郭明

2023

Dampening Effect and Market Efficiency

Social Science Research Network

DOI

2020

The Dynamics of Implicit Transactions Costs

Journal of Mathematical Finance

DOI

2020

培育长期战略投资者 促进证券市场健康发展

《清华金融评论》，No. 9

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2020

基于多元条件极值模型的股指期货与现货下尾部相依性研究

《系统管理学报》，Vol. 29, No. 2

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2019

“T+1”交易制度应该取消吗?

《清华金融评论》，No. 10

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2019

伦沪市场期铜收益率的条件尾部相依性研究

《大连理工大学学报(社会科学版)》，Vol. 40, No. 4

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2018

Subjective Model Uncertainty, Variance Risk Premium, and Speculative Trading∗

DOI

2017

Return Predictability and Strategic Trading under Symmetric Information

Journal of Mathematical Finance

DOI

2017

基于SV-POT-TDRM的沪深300股指期货尾部风险研究

《系统管理学报》，Vol. 26, No. 5

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2016

Heterogeneous Liquidity Provision

2014

Using CARR model and GARCH model to forecast volatility of the stock index: Evidence from China's Shanghai stock market

2014 International Conference on Management Science & Engineering 21th Annual Conference Proceedings

DOI

2014

Contract Rollover, Volume Ratio, and Trading Activity in Financial Futures Markets

DOI

2010

Strategic Informed Trading, Risk-Averse Passive Investors, and Liquidity Premium Dynamics

2010

股指期货不同推出方式对股票市场的影响

《南方经济》，No. 11

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2009

Realized range-based beta and its application in Chinese stock market

2009 16th International Conference on Industrial Engineering and Engineering Management

DOI

2004

Dynamic Strategic Informed Trading with Risk-averse Market Makers

2004

Optimal Trading by an Active Investor with Transactions Costs

DOI

2018

Technical Trading with Imperfect Competition

SSRN Electronic Journal

DOI

2014

Belief Uncertainty, Volatility Risk Premium, and Speculative Trading

SSRN Electronic Journal

DOI