顾高峰 - 华东理工大学

个人简介

教授课程本科：金融工程，数值分析、固定收益证券研究生：固定收益证券简历/背景 2001.9-2005.7 华东理工大学化学工程系学士 2005.9-2010.3 华东理工大学数学系博士 2010.6-至今华东理工大学商学院工作研究项目上海市晨光计划，2010.11-2012.12，主持国家自然科学基金（青年项目）2012.1-2014.12，主持国家自然科学基金（面上项目）2017.1-2020.12，主持获奖信息 2016年上海市自然科学奖二等奖（排名第3）

研究领域

金融物理学、股市微观模型、多重分形

近期论文

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[1] Gu G.-F., Xiong X., Zhang Y.-J., Chen W., Zhang W. and Zhou W.-X. Stylized facts of price gaps in limit order books: Evidence from Chinese stocks. Chaos, Solitons and Fractals, 2016, 88: 48-58. [2] Wan Y.-L., Xie W.-J., Gu G.-F., Jiang Z.-Q., Chen W., Xiong X., Zhang W. and Zhou W.-X. Statistical properties and pre-hit dynamics of price limit hits in the Chinese stock markets. PLoS ONE, 2015, 10: 0120312. [3] Xie W.-J., Jiang Z.-Q., Gu G.-F., Xiong X. and Zhou W.-X. Joint multifractal analysis based on the partition function approach. New Journal Physics, 2015, 17: 103020. [4] Shao Y.-H., Gu G.-F., Jiang Z.-Q. and Zhou W.-X. Effects of polynomial trends on detrending moving average analysis. Fractals, 2015, 23(3): 1550034. [5] Gu G.-F., Xiong X., Zhang W., Zhang Y.-J. and Zhou W.-X. Empirical properties of inter-cancellation durations in the Chinese stock market. Frontiers in Physics, 2014, 2: 1-12. [6] Gu G.-F., Xiong X., Ren F., Zhou W.-X. and Zhang W. The position profiles of order cancellations in an emerging stock market. Journal of Statistical Mechanics: Theory and Experiment, 2013, P04027. [7] Shao Y.-H., Gu G.-F., Jiang Z.-Q., Zhou W.-X. and Sornette D. Comparing the performance of FA, DFA and DMA using different synthetic long-range correlated time series. Scientific Reports, 2012, 2: 835. [8] Meng H., Ren F., Gu G.-F., Xiong X., Zhang Y.-J., Zhou W.-X. and Zhang W. Effects of long memory in the order submission process on the properties of recurrence intervals of large price fluctuations. EPL, 2012, 98: 38003. [9] Qian X.-Y., Gu G.-F. and Zhou W.-X. Modified detrended fluctuation analysis based on empirical mode decomposition. Physica A, 2011, 390: 4388-4395. [10] 顾高峰, 任飞, 蒋志强, 周炜星. 基于Mike-Farmer委托驱动模型的研究. 上海理工大学学报, 2011, 33(5): 457-472. [11] 任飞, 顾高峰, 蒋志强, 周炜星. 复杂金融系统的重现时间间隔分析. 上海理工大学学报, 2011, 33(5): 433-443. [12] Gu G.-F. and Zhou W.-X. Detrending moving average algorithm for multifractals. Physical Review E, 2010, 82: 011136. [13] Gu G.-F., Ren F., Ni X.-H., Chen W. and Zhou W.-X. Empirical regularities of opening call auction in Chinese stock market. Physica A, 2010, 389: 278-286. [14] Xie W.-J., Gu G.-F. and Zhou W.-X. On the growth of primary industry and population of China’s counties. Physica A, 2010, 389: 3876-3882. [15] Jiang Z.-Q., Ren F., Gu G.-F., Tan Q.-Z. and Zhou W.-X. Statistical properties of online avatar numbers in a massive multiplayer online role-playing game. Physica A, 2010, 389: 807-814. [16] Ni X.-H. Jiang Z.-Q., Gu G.-F., Ren F., Chen W. and Zhou W.-X. Scaling and memory in the non-poisson process of limit order cancellation. Physica A, 2010, 389: 2751-2761. [17] Gu G.-F. and Zhou W.-X. Emergence of long memory in stock volatility from a modified Mike-Farmer model. EPL, 2009, 86: 48002. [18] Gu G.-F. and Zhou W.-X. On the probability distribution of stock returns in the Mike-Farmer model. European Physical Journal B, 2009, 67: 585-592. [19] Ren F., Gu G.-F. and Zhou W.-X. Scaling and memory in the return intervals of realized volatility. Physica A, 2009, 388: 4787-4796. [20] Gu G.-F., Chen W. and Zhou W.-X. Empirical shape function of limit-order books in the Chinese stock market. Physica A, 2008, 387: 5182-5188. [21] Gu G.-F., Chen W. and Zhou W.-X. Empirical regularities of order placement in the Chinese stock market. Physica A, 2008, 387: 3173-3182. [22] Gu G.-F., Chen W. and Zhou W.-X. Empirical distributions of Chinese stock returns at different microscopic timescales. Physica A, 2008, 387: 495-502. [23] Gu G.-F., Chen W. and Zhou W.-X. Quantifying bid-ask spreads in the Chinese stock market using limit-order book data. European Physical Journal B, 2007, 57: 81-87. [24] Gu G.-F. and Zhou W.-X. Statistical properties of daily ensemble variables in the Chinese stock markets. Physica A, 2007, 383: 497-506. [25] Gu G.-F. and Zhou W.-X. Detrended fluctuation analysis for fractals and multifractals in higher dimensions. Physical Review E, 2006, 74: 061104.