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| LI Sai-Ping 李世炳 |
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| Ph.D, University of Washington, Seattle |
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| Adjunct Professor |
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| Tel |
3469 2432 |
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| Fax |
2358 1652 |
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| Email |
phspli |
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| Office |
Room 4451 |
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Prof Li received his Ph.D from University of Washington, Seattle in 1983. He has been affiliated with the Institute of Physics, Academia Sinca since 1987, and has become a research fellow (equivalent to a full professor in a university) since 1992. He also served as the deputy director and acting director of the Institute in 2002 – 2009.
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| Research Areas |
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For the past twenty years, Prof Li has been mainly working on topics in complex systems, including topics in econophysics, sociophysics and biophysics. He developed an algorithm to reconstruct gene regulation networks and a theory (using wave as propagation mode for pressure pulse in arteries) to explain the blood circulation system. He set up an online futures market platform that helped to study market behavior and has been using physics models to study various financial and social systems. In particular, he used complex network theory and information theory to explain various phenomena in financial and social systems. Recently, he began to use big datasets to investigate dynamical behavior and microstructures of these systems. The goal is to develop theories to explain dynamics as well as microstructures of complex systems. |
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| Representative Publications |
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“Currency Co-movement and Network Correlation Structure of Foreign Exchange Market”, Y. Mai, H. Chen and S.P. Li, Physica A492(2018)65-74.
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“Finite Sample Corrections for Parameters Estimation and Significance Testing”, B.K. The, D. J.J. Tay, S.P. Li and S.A. Cheong, Frontiers in Applied Mathematics and Statistics, 2018. (Front. Appl. Math. Stat. | doi: 10.3389/fams.2018.00002)
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“A minority game with expected return for simulating stock correlation”, M.Y. Yang, S.P. Li, L.X. Zhong and F. Ren, EPL 123(2018)18001.
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“A clustering-based portfolio strategy incorporating momentum effect and market trend prediction”, Y.N. Lu, S.P. Li, L.X. Zhong, X.F. Jiang and F. Ren., Chaos, Solitons and Fractals 117(2018)1-15.
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“Dynamic lead-lag relationship between stock indices and their derivatives: A comparative study between Chinese mainland, Hong Kong and US stock markets”, F. Ren, S.D. Ji, M.L. Cai, S.P. Li and X.F. Jiang, Physica A513(2019)709-23.
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“Portfolio Optimization based on Network Topology”, Y. Li, X.F. Jiang, Y. Tian, S.P. Li and B. Zheng, Physica A515(2019)671-81.
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“Do government rescue policies reduce the market volatility Evidence from the Shanghai stock market”, M.Y. Yang, S.P. Li, Y. Wu, J.T. Tang and F. Ren, Finance Research Letters 29(2019)117-124.
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“Stock network stability after crashes based on entropy method”, M.Y. Yang, F. Ren and S.P. Li, Front. Phys. doi: 10.3389/fphy.2020.00163, Frontiers in Physics (2020).
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Books Edited:
S.H. Chen and S.P. Li, 2011, International Review of Financial Analysics, Special Issue, 200 pages, Holland: Elsevier. |
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