王军

博士、教授

基本信息

办公电话： 电子邮件： wangjun@bjtu.edu.cn
通讯地址：北京交通大学理学院 邮编：100044

教育背景

  • 北京师范大学数学系获学士学位、硕士学位。专业：概率论与数理统计
  • 神户大学自然科学研究院获理学博士学位。专业：概率论与数理统计
  • 神户大学自然科学研究院博士后、研究员。研究方向：随机过程理论、金融数学与金融工程
  • 现为北京交通大学理学院教授、硕士生导师、博士生导师、博士后导师。科研、教学方向：金融统计、金融数学与金融工程、金融物理、随机过程、统计学、概率论与数理统计、计算机工程（数据模拟、模型建立、统计分析等）
  • 金融数学与金融工程研究所所长，研究所网址： http://sci.bjtu.edu.cn/research_unit/wangjun/mysite/index.htm
  • 研究生招收方向：
  • 博士后招生方向：金融统计（统计学），概率论与数理统计
  • 博士后招生网址： http://jgrsc.njtu.edu.cn/postDoctoral/shownews.asp?id="132" （人事处）
  • 博士研究生招生方向：金融统计（统计学），概率论与数理统计
  • 硕士研究生招生方向：金融统计（统计学），概率论与数理统计
  • 我喜欢的图片：
  • http://life.eastmoney.com/news/11001,2012042810700759.html
  • http://life.eastmoney.com/news/11001,2013012011408173.html

    • 工作经历

    研究方向

    招生专业

    科研项目

  • 科研项目：
  • 主持国家自然科学基金面上项目：《经济物理领域中的金融时间序列回程间隙与波动相关性的预测系统、随机模型和统计分析》，项目批准号：71271026
  • 主持国家自然科学基金面上项目：《应用随机交互作用系统研究证券市场价格波动的统计规律性质》，项目批准号：10971010
  • 主持国家自然科学基金面上项目：《非Black-Scholes模型环境下的未定权益的定价和套期保值研究》，项目批准号：70771006
  • 主持国家自然科学基金面上项目：《统计物理模型在金融领域中的应用》，项目批准号：70471001

    • 教学工作

  • 本科教学课程： 《金融工程概论》《金融数学基础》《计量经济学》《随机过程》《概率论与数理统计》
  • 全校公共研究生课程： 《随机过程I》
  • 专业研究生课程： 《金融统计》《概率论基础》《随机金融学与保险数学》《随机过程论》《金融数学与金融工程》《无穷质点马氏过程与渗流理论》等

    • 论文/期刊

    发表学术论著200多篇部。代表作如下：
  • New approach of financial volatility duration dynamics by stochastic finite-range interacting voter system, Chaos: An Interdisciplinary Journal of Nonlinear Science 27 (2017) 013117 (16 pages).
  • Multivariate multiscale entropy of financial markets, Communications in Nonlinear Science and Numerical Simulation 52 (2017) 77-90. 
  • Symbolic complexity of volatility duration and volatility difference  component on voter financial dynamics, Digital Signal Processing 63 (2017) 56-71.
  • Complexity and multifractal behaviors of multiscale-continuum percolation financial system for Chinese stock markets, Physica A: Statistical Mechanics and its Applications 471 (2017) 364-376.
  • Nonlinear stochastic exclusion financial dynamics modeling and time-dependent intrinsic detrended cross-correlation, Physica A: Statistical Mechanics and its Application 482 (2017) 29-41.
  • Nonlinear complexity of random visibility graph and Lempel-Ziv on multitype range-intensity interacting financial dynamics, Physica A: Statistical Mechanics and its Applications  482 (2017) 741-756.
  • Weighted fractional permutation entropy and fractional sample entropy for nonlinear Potts financial dynamics, Physics Letters A 381 (2017) 767–779.
  • Forecasting stochastic neural network based on financial empirical mode decomposition, Neural Networks 90 (2017) 8-20.
  • Return Scaling Cross-Correlation Forecasting by Stochastic Time Strength Neural Network in Financial Market Dynamics, Soft Computing, accepted, 2017.
  • Multiscale volatility duration characteristics on financial multi-continuum percolation dynamics, International Journal of Modern Physics C 28 (2017) 1750067 (21 pages).
  • Predicting agent-based financial time series model on lattice fractal with random Legendre neural network, Soft Computing 21 (2017) 1693-1708.
  • Nonlinear stochastic exclusion financial dynamics modeling and complexity behaviors, Nonlinear Dynamics 88 (2017) 921-935.
  • Exponent Back Propagation Neural Network Forecasting for Financial Cross-Correlation Relationship, Expert Systems with Applications 53 (2016) 106-116.   
  • Forecasting energy market indices with recurrent neural networks: Case study of crude oil price fluctuations, Energy 102 (2016) 365-374.
  • COMPLEXITY AND MULTIFRACTAL OF VOLATILITY DURATION FOR AGENT-BASED FINANCIAL DYNAMICS AND REAL MARKETS, Fractals 23 (2016) 1650052, 17 Pages.
  • Nonlinear dynamical complexity of agent-based stochastic financial interacting epidemic system, Nonlinear Dynamics 86 (2016) 1823-1840.
  • Complexity multiscale asynchrony measure and behavior for interacting financial dynamics, Physics Letters A 380 (2016) 2931-2942.
  • Linking market interaction intensity of 3D Ising type financial model with market volatility, Physica A: Statistical Mechanics and its Applications 461 (2016) 531-542.
  • Nonlinear multiscale coupling analysis of financial time series based on composite complexity synchronization, Nonlinear Dynamics 86 (2016) 441-458. 
  • Volatility Analysis of Financial Agent-Based Market Dynamics from Stochastic Contact System, Computational Economics  48 (2016) 607-625.
  • Nonlinear analysis on cross-correlation of financial time series by continuum percolation system, International Journal of Bifurcation and Chaos 26 (2016) 1630004 (19 pages).
  • Fluctuation behaviors of financial return volatility duration, Physica A: Statistical Mechanics and its Applications 448 (2016) 30-40.
  • Multifractal and recurrence behaviors of continuum percolation-based financial price dynamics, Nonlinear Dynamics 83 (2016) 513-528.
  • Interacting price model and fluctuation behavior analysis from Lempel-Ziv complexity and multi-scale weighted-permutation entropy, Physics Letters A 380 (2016) 117-129.
  • Financial Time Series Prediction Using Elman Recurrent Random Neural Networks, Computational Intelligence and Neuroscience 2016 (2016) 4742515 (14 pages).
  • Quantifying complexity of financial short-term time series by composite multicale entropy measure, Communications in Nonlinear Science and Numerical Simulation 22 (2015) 375-382.
  • Numerical analysis for finite-range multitype stochastic contact financial market dynamic systems, Chaos: An Interdisciplinary Journal of Nonlinear Science 25 (2015) 043111 (9 pages).
  • Nonlinear multi-analysis of agent-based financial market dynamics by epidemic system, Chaos: An Interdisciplinary Journal of Nonlinear Science 25 (2015) 103103 (12 pages).
  • Fluctuation Complexity of Agent-Based Financial Time Series Model by Stochastic Potts System, International Journal of Modern Physics C 26 (2015) 1550123 (19 pages).
  • Forecasting stock market indexes using principle component analysis and stochastic time effective neural networks, Neurocomputing 156 (2015) 68-78.
  • Statistical analysis on multifractal detrended cross-correlation coefficient for return interval by oriented percolation, International Journal of Modern Physics C 26 (2015) 1550002 (17 pages).
  • Voaltility Behaviors of Financial Time Series by Percolation System on Sierpinski Carpet Lattice, Fluctuation and Noise Letters 14 (2015) 1550015 (19 pages).
  • Nonlinear analysis of volatility duration financial series model by stochastic interacting dynamic system, Nonlinear Dynamics 80 (2015) 701-713.
  • Agent-based financial dynamics model from stochastic interacting epidemic system and complexity analysis, Physics Letters A 379 (2015) 1023-1031.
  • Complex System Analysis on Voter Stochastic System and Jump Time Effective Neural Network of Stock Market, International Journal of Computational Intelligence Systems 8 (2015) 787-795.
  • Volatility Behavior of Visibility Graph EMD Financial Time Series from Ising Interacting System, Physica A: Statistical Mechanics and its Applications 432 (2015) 301-314.
  • Entropy and Recurrence Measures of a Financial Dynamic System by an Interacting Voter System, Entropy 17 (2015) 2590-2605.
  • Graphic analysis and multifractal on percolation-based return interval series, International Journal of Modern Physics C 26 (2015) 1550137 (19 pages).
  • Multiscale behavior of financial time series model from Potts dynamic system, Nonlinear Dynamics 78 (2014) 1065-1077.
  • Nonlinear scaling analysis approach of agent-based Potts financial dynamical model, Chaos: An Interdisciplinary Journal of Nonlinear Science 24 (2014) 043113 (8 pages).
  • Graph Based and Multifractal Analysisi of Random Price Time Series Model by Continuum Percolation, International Journal of Nonlinear Sciences and Numerical Simulation 15 (2014) 265-277.
  • Complex System Analysis of Market Return Percolation Model on Sierpinski Carpet Lattice Fractal, Journal of Systems Science and Complexity 27 (2014) 743-759.
  • Financial time series prediction by a random data-time effective RBF neural network, Soft Computing 18(3) (2014) 497-508.
  • Phase and Multifractality Analyses of Random Price Time Series by Finite-Range Interacting Biased Voter System, Computational Statistics 29 (2014) 1045-1063.
  • Nonlinear Fluctuation Behavior of Financial Time Series Model by Statistical Physics System, Abstract and Applied Analysis 2014 (2014) 806271 (11 pages).
  • Fluctuation behaviors of financial time series by a stochastic Ising system on a Sierpinski carpet lattice, Physica A: Statistical Mechanics and its Applications 392 (2013) 4055-4063.
  • Complex dynamic behaviors of oriented percolation-based financial time series and Hang Seng index, Chaos, Solitons & Fractals 52 (2013) 36-44.
  • Volatility clustering and long memory of financial time series and financial price model, Digital Signal Processing 23 (2013) 489-498.
  • Dependence phenomenon analysis of the stock market, EPL 102 (2013) 18004.
  • Power-law scaling behavior analysis of financial time series model by voter interacting dynamic system, Journal of Applied Statistics 40 (2013) 2188-2203.
  • FLUCTUATION BEHAVIOR OF FINANCIAL RETURN INTERVAL SERIES MODEL FOR PERCOLATION ON SIERPINSKI CARPET LATTICE, Fractals 21 (2013) 1350023 (13 pages).
  • Voaltility Degree Forecasting of Stock Market by Stochastic Time Strength Neural Network, Mathematical Problems in Engineering 2013 (2013) 436795 (11 pages).
  • Statistical Properties and Multifractal Behaviors of Market Returns by Ising Dynamic Systems, International Journal of Modern Physics C 23(3) (2012) 1250023 (14 pages).
  • Effect of Boundary Conditions on Stochastic Ising-Like Financial Market Price Model, Boundary Value Problems 2012 (2012): 9 (17 pages).
  • Modelling Stock Price Dynamics by Continuum Percolation System and Relevant Complex Systems Analysis, Physica A: Statistical Mechanics and its Applications 391 (2012) 4827–4838.
  • Lattice Oriented Percolation System Applied to Volatility Behavior of Stock Market, Journal of Applied Statistics 39(4) (2012) 785–797.
  • Fluctuation Prediction of Stock Market Index by Legendre Neural Network with Random Time Strength Function, Neurocomputing 83 (2012) 12–21.
  • Statistical Analysis and Forecasting of Return Interval for SSE and Model by Lattice Percolation System and Neural Network, Computers & Industrial Engineering 62 (2012) 198-205.
  • Forecasting Crude Oil Price and Stock Price by Jump Stochastic Time Effective Neural Network Model, Journal of Applied Mathematics 2012 (2012) 646475 (15 pages).
  • Analysis and Modelling of Stock Market Relative Fluctuation by Percolation System, Journal of Information & Computational Science 9 (2012) 771-779.
  • Voter Interacting Systems Applied to Chinese Stock Markets, Mathematics and Computers in Simulation 81 (2011) 2492–2506.
  • Analysis of Two-Layered Random Interfaces for Two Dimensional Widom-Rowlinson's Model, Abstract and Applied Analysis 2011 (2011) 858725 (21 pages).
  • Integrating Independent Component Analysis and Principal Component Analysis with Neural Network to Predict Chinese Stock Market, Mathematical Problems in Engineering 2011 (2011) 382659 (15 pages).
  • Fluctuations of Stock Price Model by Statistical Physics Systems, Mathematical and Computer Modelling 51 (2010) 431-440.
  • Modeling and Simulation of the Market Fluctuations by the Finite Range Contact Systems, Simulation Modelling Practice and Theory 18 (2010) 910–925.
  • Forecasting model of global stock index by stochastic time effective neural network, Expert Systems with Applications 37(1) (2010) 834-841.
  • FINITE-RANGE CONTACT PROCESS ON THE MARKET RETURN INTERVALS DISTRIBUTIONS, Advances in Complex Systems 13 (2010) 643–657.
  • Fractal Detrended Fluctuation Analysis of Chinese Energy Markets, International Journal of Bifurcation and Chaos 20(11) (2010) 3753–3768.
  • Analysis of Chain Reaction Between Two Stock Indices Fluctuations by Statistical Physics Systems, Wseas Transactions on Mathematics 9 (2010) 830-839.
  • The estimates of correlations in two-dimensional Ising model, Physica A: Statistical Mechanics and its Applications 388 (2009) 565-573.
  • Statistical Analysis by Statistical Physics Model for the Stock Markets, International Journal of Modern Physics C 20(10) (2009) 1547-1562.
  • The Stochastic Ising Model with the Mixed Boundary Conditions, Boundary Value Problems 2009 (2009) 571950 (17 pages).
  • Construction of Stock Index Fluctuation Model by Continuum Percolation and It's Discussion, Mathematica Applicata 22 (2009) 65-71.
  • Fluctuations of interface statistical physics models applied to a stock market model, Nonlinear Analysis: Real World Applications 9 (2008) 718-723.
  • Statistical Analysis and Data Analysis of Stock Market by Interacting Particle Models, Journal of Computer 3(12) (2008) 11-19.
  • Analytical Valuation of Contingent Claims by Stochastic Interacting Systems for Stock Market, Journal of Computer 3(12) (2008) 3-10.
  • The Asymptotical Behavior of Probability Measures for the Fluctuations of Stochastic Models, Wseas Transactions on Mathematics 7 (2008) 273-282.
  • Data Analysis and Statistical Behaviors of Stock Market Fluctuations, Journal of Computer 3(10) (2008) 11-19.
  • The statistical properties of the interfaces for the lattice Widom-Rowlinson model, Applied Mathematics Letters 19(3) (2006) 223-228.
  • Supercritical Ising Model on the Lattice Fractal--the Sierpinski Carpet, Modern Physics Letters B 20(8) (2006) 409-414.
  • The Dobrushin-Hryniv theory for the two dimensional lattice Widom-Rowlinson model, Advanced Studies in Pure Mathematics 39 (2004) 231-279, Mathematical Society of Japan.
  • Spectral Gap of Ising Model for Dobrushin's boundary condition in two dimensions, Analysis on the Critical Phenomena of Rondom Systems, ed.by Y. Higuchi, 52-76, 2000, Kobe University, Japan.
  • The Spectral Gap of Two Dimensional Ising Model with a Hole: Shrinking Effect of Contours, J. Math. Kyoto Univ. (JMKYAZ) 39(3) (1999) 529-556.
  • Random walk on the Poisson point of infinite cluster of the continuous percolation, Mathematica Japonica 48(3) (1998) 391-397.
  • A Sufficient Condition for Non-coexistence of One Dimensional Multicolor Contact Process, Acta Mathematicae Applicatae Sinica 10(2) (1994) 169-176.


    • 专著/译著

  • 《随机过程及其在金融领域中的应用》，清华大学出版社、北京交通大学出版社，北京，2007年4月第一版，2016年6月第6次印刷。
  • 《概率论与数理统计》，台湾文京出版社，台北，2006年1月。

    • 专利

    软件著作权

    获奖与荣誉

    社会兼职