Yan Chen

[Gender] Male

[Title] Professor

[Address] No.11 South of Lushan Road Changsha City

[Phone] 13917538507

[Date of Birth] 1982

[Nationality] Chinese

[E-mail] chenyan15153@hotmail.com

[Professional Experience Years] 2009-Until Now

Academic Interests

Machine learning、Complex networks、Intelligent optimization、Preparing Financial Forecasts、Blockchain、risk management

Education Background

Degree

University

Time

PhD

Waseda University

2007-2010

Master

Waseda University

2006-2007

Business School of Sichuan University

2005-2008

Bachelor

School of Economics and Management, Sichuan Normal University

2005-2008

Working Experiences

Employer

Time

Hunan University, Business School, Professor

2020-Until Now

School of Statistics and Management, Shanghai University of Finance and Economics，Associate Professor

2015-2020

School of Statistics and Management, Shanghai University of Finance and Economics，Assistant Professor

2010-2015

Waseda University，Japan, Research fellow

2009-2010

Visiting Experiences

University

Time

Projects

Projects Name

Time

The National Natural Science Foundation of China：“Research on Financial Forecasting and Quantitative Trading System Based on Artificial Intelligence Technology”

2016-2019

The key project of the National Natural Science Foundation of China：“Financial Big Data Statistical Learning Theory and Method and Its Application in Internet Finance”

2016-2019

National Natural Science Foundation of China：“Financial econometric theory and application of asset pricing and risk management in complex environment”

2013-2018

Youth Science Foundation of National Natural Science Foundation of China：“Research on Intelligent Trading System Based on Soft Computing and Statistical Methods”

2012-2014

Key research and innovation project of Shanghai Municipal Education Commission：“Research on Artificial Intelligence Technology and Its Application in Financial Risk Control”

2012-2014

Awards and Honors

Awards

Time

Candidate of Shanghai “Pujiang Talent Program”

Candidate of Shanghai “Youth Scholar Program ”

First Prize of Teaching Achievement of Shanghai

Academic Memberships

Name of the Academic Organization

Time

Social Service

Name of the Social Organization

Time

Director of Chinese Society of Optimization, Overall Planning and Economic Mathematics

2013-Until Now

Director of Society of Management Science and Engineering of China

2015-Until Now

International Conference

Conference Name

Topic of Presentation

Time

Publications：

Journal

Article title

Year, Issue, Page

Physica A: Statistical Mechanics and its Applications

Setting the Margins of Hang Seng Index Futures on Different Positions using an APARCH-GPD Model based on Extreme Value Theory

2020(SCI 2 Zone)

Journal of Applied statistics and management

Financial market index forecasting model based on sparse auto encoder

2020

Chinese Journal of Management Science

Hybrid financial time series model based on MODWT, Lasso and regularized ELM

2020

International Entrepreneurship and Management Journal

“Stock Market Prediction Using Weighted Inter-Transaction Class Association Rule Mining and Evolutionary Algorithm”

2020

Finance Research Letters

“A study of interconnections and contagion between Chinese financial institutions using a network”

2020

Journal of Applied statistics and management

Robust estimation of partial linear variable coefficient models with missing dependent variables

2019

Scandinavian Journal of Statistics

On the Asymptotic Non-equivalence of Efficient-GMM and MEL Estimators in Models with Missing Data

2019Statistics Class A

candinavian Journal of Statistics

A General Quantile Residual Life Model for Length-Biased Right-Censored Data

2019Statistics Class A

Journal of Applied statistics and management

Mixed financial time series prediction model based on Adaboost and regularized ELM and its application

2017

Journal of Advanced Computational Intelligence and Intelligent Informatics

Generating Trading Rules on the Stock Markets with Robust Genetic Network Programming and Portfolio Beta

2016EI

European Journal of Operational Research

A Hybrid Stock Trading System Using Genetic Network Programming and Mean Conditional Value-at-Risk

2015

SCI 1 Zone

Chinese Journal of Management Science

Futures high-frequency trading strategy based on variable selection and genetic network programming

2015

Review of Investment Studies

Study on Dynamic Margin Setting of CSI 300 Stock Index Futures under the Constraint of Typical Facts

2014

IEEJ Transactions on Electrical and Electronic Engineering

A Portfolio Selection Model using Genetic Relation Algorithm and Genetic Network Programming

2012

SCI

Expert Systems with Applications

Genetic relation algorithm with guided mutation for the large-scale portfolio optimization

2011

SCI 1 Zone

Computers & Operations Research

A model of portfolio optimization using time adapting genetic network programming

2010

SCI 1 Zone

Expert Systems with Applications

A genetic network programming with learning approach for enhanced stock trading model

2009

SCI 1 Zone

Expert Systems with Applications

A portfolio optimization model using Genetic Network Programming with control nodes

2009

SCI 1 Zone

IEEJ Transactions on Electrical and Electronic Engineering

Real Time Updating Genetic Network Programming for Adapting to the Change of Stock Prices

2009

SCI

Monograph and Textbook

Publisher

Name

Time

Capital University of Economics and Business，Peking University Press

Introduction of Artificial Intelligence

2020