Search results for: HaiGang Zhou

Items from 1 to 18 out of 18 results

article

Learning‐by‐doing: the experience effect in mergers and acquisitions

Chen Cai, Huimin Li, Haigang Zhou

Accounting & Finance > 62 > S1 > 1189 - 1229

We examine the relation between firms' prior acquisition experience and subsequent acquisition performance. Based on our sample firms' complete acquisition histories, we find that acquirers with prior experience in the target industry perform better in subsequent diversifying acquisitions, and that the effect is stronger in industries with higher uncertainty. The outperformance is attributable to...

article

Determining the multi-scale hedge ratios of stock index futures using the lower partial moments method

Jun Dai, Haigang Zhou, Shaoquan Zhao

Physica A: Statistical Mechanics and its Applications > 2017 > 466 > C > 502-510

This paper considers a multi-scale future hedge strategy that minimizes lower partial moments (LPM). To do this, wavelet analysis is adopted to decompose time series data into different components. Next, different parametric estimation methods with known distributions are applied to calculate the LPM of hedged portfolios, which is the key to determining multi-scale hedge ratios over different time...

article

Bilateral series in terms of mixed mock modular forms

Bin Chen, Haigang Zhou

Journal of Inequalities and Applications > 2016 > 2016 > 1 > 1-12

The number of strongly unimodal sequences of weight n is denoted by u ∗ ( n ) $u^{*}(n)$ . The generating functions for { u ∗ ( n ) } n = 1 ∞ $\{u^{*}(n)\}_{n=1}^{\infty}$ are U ∗ ( q ) = ∑ n = 1 ∞ u ∗ ( n ) q n $U^{*}(q)=\sum_{n=1}^{\infty}u^{*}(n)q^{n}$ . Rhoades recently gave a precise asymptotic for u ∗ ( n ) $u^{*}(n)$ by expressing ...

article

Competition of trading volume among markets: Evidence from stocks with multiple cross-listing destinations

Jing Wang, Haigang Zhou

Journal of Multinational Financial Management > 2015 > 31 > Complete > 23-62

In constructing a comprehensive dataset of firms simultaneously cross-listed on multiple foreign markets between 1990 and 2012, we document the cross-sectional and chronological distribution of the trading volume of global cross-listings and examine the dynamics of competition for order flows among rival host markets. Our sample includes a total of 1118 cross-listings. Among them, 304 equity issues...

article

On completely monotone of an arbitrary real parameter function involving the gamma function

Bin Chen, Haigang Zhou

Applied Mathematics and Computation > 2014 > 242 > Complete > 658-663

In this article, we present some completely monotone properties for an arbitrary real parameter function involving the Gamma function. As an application of these results, some meaningful and useful inequalities are obtained.

article

The determinants of trading volume distribution: Evidence from globally cross-listed stocks

Jing Wang, Haigang Zhou

Journal of Multinational Financial Management > 2014 > 25-26 > Complete > 64-94

This paper documents the global trading volume distribution of cross-listed stocks and examines factors that make a host market competitive in attracting order flows between host and home markets. We hand-collect a sample of 642 cross-listed firms in 10 host countries with 771 cross-listings from 39 home countries between 1981 and 2010. We document that, for the first time, whether a host market shares...

article

Note on the problem of Ramanujan’s radial limits

Bin Chen, Haigang Zhou

Advances in Difference Equations > 2014 > 2014 > 1 > 1-11

Ramanujan in his deathbed letter to GH Hardy concerned the asymptotic properties of modular forms and mock theta functions. For the mock theta function , he claimed that as q approaches an even order 2k root of unity ζ, where . Recently, Folsom, Ono and Rhoades have proved two closed formulas for the implied constant and formulated an open problem which is related to their two theorems...

chapter

A novel hierarchical botnet model

Zhaofeng Wu, Haigang Zhou, Zhefu Yu

IEEE Conference Anthology > 1 - 5

2013 IEEE Conference Anthology

To be well prepared for the attacks from the botnet, we shall study the future botnet that might to come to exist based on the activities of the existing botnets. In this paper, we propose a novel botnet model based on the hierarchical structure from the standpoint of attackers, does some research on the command and control mechanism, topology construction process and other aspects of the botnet and...

article

An empirical examination of jump risk in asset pricing and volatility forecasting in China's equity and bond markets

Haigang Zhou, John Qi Zhu

Pacific-Basin Finance Journal > 2012 > 20 > 5 > 857-880

Understanding jump risk is important in risk management and option pricing. This study examines the characteristics of jump risk and the volatility forecasting power of the jump component in a panel of high-frequency intraday stock returns and four index returns from Shanghai Stock Exchange. Across portfolio indexes, jump returns on average account for 45% to 64% of total returns when jumps occur...

chapter

A trust-based secure routing protocol for multi-layered satellite networks

Zhefu Yu, Haigang Zhou, Zhaofeng Wu

2012 IEEE International Conference on Information Science and Technology > 313 - 317

2012 IEEE International Conference on Information Science and Technology (ICIST)

In order to meet the demand of security mechanism for the multi-layered satellite networks routing protocols, we introduce an ID-based sign scheme, and design a secure routing protocol for multi-layered satellite networks. The protocol is proposed based on the clustering-based multi-layered satellite networks architecture, and the combination of trust mechanism and authentication mechanism. The analysis...

article

Jump risk and cross section of stock returns: evidence from China’s stock market

Haigang Zhou, John Qi Zhu

Journal of Economics and Finance > 2011 > 35 > 3 > 309-331

Various studies have confirmed the existence of jumps in different financial markets. However, there is sparse theoretical or empirical effort to examine the dynamic relation between jump risk and cross-sectional expected stock returns. We follow a stylized SDF-based diffusion-jump model to examine its testable implications about the relation between cross-section expected excess returns and variations...

chapter

Formal analysis and improvement of IKEv2 protocol

Xiaowei Zhu, Haigang Zhou, Jun Liu

The 2nd International Conference on Information Science and Engineering > 2092 - 2096

2010 2nd International Conference on Information Science and Engineering (ICISE)

IKEv2 is the new version of Internet Key Exchange protocol. Despite of its several advantages, it is still susceptible to some attacks, such as man-in-the-middle attack and replay attack. The protocol is analyzed based on BSW logic formally, then an improved scheme is proposed and proved by extended BSW logic. The improvement can achieve the identity authentication in advance, resist man-in-the-middle...

chapter

Analysis and improvement of IKEv2 against denial of service attack

Zhu Xiaowei, Haigang Zhou, Liu Jun

2010 International Conference on Information, Networking and Automation (ICINA) > 1 > V1-350 - V1-355

2010 International Conference on Information, Networking and Automation (ICINA 2010)

IKEv2 is the new version of Internet Key Exchange protocol. Despite of its several advantages, it is still vulnerable to denial of service attack. In this paper, we propose an improvement of IKEv2, which is based on the shared secret and asymmetric distribution of calculations. By analyzing the improved IKEv2 with a cost-based framework, we conclude that the improvement is secure against DoS attack...

article

On dimension formulas for Jacobi forms

Haigang Zhou, Tianze Wang, Hongwen Lu

Mathematische Zeitschrift > 2010 > 264 > 3 > 709-725

In this paper, we discuss the dimension formula for Jacobi forms via the Selberg trace formula, an explicit dimension formula for the space of Jacobi cusp forms of degree 2 is given as an application.

article

A Jacobi-Eisenstein series of weight two on congruence Jacobi subgroup

HongWen Lu, HaiGang Zhou

Science China Mathematics > 2010 > 53 > 9 > 2405-2410

The specific aims of this paper are to define a Jacobi-Eisenstein series of weight two on congruence Jacobi subgroup and to compute its Fourier expansion coefficients in detail. To overcome the difficulties that the Jacobi-Eisenstein series of weight two is not convergent absolutely, we use the Hecke’s trick.

article

Duration dependence in US business cycles: An analysis using the modulated power law process

Haigang Zhou, Steven E. Rigdon

Journal of Economics and Finance > 2008 > 32 > 1 > 25-34

The modulated power law process is used to analyze the duration dependence in US business cycles. The model makes less restricting assumptions than traditional models do and measures both the local and global performance of business cycles. The results indicate evidence of positive duration dependence in the U.S. business cycles. Structural change after WWII in both expansion and contraction phases...

article

Small solutions of cubic equations with prime variables in arithmetic progressions

Haigang Zhou, Tianze Wang

Acta Arithmetica > 2007 > 126 > 2 > 169-193

article

Determinants of returns and volatility of Chinese ADRs at NYSE

Ali M. Kutan, Haigang Zhou

Journal of Multinational Financial Management > 2006 > 16 > 1 > 1-15

This paper examines the determinants of returns and of volatility of the Chinese ADRs as listed at NYSE. Using an autoregressive conditional heteroskedasticity (ARCH) model and data from 16 April 1998 through 30 September 2004, we find that Hong Kong stock market (underlying market), US stock market (host market), and local (Shanghai A and B) markets all are important determinants of returns of the...

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