Lao Lanjun

Professor

Finance

Add: Guoshun Road Siyuan Building Room 216, Siyuan Building

Tel: 25011079(TEL)

E-mail: lao@fudan.edu.cn

Research Field: The main research fields are financial engineering, investment management, econometrics. Had been involved in the fields of system science, software engineering and MIS.

Website:

Teacher information

Achievements in scientific research

Academic activities and community service

Journal Papers

1.	Lu Jiang and Lanjun Lao. 2023. Identifying inconsistency in short-term reversal: evidence from the Chinese stock market. Applied Economics Letters 30(20) 2894-2901.

2.	Lanjun Lao, Shu Tian, and Qidan Zhao. 2018. Will order imbalances predict stock returns in extreme market situations? evidence from China. Emerging Markets Finance and Trade 54(4) 921-934.

3.	Thomas C. Chiang, Lanjun Lao, and Qingfeng Xue. 2016. Comovements between Chinese and global stock markets:Evidence from aggregate and sectoral data. Review of Quantitative Finance and Accounting 47(4) 1003-1042.

4.	LAO Lanjun, Enzo. Orsingher. 2007. Hyperbolic and Fractional Hyperbolic Brownian Motion. Stochastics: An International Journal of Probability and Stochastics Processes vol.79(6) 505-522.

5.	LAO Lanjun. 2006. Volatility Patterns of Industrial Stock Price indices in the Chinese Stock Market. Lecture Notes In Artificial Intelligence vol.3930 605-613.

6.	LAO Lanjun. 2002. An Additive On-line Portfolio Selection Algorithm. Systems Analysis Modeling Simulation vol.42(6) 939-958.

7.	Sergio Albeverio, LanJun Lao , XueLei Zhao. 2002. A Continuous Time Financial Market with a Poisson Process as Transaction Timer. Advances in Computational Mathematics vol.16 305-330.

8.	Sergio Albeverio, LanJun Lao and XueLei Zhao. 2001. Continuous Time Financial Market, Transaction Cost and Transaction Intensity. Trends in Mathematics (1) 29-39.

9.	Sergio Albeverio, LanJun Lao , XueLei Zhao. 2001. On-line Portfolio Strategy with Prediction, Trends in Mathematics. Trends in Mathematics (1) 19-28.

10.	Sergio Albeverio, LanJun Lao , XueLei Zhao. 2001. On-line Portfolio Selection Strategy with Prediction in the Presence of Transaction Costs. Mathematical Methods of Operations Research 54 133-161.

11.	Lanjun Lao, Qianqian Wang, and Na Zhang. 2024. The role of institutional investor in stock price stability: Evidence from information and noise components prospective. Financial Market Research (3) 20-29. (in Chinese)

12.	Hongguang Li and Lanjun Lao. 2022. The main risks and countermeasures of bankruptcy and Restructuring investment in real estate enterprises. China Real Estate (10) 25-31. (in Chinese)

13.	Lu Jiang and Lanjun Lao. 2022. Do institutional investors really have the ability of fund selection? -- An empirical study from the perspective of stock. Shanghai Finance (5) 50-58. (in Chinese)

14.	Yadan Xing, Lanjun Lao, and Qian Sun. 2015. Return and risk analysis of calendar spread arbitrage. Review of Investment Studies 34(10) 98-109. (in Chinese)

15.	Zhou, Jin and Lanjun Lao. 2012. Influence of healthcare problem on the individual asset allocation. Journal of Financial Research (2) 61-72. (in Chinese)

16.	Chuang Liu, Lanjun Lao. 2009. The VaR Study on Risk of Security Companies' Warrant Creation. Statistics and Decision 100-101. (in Chinese)

17.	MENG Qingxin, LAO Lanjun, ZHAO Xuelei. 2008. Pricing American Contingent Claims with Frictions. Chinese Journal of Applied Probability and Statistics 24(5) 449-462. (in Chinese)

18.	YU Yanfu, LAO Lanjun. 2008. Discussion on the Effect of Increasing Interest on Chinese Macro-Economy at Present Stage. Price: Theory & Practice （4） 61-62. (in Chinese)

19.	LUO Jie, LAO Lanjun. 2008. Estimation of SBETA Model in Chinese Stock Market. Journal of Systems & Management vol.17（1） 47-50. (in Chinese)

20.	WANG Ning, LAO Lanjun. 2007. Non-parametric Test on the Style Effect of Return and Risk in Chinese Stock Market. Shanghai Management Science vol.29(2) 12-14. (in Chinese)

21.	WANG Ning, LAO Lanjun. 2007. Industrial Effect of Chinese Security Market. Statistics and Decisions (3) 140-141. (in Chinese)

22.	LAO Lanjun, ZHANG Zhigang. 2007. The Test of Kendall's Concordance Coefficient on Ranking Stability of the Open-end Funds' Performances in China. Systems Engineering vol.25(1) 118-122. (in Chinese)

23.	LAO Lanjun, SHAO Yumin. 2005. An Empirical Research on Volatility Characteristics of Industrial Stock Price Indices. Nankai Business Review vol.8(5) 4-8. (in Chinese)

24.	QIAN MiaoLan, LAO LanJun. 2005. Discussion on the Joint Distribution of the Time of Ruin and the Loss at Ruin. Journal of Fudan University (Natural Science) vol.44(3) 462-465. (in Chinese)

25.	XU Youhua, LAO Lanjun. 2005. The Influence of QFII on Chinese Security Market. World Economic Outlook （5） 23-27. (in Chinese)

26.	Tian Ke, LAO LanJun. 2004. The Wealth Effect of the Convertible Bonds in Chinese Stock Market. Shanghai Management Science （6） 9-11. (in Chinese)

27.	LAO Lanjun, SHAO Yumin. 2004. Dynamic Clustering Analysis of Return Series of Industrial Indexes in Chinese Stock Market. Journal of Finance and Economics vol.30(11) 75-82. (in Chinese)

28.	SHAO Yumin, LAO Lanjun. 2004. The Influence of Entering WTO on Chinese Manufacturing – Empirical Study on Stock Market. Contemporary Finance & Economics （6） 227-235. (in Chinese)

29.	ZHANG Shibin, FU Changqing, LAO Lanjun. 2003. The Structure of the Market with Default Risk and the Pricing of the Defaultable American Contingent Claims without any Recovery. Chinese Journal of Applied Probability and Statistics vol.19(4) 371-382. (in Chinese)

30.	LAO Lanjun, WANG Chaohan, ZHANG Xinhui. 2003. Option Pricing Method for Evaluating Human Resources in High-tech Corporations. R & D management vol.15(2) 31-34. (in Chinese)

31.	LAO Lanjun. 1997. Simulation of Super Brownian Motions. Journal of Shantou University vol.12(2) 38-42. (in Chinese)

32.	LAO Lanjun. 1997. An Improved Method of GMDH. Journal of Shantou University vol.12(1) 9-14. (in Chinese)

33.	LAO Lanjun. 1996. A New Method for Constructing Partial Polynomials in GMDH. Sun Yatsen University Forum (5) 112-115. (in Chinese)

34.	Wang Xiufeng, Lao Yuhong (Lao Lanjun's old name). 1992. A New Algorithm for Model Structure Determination and Parameters Estimation of Nonlinear Dynamic Systems. Acta Automatica Sinica 18（4） 385-392. (in Chinese)

Conference Proceedings

1.	Guozhi An and Lanjun Lao. 2014. The leverage effect and fat-tails in China's futures market. Seventh International Symposium on Computational Intelligence and Design Hangzhou 120-123.

2.	Wang, Qi and Lanjun Lao. 2011. Re-examination of the strategic asset allocation problem with human wealth. 211 International Conference on Management Science and Intelligent Control (ICMSIC) Bengbu, China 185-189.

3.	Zhou, Jin and Lanjun Lao. 2011. An asset allocation model with social insurance. International Conference on Management and Service Science Wuhan, China 1-4.

4.	Jin Zhou, Lanjun Lao. 2010. Analysis of Influencing Factors of IPO Underpricing in ChiNext. Yangzhou, China 474-477.

5.	Jin Zhou, Lanjun Lao, Ming Su. 2010. Decomposition of Health Cost and Modeling of Asset Allocation. IEEE Computer Society Beidaihe, Hebei, China 372-375.

6.	Lao, Lanjun. 2005. Inter - Industry Volatility Patterns In Chinese Stock Market. Proceedings of the Fourth International Conference on Machine Learning and Cybernetics vol.6 3458-3462.

7.	Meng QingXin, Lao Lan-Jun. 2004. Pricing European Contingent Claims with Frictions. .

Translated Works

Lanjun Lao, Dongxin Li, Qi Wang, Bowen Chen, and Xinwei Wang, Quantitative Investment Analysis (3rd Edition),Beijing,China Machine Press,2019.01 (in Chinese)

Lao, Lanjun and Qi Wang, Quantitative Investment Analysis (Second Edition),Beijing,China Machine Press,2012.07 (in Chinese)