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.
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.
Financial Risk Control and Analysis