Hui Bu

Hui Bu
Beihang University (BUAA) | BUAA · Department of Finance, School of Economics and Management

PhD

About

26
Publications
3,538
Reads
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202
Citations
Introduction
Research area is the microstructure of futures market, asset pricing, volatility modeling, energy economics and risk management. She has led 7 research projects, two of which are supported by National Natural Science Foundation of China (NSFC). She has published more than 20 papers in academic journals, including Energy Economics, Journal of Systems Science & Complexity, and top Chinese academic journals. She is the reviewer of several international journals and Chinese journals.
Additional affiliations
July 2014 - present
Beihang University (BUAA)
Position
  • Professor (Associate)
July 2009 - June 2014
Beihang University (BUAA)
Position
  • Professor (Assistant)

Publications

Publications (26)
Article
Full-text available
This paper examines the proxy variables of investor sentiment in Chinese stock market carefully, and tries to construct an investor sentiment index indirectly. We use cross correlation analysis to examine lead-lag relationship between the proxy variables and HS300 index. The results show that net added accounts (NAA), SSE share turnover (TURN), and...
Article
Full-text available
This paper examines the behaviour of crude oil futures price and volatility, analyzes the relationship between speculative traders’ positions and returns, and investigates whether speculative traders’ position changes have a significant effect on crude oil price. It also studies how speculation factor influence crude oil returns and volatility, whe...
Article
This paper analyzes the backwardation character of futures prices in Chinese copper futures market. According to Kolb (1992), we firstly examine the relationship between forward prices and futures prices at expiration, and test the existence of the backwardation character of copper futures. Then, we test the property of spot price and convenience y...
Article
Full-text available
The air transport industry crucially depends on traffic forecasting for supporting management decisions. In this study, a singular spectrum analysis (SSA)-based ensemble forecasting modeling approach is proposed. The original air passenger time series is first decomposed into three components: trend, seasonal oscillations, and irregular component....
Article
This paper empirically studies the finance agglomeration and regional finance development disparities in China based on the sample of 31 provinces from 1997 to 2009. This paper calculates the degree of finance agglomeration using different measures and compares the results. Also, this paper discusses the spatial dependence of finance industry and t...
Article
Full-text available
The development of financial centers can illustrate continuous significance of geography. This paper regards financial services industry as a special kind of industry, and establishes a multi-region model to discuss the formation mechanism and equilibrium of finance agglomeration. Our findings suggest emergence of finance agglomeration depends on o...
Article
A multivariable model based on cross-correlogram is proposed to study the effect of influencing factors on crude oil price. Following the selection of factors and variables, the lead-lag relationship between factors and oil price is firstly analyzed to decide and adjust the lag order of independent variables. Then multivariable regression models ar...
Article
As the financial services industry is quite different from the other industries,the traditional model of industrial agglomeration is not applicable to finance agglomeration. This paper regards the financial services industry as a special kind of industry, and establishes a two-region model, which reflects the characteristics of financial services i...
Article
In order to study the multilayer financial center system in China, this paper designed a systematic evaluation methodology. Firstly, we established an evaluation index system of urban financial competitiveness. Secondly, based on the index system that had been established, we used three methods, including entropy weight method, grey relational anal...
Article
Voluminous studies have demonstrated theoretically and empirically that psychology plays a very important role in investor's trading behaviors. However, studies investigating market response to extreme risks are still inaccessible to our knowledge. This paper provides a statistical method to testify market response to extreme risks based on value a...
Article
This paper examines the behavior of crude oil futures price volatility and investigates whether information shocks to market expectations about inventory and non-commercial traders' positions change have a significant effect on crude oil price and its volatility. It also studies how these factors, as well as other determinants, influence crude oil...
Article
A quarterly crude oil price forecasting system based on optimally selected model is proposed. The system integrates forecast results from optimally selected model and external experts with low prediction errors, and outputs final oil price prediction values after the meta-synthesis of integrated results and information and experiences owned by inte...
Article
Inflation risk and inflation hedging are both academic and financial sector concerns. In China, we don‘t have such a financial tool as Treasury Inflation Protected Securities ( TIPS) in the global market. Thus, it's more difficult to design and put forward some inflation protecting products. This paper points out that studying inflation hedging cha...
Article
Full-text available
As a newly emerging market, the global financial crisis poses a challenging issue for the healthy development of Shanghai gold futures market. We investigate the pattern and factors of the volatility of Shanghai gold futures price and deliver recommendations for its future development. GARCH model shows that Shanghai gold futures market exhibits mo...
Article
In recent years, rising copper futures prices and derivative risk events related to copper futures markets have drawn attention to the role international funds play in price fluctuations. To better understand the relationship between the fund's strategy and copper futures prices, the paper studies the Commodity Futures Trading Commission (CFTC)'s C...
Article
In recent years, the fluctuations of futures prices and resultant risks have drawn attentions to the role international funds play in price fluctuations. Therefore, we study the Commodity Futures Trading Commission (CFTC)'s Commitments of Traders (COT) report of soybean futures and employ Granger causality tests to examine the relationships between...
Article
Full-text available
Commodity indices have played important role in global futures market to measure trends in commodity futures markets. However, research on Chinese commodity index is still in the starting period. While on the other hand, with China's integration into the world economy and the development of Chinese futures market, the study of commodity index has m...
Article
Based on the TEI@I methodology proposed by Wang, et al, this paper presents an approach to forecast housing price. 114 indicators are selected by rough set theory, and the leading indicators are selected with time difference correlation analysis. Seasonal housing prices are forecasted by regression and grey models, and integrated via the wavelet ne...
Article
Based on [email protected]/* */ methodology proposed by Wang et al. (2005), this paper proposes a housing price forecasting method. According to how to analyze small sample data in the research method, 114 important indicators are selected by rough sets theory, and the leading indicators are selected with time difference correlation analysis. Seaso...

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