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Xiaolei Sun
Chinese Academy of Sciences
42Publications
11H-index
303Citations
Publications 42
Newest
Published on Feb 13, 2019in Emerging Markets Finance and Trade 0.83
Xiuwen Chen2
Estimated H-index: 2
(CAS: Chinese Academy of Sciences),
Xiaolei Sun11
Estimated H-index: 11
(CAS: Chinese Academy of Sciences),
Jun Wang3
Estimated H-index: 3
(CAS: Chinese Academy of Sciences)
ABSTRACTIn recent years, researchers have increasingly studied the interaction between the crude oil market and economic policy uncertainty (EPU). To have a deeper knowledge, this article examines the spillover effects between them from a multiscale perspective with a wavelet-based BEKK-GARCH method. The results show that the spillover effects between the Brent crude oil market and EPU in the BRIC countries are time-varying across different wavelet scales in terms of direction and strength. The ...
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Published on May 1, 2019in Energy Economics 3.91
Lu Wei2
Estimated H-index: 2
(CAS: Chinese Academy of Sciences),
Guowen Li2
Estimated H-index: 2
(CAS: Chinese Academy of Sciences)
+ 2 AuthorsJianping LiXiaolei19
Estimated H-index: 19
(CAS: Chinese Academy of Sciences)
Abstract Selecting risk factors is essential for measuring energy corporate risk. However, the comprehensive identification of energy corporate risk factors is still a difficult issue. This paper innovatively uses the text mining approach to comprehensively identify energy corporate risk factors from textual risk disclosures reported in financial statements. Based on 131,755 risk factor headings from 3707 Form 10-K filings from 840 U.S. energy corporations over the period 2010–2016, 66 types of ...
5 Citations Source Cite
Published on May 1, 2019in International Review of Financial Analysis 1.57
Xiaolei Sun11
Estimated H-index: 11
,
Jun Wang3
Estimated H-index: 3
+ 2 AuthorsJianping LiXiaolei19
Estimated H-index: 19
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Published on Apr 29, 2019in Applied Economics Letters 0.50
Xiuwen Chen2
Estimated H-index: 2
(CAS: Chinese Academy of Sciences),
Xiaolei Sun11
Estimated H-index: 11
(CAS: Chinese Academy of Sciences),
Jianping LiXiaolei19
Estimated H-index: 19
(CAS: Chinese Academy of Sciences)
ABSTRACTThis paper provides evidence for the impact of oil price shocks on economic policy uncertainty (EPU) from a multi-scale perspective using discrete wavelet transform and VAR model. Results indicate that oil price shocks impose a positive effect on EPU at an original level while effects of oil price shocks on EPU are time-varying over different time-scales. Particularly, oil price shocks lead to a positive change in the trend of EPU in the short- and long-term. Whereas, in the medium term,...
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Published on Feb 1, 2019in Finance Research Letters 1.08
Qiang Ji21
Estimated H-index: 21
(CAS: Chinese Academy of Sciences),
Jianping Li (CAS: Chinese Academy of Sciences), Xiaolei Sun11
Estimated H-index: 11
(CAS: Chinese Academy of Sciences)
Abstract This paper examines information spillover between WTI returns and investor sentiment indices measured by various trader positions using a connectedness approach. Our findings show that sentiment by trader type is highly correlated with WTI returns. Among the different sentiment types, speculator sentiment makes the largest contribution to WTI returns variation over the full sample period. The dynamic results show that the influence of investor sentiment increases significantly when oil ...
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Published on Dec 1, 2018in Knowledge Based Systems 4.40
Xiaoyang Yao (China Jiliang University), Jianping LiXiaolei19
Estimated H-index: 19
(CAS: Chinese Academy of Sciences)
+ 1 AuthorsDengsheng Wu10
Estimated H-index: 10
(CAS: Chinese Academy of Sciences)
Abstract A perfect combination of fact-based and value-based judgments is what multiple criteria decision-making (MCDM) issues pursue. Tolerability constraints, an important part of value-based judgments, are easily observable and have drawn attention in theory. However, their practical applications in the MCDM process are still in their infancy. This paper aims to fill the gap between theory and application. A framework for tolerability constraints in the context of non-independent criteria is ...
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Published on Dec 1, 2018in Computers & Industrial Engineering 3.19
Jun Wang3
Estimated H-index: 3
(CAS: Chinese Academy of Sciences),
Xiaolei Sun11
Estimated H-index: 11
(CAS: Chinese Academy of Sciences)
+ 2 AuthorsChang Liu3
Estimated H-index: 3
Abstract Optimizing the oil-import portfolio has become extremely effective for enhancing energy security. The focus of this paper is on whether China’s oil-import portfolio has been continuously optimized since 2005. Firstly, a multi-objective programming problem was constructed based on cost–risk tradeoff, and the optimal results were obtained. The oil-import portfolio of China since 2005 was then analyzed by comparing the optimal import strategy with the actual strategy. Next, the cost fluctu...
3 Citations Source Cite
Published on Dec 1, 2018in Finance Research Letters 1.08
Xiaolei Sun11
Estimated H-index: 11
(CAS: Chinese Academy of Sciences),
Mingxi Liu1
Estimated H-index: 1
(CAS: Chinese Academy of Sciences),
Zeqian Sima1
Estimated H-index: 1
Abstract Forecasting cryptocurrency prices is crucial for investors. In this paper, we adopt a novel Gradient Boosting Decision Tree (GBDT) algorithm, Light Gradient Boosting Machine (LightGBM), to forecast the price trend (falling, or not falling) of cryptocurrency market. In order to utilize market information, we combine the daily data of 42 kinds of primary cryptocurrencies with key economic indicators. Results show that the robustness of the LightGBM model is better than the other methods, ...
1 Citations Source Cite
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