Sai-Ping Li

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An analysis of the stylized facts in financial time series is carried out. We find that, instead of the heavy tails in asset return distributions, the slow decay behaviour in autocorrelation functions of absolute returns is actually directly related to the degree of clustering of large fluctuations within the financial time series. We also introduce an(More)
An empirical algorithm is used here to study the stochastic and multifractal nature of nonlinear time series. A parameter can be defined to quantitatively measure the deviation of the time series from a Wiener process so that the stochasticity of different time series can be compared. The local volatility of the time series under study can be constructed(More)
We conduct a market experiment with human agents in order to explore the structure of transaction networks and to study the dynamics of wealth accumulation. The experiment is carried out on our platform for 97 days with 2,095 effective participants and 16,936 times of transactions. From these data, the hybrid distribution (log-normal bulk and power-law(More)
OBJECTIVE The objective of this study was to determine the conditions for optimizing measurements obtained with a noninvasive blood glucose monitor using the optical signal of pulsatile microcirculation (OSPM) in both prediabetic and diabetic subjects receiving medication. RESEARCH DESIGN AND METHODS Eighteen subjects (3 prediabetic, 15 diabetic) aged(More)
OBJECTIVE To measure the coefficient of variation of the harmonic magnitude (HCV) of the radial arterial pulse before death of cancer patients. METHODS We non-invasively recorded the radical arterial pulse of 21 end-stage cancer patients, 31 healthy subjects, and 47 outpatient department (OPD) patients. During the 2-week study, eight cancer patients(More)
The problem of portfolio optimization is one of the most important issues in asset management. We here propose a new dynamic portfolio strategy based on the time-varying structures of MST networks in Chinese stock markets, where the market condition is further considered when using the optimal portfolios for investment. A portfolio strategy comprises two(More)