 68-86. (with Feifan Wu, Chongfeng Wu)
(6) Momentum of return predictability, Journal of Empirical Finance, 2018, 45:141-156.( with Yudong Wang, Li Liu, Feng Ma)
(7) Does a unique "T+1 trading rule" in China incur return difference between daytime and overnight periods? China Finance Review International, 2018, 8(1):2-20.( with Hongyang Qiu, Bin Tong,)
(8) Valuation and hedging strategy of currency options under regime-switching jump-diffusion model. Acta Mathematicae Applicatae Sinica, English Series, 2017, 33(4): 871-892.(with Shouting Chen, Ailin Zhu)
(9) Estimating multi-period value at risk of oil futures prices. Applied Economics, 48(32): 2994-3004, 2016. (with Chunyang Zhou, Xiao Qin, Yingchen He)
(10) What are returns outside trading hours capturing for volatility of individual stocks. Applied Economics Letters,23(16): 1121-1124, 2016. (with Xunxiao Wang, Yixiang Chen)
(11) Forecasting intraday volatility and VaR using multiplicative component GARCH model. Applied Economics Letters, 22(18): 1457-1464, 2015. (with Bin Tong)
(12) Commodity price changes and the predictability of economic policy uncertainty. Economics Letters, 127:39-42, 2015.(with Yudong Wang, Bing Zhang, Chongfeng Wu)
(13) Forecasting the real prices of crude oil under economic and statistical constraints. Energy Economics, 51:599-608, 2015. (with Yudong Wang, Li Liu, Chongfeng Wu)
(14) Modeling asymmetric and dynamic dependence of overnight and daytime returns: An empirical evidence from China Banking Sector. Economic Modelling, 51:366–382, 2015. (with Bin Tong, Chongfeng Wu).
(15) A Pareto multi-objective optimization approach for solving time-cost-quality tradeoff problems. Technological and Economic Development of Economy, 17(1):22-41, 2011. (with Heng Li, Saixing Zeng, etc.)
(16) EKC analysis for studying economic growth and environmental quality: a case study in China. Journal of Cleaner Production, 17(5):541-548, 2009. (with Saixing Zeng, C.M. Tam, Vivian W.Y. Tam)
(17) Development of an optimal trajectory model for spray painting on a free surface. Computers & Industrial Engineering, 57(1):209-216, 2009. (With Saixing Zeng, Vivian W.Y. Tam)
Teaching
Fixed Income Securities Analysis; Financial Derivatives; Financial Modeling and Its Application with R Examples
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