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Fan Longzhen

Department of Finance
Room 202, Siyuan Building
Research Field:Asset Pricing, Fixed Income Securities, Empirical Study of Capital Markets

Educational Background
Ph.D, Managerial Engineering, Huazhong University of Science and Technology

Academic Background
2011.02--2012.01, Visiting Scholar, Washington Uniersity in St. Louis, USA
2009.07--2009.08, Visiting Scholar, The Hong Kong University of Science & Technology, HK
2005.07--2005.08, Visiting Scholar, The Hong Kong University of Science & Technology, HK
2004.08--2004.10, Visiting Scholar, The Hong Kong University of Science & Technology, HK
2002.10--2002.11, Visiting Scholar, Rissho University, Japan
1999.01--1999.06, Visiting Scholar, MIT Sloan School of Management, USA

Awards on Research
2010.12, Award of Shanghai Outstanding Achievements in Philosophy and Social Science for Paper Category, Third Prize The Committee of Award of Shanghai Outstanding Achievements in Philosophy and Social Science
2005.11, Fudan University Forward Faculty Scholarship for Outstanding Social Science Research Individual Award, Fudan University

Awards on Teaching
2005.11, Third Prize of Shanghai Teaching Award, Shanghai Municipal Education Commission

Title of Honour
2006.01, Supported by Program for New Century Excellent Talents in University, Ministry of Education

Journal Papers
1. Jian Xue, Laijun Zhao, Longzhen Fan, and Ying Qian2015An interprovincial cooperative game model for air pollution control in ChinaJournal of the Air & Waste Management Association 65(7) 818-827 
2. Longzhen Fan, Fuwei Jiang, and Guofu Zhou2015The Chinese bond market: Risk, return, and opportunitiesThe Journal of Portfolio Management 41(5) 110-126 
3. Lei Lu, Junsheng Duan, and Longzhen Fan2014Solution of two-dimensional viscous flow in a rectangular domain by the modified decomposition methodComputer Modeling in Engineering & Sciences  100(6) 463-475 
4. Longzhen Fan, Canlin Li, and Guofu Zhou2013The supply and demand factor in the bond market: Implications for bond risk and returnThe Journal of Fixed Income 23(2) 62-81 
5. Fan, Longzhen, Bill Hu, and Christine Jiang2012Pricing and information content of block trades on the Shanghai stock exchangePacific-Basin Finance Journal 20(3) 378-397 
6. Longzhen Fan, Shu Tian, and Chu Zhang2012Why are excess returns on China's treasury bonds so predictable? The role of the monetary systemJournal of Banking & Finance 36(1) 239-248 
7. Longzhen Fan, Yihong Yu, and Chu Zhang2011An empirical evaluation of China's monetary policiesJournal of Macroeconomics 33(2) 358-371 
8. Longzhen Fan, Anders C. Johansson2010China's Official Rates and Bond YieldsJournal of Banking & Finance Vol.34(5) 996-1007 
9. Longzhen Fan and Chu Zhang2007Beyond Segmentation:the Case of China's Repo MarketsJournal of Banking & Finance 31 939-954 
10. Longzhen Fan and Chu Zhang2006The Chinese Interbank Repo Market: An Analysis of Term PremiumsJournal of Futures Markets 26(2) 153-167 
11. Xiangliang Lin, Chenghu Ma, and Longzhen Fan2015Portfolios choices under cumulative prospect theory in the case of discrete distributionJournal of Systems Engineering 30(4) 494-508(in Chinese) 
12. Fan, Longzhen and Nanyan Cheng2011Interest rate model with jump-mean reverting stochastic mean Journal of Systems Engineering 26(3) 298-305(in Chinese) 
13. Yao, Hui and Longzhen Fan2011Dynamic model of futures price under jump behavior of oil price and its empirical analysisJournal of Systems Engineering 26(2) 181-187(in Chinese) 
14. Longzhen Fan2010Generalized Vasicek Model with Jump Type One-year Deposit Rate as State VariableJournal of Management Sciences in China vol.13(10) 69-78(in Chinese) 
15. Longzhen Fan2010Generalized Vasicek Model with Stochastic Jump MeanJournal of Systems Engineering vol.25(4) 467-472(in Chinese) 
16. Longzhen Fan, Chu Zhang2009Explanation of Macro Economic Variables on Bond Risk Premia in ChinaJournal of Management Sciences in China Vol.12(6)  116-124(in Chinese) 
17. FAN Longzhen2007Empirical Study on Short Interest Rate Model in the SSE Bond MarketJournal of Management Science in China  80-89(in Chinese) 
18. FAN Longzhen2007Explaining the Behavior of the Term Structure of Repo Rate in the Inter-bank Market with Interest Rate ModelsJournal of Systems and Engineering  27-34(in Chinese) 
19. FAN Longzhen, SHI Ting2006Risk Premium of Term Structure of Repo Rates in the SSESystems Engineering Theory, Methodology and application  359-363, 372(in Chinese) 
20. ZHU Caimin, FAN Longzhen2006Liquidity and Repo Rates in the SSEJournal of Shanghai Management Science  34-37(in Chinese) 
21. FAN Longzhen, ZHANG Guoqing2005Empirical Study on Market Interest Rate in the SSE with Two-factor CIR ModelJournal of Systems and Engineering  447-453(in Chinese) 
22. FAN Longzhen, ZHANG Guoqing2005Affine Model, Essential Affine Model and Term Structure of Interest Rates in the SSEJournal of Industrial Engineering and Engineering Management  97-101(in Chinese) 
23. FAN Longzhen2005Study on Term Structure of Interest Rates with Three-factor Essential Gaussian Affine ModelJournal of Industrial Engineering and Engineering Management  81-86(in Chinese) 
24. FAN Longzhen2004Empirical Study on Two-factor Essential Affine Model in the SSEJournal of Systems and Engineering  638-642(in Chinese) 
25. FAN Longzhen, SAN Yaowen2004Trading Volume, A-share Ratio, Momentum, and Three-factor ModelJournal of Management Science in China 7(3) 13-22(in Chinese) 
26. FAN Longzhen, WANG Haitao2004Industry and District Effect in Chinese Stock MarketJournal of Industrial Engineering and Engineering Management  117-119(in Chinese) 
27. FAN Longzhen, WANG Xiaoli2004Interest Yield Curve and Information Value in the SSEJournal of Industrial Engineering and Engineering Management  72-75(in Chinese) 
28. FAN Longzhen, WANG Haitao2003Factors that Explain Stock Returns in the SSEJournal of Management Science in China  60-67(in Chinese) 
29. FAN Longzhen, YU Shidian2002Three- Factor Model in Chinese Stock MarketJournal of Systems and Engineering  537-546(in Chinese) 
30. FAN Longzhen, HU Wei2001Predictability of Stock Prices in the Shenzhen Stock MarketJournal of Systems and Engineering  475-480(in Chinese) 
31. CHEN Chen, FAN Longzhen, YE Feng2001Index Portfolio Constructing with Clustering and MTVJournal of Industrial Engineering and Engineering Management  23-27(in Chinese) 
32. YE Feng, FAN Longzhen, CHEN Chen2001Compound Derivative: Japanese New Wave Fund Pricing ModelJournal of Industrial Engineering and Engineering Management  31-33(in Chinese) 
33. YE Feng, FAN Longzhen2001Predictability of Exchange RateJournal of Industrial Engineering and Engineering Management  42-45(in Chinese) 
34. FAN Longzhen, CHEN Chen2001Event Study on Listing of Transferred SharesJournal of Fudan University (natural science)  220-227(in Chinese) 

Conference Proceedings
1. FAN Long-Zhen LI Wan-Jun2008The Factors that Affect Market Interest Rates in Chinese Bond MarketIEEE  1-5 
2. Fan, Longzhen2007Official Interest Rate and Bond Excessreturn in Chinese Bond Market   
3. FAN Longzhen, LIU Qiwen2007Relation between Interest Rate Difference and Trading Volume Difference in Chinese Inter-bank Money MarketProceedings of 6th Conference on SMC  260-266 
4. FAN Longzhen2005Modeling Risk Premium of Repo Interest Rate in the SSEProceedings of the Fourth International Conference on Machine Learning and Cybernetics, (Guang Zhou)  3463-3468 
5. LAO Lanjun, FAN Longzhen2004A Hierarchical Strategy for Active Portfolio Management Considering Transaction Costs   
6. FAN Longzhen, LAO Lanjun2004An Empirical Comparison of Alternative Models of Short Interest Rate With Repo Rate in The Inter-Bank Market of ChinaProceedings of the International Conference on Machine Learning and Cybernetics,(Shanghai )2004.8  2736-2742 

Teaching Materials, etc.
FAN Longzhen. 2005. Investments. Shanghai University of Economics and Finance Press, Shanghai(in Chinese)
FAN Longzhen, HU Wei. 2003. Financial Engineering . Shanghai People's Publishing House, Shanghai(in Chinese)

Research Projects
2014.01—2017.12, Principal Investigator, Market Rate Determining Mechanism and Corresponding Asset Pricing Model in China, Nationl Natural Science Foundation of China
2012.10—2014.09, Principal Investigator, Chinese Bond Yield and Return Risk Relation, Shanghai Pujiang Program
2010.01—2012.12, Principal Investigator, Yield Curve Modeling and Bond Pricing under the Effect of Official Interest Rates , National Natural Science Fundation
2005.05—2007.12, Principal Investigator, Pricing Models for Correlated and Segmented Bond Market in China, National Natural Science Foundation of China

Academic Posts
2000.01—2015.12, Editorial Member , the Journal of Systems and Engineering

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