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张波

职 称: 教授


职 务: 无


电子邮箱: mabzhang@ruc.edu.cn

教育经历

理学学士: 03/1978-01/1982, 齐齐哈尔师院数学系 

理学硕士: 09/1986-01/1989, 哈尔滨工业大学数力系 

理学博士: 09/1993-08/1996, 香港科技大学数学系


工作经历

1977年8月--1978年2月 工 人 大兴安岭地区大杨树林业局乌鲁布铁林场 

1982年3月--1988年7月 助 教 齐齐哈尔师范学院数学系 

1996年9月--1998年5月 博士后 中国科学院数学研究所 

1998年6月--2001年6月 副教授 :中国人民大学统计学系 

2001年7月--现在 教 授: 中国人民大学统计学院 

短期工作:

 1997年1-7月 香港科技大学数学系访问学者 

2000年5-7月、2002年2-4月、2005年11-12月美国佐治亚大学数学系访问学者 

2005年8月--2006年2月,Wanyne State University 高级访问学者


兼任职务

2009年1月--现在 Associate Editor (2009-): Communication in Statistics, Theory and Methods. 

2009年1月--现在 Associate Editor (2009-): Communication in Statistics, Simulation and Computation. 

2009年1月--现在 Excutive Managing Editor : Journal of Data Science. 

2008年1月--现在 编委 : 数据分析. 

2014年1月--现在 常务理事 现场统计研究会 

2014年1月--现在 编委 数理统计与管理


基金项目

教育部重点研究基地重大项目:

基于高频数据的中国金融市场微观结构研究 2006-2009 

国家自然科学基金:倒向随机微分方程,非线性数学期望及其应用研究 2008-2010 

中国人民大学重大项目:基于高频和超高维数据的中国金融市场若干重大问题研究2009-2012 

国家自然科学基金:基于高频数据的股市极端风险测度及防范研究 2011-2013 

国家自然科学基金:金融资产配置中面板数据动态因子模型研究 2013-2016 

国家自然科学基金:非对称随机波动建模及其在金融风险管理中的应用研究2015-2018 

教育部重点研究基地重大项目:金融风险测度与管理若干前沿问题研究 2014-2016 

国家自然科学基金: 基于非结构化数据的个人信用评价,2019-2022。


学术奖励

A Numerical Analysis of Stochastic Neural Network; Neural Parallel, and Scientific Computations 8(2000)209-242, 

第八届中国人民大学优秀科研成果论文类一等奖:, 2003年9月. 

Stability of Stochastic Evolution Equations in Hilbert Spaces, Dynamics of Continuous, Discrete and Impulsive systems, Seris: A, Mathematical Analysis, 11(2004),No.1.31-40. 

第九届中国人民大学优秀科研成果论文类一等奖 2007年4月 

Discrete-time Martingales with Spatial Parameters; Stochastic Analysis and Applications 20(2002),No.5,1101 – 1131.

统计科学优秀科研成果论文三等奖2004年7月 

A Backward Stochastic Differential Equation Model in Life Insurance,Dynamic Systems and Applications Vol.16(2),327-336.

获统计科学优秀科研成果论文三等奖: 2008年7月, 2005年11月,教育部新世纪优秀人才奖励计划, 2016年2月,金融风险测度相关理论研究,获得2015年度高等学校科学研究优秀成果奖(自然科学)二等奖。


开设课程

概率论、数理统计、高等数理统计、高等概率论、测度论、随机分析、随机过程、随机微分方程、金融经济学、数学分析、实变函数论


研究方向

金融随机分析,金融高频数据分析,数理金融


论文成果

部分期刊杂志论文(中英文) 

2021 Yingqiu Zhu, Qiong Deng, Danyang Huang*, Jing Bingyi, Zhang Bo* (2021), Clustering based on Kolmogorov - Smirnov Statics with application to bank card transaction data, Journal of the Royal Statistical Society: Series C ,Vol70(3), 558-578. 

朱映秋,张波*,(2021)基于已实现波动率的上证综指异常时间序列检测,系统工程理论与实践, Vol.41(3): 625-635. 

Zhu Yingqiu,Chen Yu, Huang Danyang*, Zhang Bo, Wang Hansheng (2021) Automatic, Dynamic, and Nearly Optimal Learning Rate Specification by Local Quadratic Approximation,Neural Networks Volume 141, September 2021, Pages 11-29 

Hu Wei, Huang Danyang*, Jing Bingyi, Zhang Bo* (2021),Crawling Subsampling for Multivariate Spatial Autoregression Model in Large-Scale Networks,Electronic Journal of Statistics,Vol. 15, No. 2, 3678-3707 

高维清,吴奔,张波(2021),金融高频,高维数据的波动率矩阵估计:基于GARCH-Ito分组因子模型,中国科学(数学)( to appear) 2020 方国斌,马慧敏,张波*(2020),基于GEE的离散面板数据动态因子模型估计及应用,数理统计与管理,39(3),449-466. 

Fang Guobin, Zhang Bo* and Chen Kani (2020),Estimation of Dynamic Mixed Double Factors Model in High Dimensional Panel Data ,Soft Computing, 24(4), 2527-2541 

张波,范超,(2020),具有核化函数的部分线性模型及其应用,统计研究, 37(1),110-128. 

Zhu, Yingqiu, Danyang Huang, Wei Xu, and Bo Zhang. "Link prediction combining network structure and topic distribution in large-scale directed network." Journal of Organizational Computing and Electronic Commerce (2020): 1-17. 2019 

蒋远营,张波(2019), 基于非参数贝叶斯方法的随机波动建模与应用, 数理统计与管, Vol.38(1); 49-61 . 

吴奔,张波*,赵丽丽(2019),不规则时间序列建模:高频与低频的统一,系统工程理论与实践,39(1): 36-48. 

张波 刘晓倩(2019),基于Fused惩罚的稀疏主成分分析, 统计研究, 36(4): 119-128. 

赵丽丽,张波 (2019). 基于ICA模型的投资组合稳健var方法研究. 数理统计与管理. Vol.38(2); 367-380. 

Zhou, S., Zhou, J.*, & Zhang, B*. (2019). High-dimensional generalized linear models incorporating graphical structure among predictors. Electronic Journal of Statistics, 13(2), 3161-3194. 2018 

Wu, H., Jiang, Y., Ma, Y. Zhang B*(2018). Credit spread index of fixed income securities in China,Soft Computing ,.22(17), 5625–5630, 王荣欣, 张波, 邓军*(2018), 波动性传导、市场板块差异与股票流动性, 国际金融研究 4: 76-85. 2017 

赵丽丽,张波(2017),基于改进ICA模型的高维波动率估计 ,数理统计与管理, Vol.36, No.1,38-50。 

徐美萍,张波(2017),稳定分布中偏度参数的一个新估计,中国科学-数学,43(4),423-434。 3

张波、蒋远营(2017), 基于中国股票高频交易数据的随机波动建模与应用, 统计研究,No.3,107-117 

Chao Yu ,Yue Fang*  Zeng Li,Bo Zhang,Xujie Zhao (2017), Nonparametric Estimation of Jump Characteristics under Market Microstructure Noise Communications in Statistics - Simulation and Computation Vol.46,Issue 5, 3575-3587. 

吴奔,张波(2017),交易信息、跳跃发现与波动率估计,统计研究, No.8,109-119 2016 

Zhang Bo, Bi Tao(2016), Intraday Serial Correlation,Volatility and Jump: Evidence From China`s Stock Market, Communication in Statistics – Simulation and Computation, Vol.45 (4)1226–1239. 2015 

张波、郭海兵(2015),部分线性变系数模型的一种新的轮廓(Profile)最小二乘估计,数理统计与管理34(2),275-283. 

吴奔,张波(2015),Hawkes过程分支比估计—— 一种简单的非参数方法 ,统计研究32(3): 92-99. 2014 

Yu Chao, Fang Yue, Li Zeng, Zhang Bo, Zhao Xujie(2014), Non-Parametric Estimation Of High-Frequency Spot Volatility For Brownian Semimartingale With Jumps, Journal of Time Series Analysis,Volume 35, Issue 6, 572–591. 

方国斌,张波(2014),金融资产配置中的因子面板随机波动模型,统计研究31(3): 90-98. 

Yunqian Ma,Bo Zhang and Yuanying Jiang(2014),Measure Systemic Risk Of Chinese Listed Banks Based On Mes Multifactor Model,Proceedings of the 6th International Conference on Financial Risk and Corporate Finance Management 294-302 . 2013 

Bi Tao , Zhang Bo and Wu Huishan(2013), Measuring Downside Risk Using High Frequency Data--Realized Downside Risk Measure, Communication in Statistics – Simulation and Computation, Vol.42, No.4, pages 741-754, 

Jiang Hui,Zhang Bo(2013), Dynamical Memory Control Based on Projection Technique for Online Regression, Soft Computing, Vol.17, No.4, 587-596, 

Bingyi Jing, Xinbing Kong, Zhi Liu and Bo Zhang(2013), Evaluating The Hedging Error in Price Processes with Jumps Present,Statistics and its Interface, Vol.6, No.4, 413–425 2012 

Zhao Xia and Zhang Bo(2012), Pricing Perpetual Options with Stochastic Discount Interest Rates, Quality and Quantity, Vol.46, No.1, P341-349 

Zou xiaopeng, Wei quipping, and Zhang Bo(2012), Empirical Research on M&A and Performance of Private Enterprises in China, Quality and Quantity Vol.46, No. 2.P639-651, 

张波,方国斌(2012),高维面板数据降维与变量选择方法研究,统计与信息论坛,Vol.27,No.6, 21—27. 

张景肖,魏秋萍,姜玉霞,张波(2012),基于两阶段思想处理拒绝推断的信用评分模型,数理统计与管理 ,No.6.page 1049-1060 

张景肖,魏秋萍,张波(2012),信用评分模型中稀有事件特殊采样处理方法探讨,统计与信息论坛,Vol.27,No.11, 15-19. 2011 

Xu Jing, Shang Hao and Zhang Bo(2011), A Girsanov Type Theorem Under G Framework, Stochastic Analysis and Applications, 29,No.3, 386-406. 

Bi Tao , Zhang Bo and Xu Rong(2011), Dynamics of intraday serial correlation in China’s stock market, Communication in Statistics – Simulation and Computation, Vol.40, No.10,p1637-1650. 2010 

Zhang Bo, Xu jing and Kannan (2010), Extension and Application of Ito’s Formula under G-Framework, Stochastic Analysis and Applications,Vol.28, No.2, 322 – 349. 

Xu Jing and Zhang Bo(2010), Martingale property and capacity under G-framework, ELECTRONIC Journal of Probability, Vol.15(Dec. 2010), 2041-2068 (EI),SCI,SSCI 2009 Xu Jing and Zhang Bo(2009), Martingale Characterization of G-Brownian Motion, Stochastic Processes and their Applications, Volume 119, Issue 1, Pages 232-248 (January 2009). Ding Y. and Zhang B(2009). Risky Asset Pricing Based on Safety First Funds Management, Quantitative Finance , Vol.9, No.3, 353-361.

 Jing, BY, Kong, XB, Liu, Z ,Zhang, B (2009), Stochastic regression and its application to hedging in finance, SCIENCE IN CHINA SERIES A-MATHEMATICS, 52 (6): 1365-1372 JUN 2009 

Li Biao and Zhang Bo(2009), On A Class of Quadratic Growth RBSDE with Jumps and Its Application, Stochastic Models Vol.25, No.3. 483 - 507 

Ding Y. and Zhang B(2009). Optimal Portfolio of Safety-First Models,Journal of Statistical Planning and Inference,Volume 139, Issue 9,2952-2962 

Xu Meiping and Zhang Bo(2009), Explicit Martingale Representations for Brownian Polynomials and Their Paths Fitting, Recent Advance in Statistics Application and Related Areas, Conference Proceedings for 2009 international Institute of Applied Statistics Studies, Qingdao, China, 750-755 2008 

G. Yin, Bo Zhang and C. Zhu(2008), Practical stability and instability of regime-switching diffusions, Journal of Control Theory and Applications, 6, No.2,104--115. 2007 

Zhao Xia Zhang Bo Mao Zechun(2007), Optimal Dividend Payment Strategy under Stochastic Interest Force, Quality and Quantity,Vol.41, No.6, 927-936. 

Xu J, Kannan D, and Zhang B(2007). Optimal Dynamic Control for Defined Benefit Pension Plans with Stochastic Benefit Outgo, Stochastic Analysis and Applications, Vol.25,No.1,201-236 . 

Zhang B, Xu J. and Kannan D(2007). A Backward Stochastic Differential Equation Model in Life Insurance,Dynamic Systems and Applications ,Vol.16(2),327-336 . 

Li Song and Zhang Bo(2007), Controllability of Nonlinear Integrodiffential Systems in Banach Space with Nonlocal Conditions,Dynamic Systems and Applications,Vol.16(4),729-742. 

Qiuping Wei,Bo Zhang(2007), Xiangdong Liu, A DMNeural Network Model in Individual Credit Appraisal, Dynamics of Continuous, Discrete and Impulsive systems, Seris:A,(S1).459-462 

Jing Xu, Bo Zhang(2007), Doob`s Martingale Inequality in G-Framework, Dynamics of Continuous, Discrete and Impulsive systems, Seris:A,(S1) 742-745. 

Bo Zhang, Xia Zhao(2007), The expected discount penalty function under stochastic interest governed by Markov switching process. Dynamics of Continuous, Discrete and Impulsive systems, Seris:A(S1).343-348. 2006 

徐静,张波(2006),给付确定型养老金计划的动态最优控制,自然科学进展,年第9期,1174-1180. 2005 

张波,代金(2005),经济环境下引入投资的古典风险模型的破产概率,经济数学,No.2, 111-117. Bo Zhang, Jingxiao Zhang, D. Kannan(2005) , Nonlinear Stochastic Difference Equations Driven by Martingales, Stochastic Analysis and Applications, Vol.23(6), pp. 1277 – 1304. Yaru Mo, Bo Zhang(2005), Stability of Delayed Hopfield Neural Networks with Sigmoid Output Functions, Dynamic Systems and Applications, 14(4),569-578. 2004 Zhang Bo, Xue Fang(2004), Stability of Stochastic Evolution Equations in Hilbert Spaces, Dynamics of Continuous, Discrete and Impulsive systems, Seris: A, Mathematical Analysis, 11, No. 1. p31-40. (SCI) Zhang Jingxiao, Zhang Bo(2004), Asymptotic Flatness of Stochastic Flow on Manifolds, Journal of Mathematical Research and Exposition, Vol.23, No.2 

王延臣,代金,张波(2004),随机利率下的保险精算函数,经济数学,Vol 21,No.3 2003 

张波,张景肖,具有马氏转换的离散随机系统的性能分析,自然科学进展, 2003, 13(11):1141-1146. 

魏秋萍,张波(2003),风险理论中破产模型的若干结果,经济数学,Vol.20,No.4,6-11 2002 

Zhang Bo, Zhang Jingxiao(2002), Stability of Stochastic Volterra Equations with Anticipating Kernel, Journal of Mathematical Research and Exposition, No.2.p167-176. 

Zhang Bo and Kannan(2002), Discrete-time Martingales with Spatial Parameters; Stochastic Analysis and Applications 20,No.5, p.1101 – 1131. (SCI) Kannan, Zhang Bo(2002), A Discrete-Time Ito’s Formula, Stochastic Analysis and Applications, 20, No.5, p.1133 – 1140. (SCI) 

Zhang Yi and Zhang Bo(2002), Impulsive differential equations with initial time difference and applications, Dynamics of Continuous, Discrete and Impulsive systems, Seris: A, Mathematical Analysis, 9, No. 3. p439-448. . 2001 

张波,李容禄(2001) , C_0类半群与Hilbert空间中随机发展方程的稳定性,哈尔滨工业大学学报(自然科学版), No.3. Zhang Bo(2001), Stochastic Differential Equations, in Handbook of Stochastic Analysis and Applications (D. Kannan edit), Marcel Decker,2001.10 2000 

张波(2000),补偿Levy流的实践稳定性,数学学报,No.6, 1127---1134. TSOI A H, ZHANG B(2000) Retarded Jump-Diffusion Equations and Stability, Communications in Applied Analysis, Vol.4, No.4, 495---510. Zhang B. Kannan(2000),A Numerical Analysis of Stochastic Neural Network; Neural Parallel, and Scientific Computations, 8209-242。 TSOI A H, ZHANG B(1998) ,Practical stability in p-th mean and controllability of Levy flow, Communications in Applied Analysis, Vol.2, No1, 65-80. 

薛小平,张波(1998),关于取值于局部凸空间中集值映射的积分,系统科学与数学, 第18卷.147—153 

Zhang Bo(1997), Stability Theory of Stochastic Differential Systems, Bulletin of Hong Kong Mathematics Society,Vol.1,No.1, pp197--202. TSOI A H, ZHANG B(1998), Practical stability of Ito type nonlinear stochastic differential systems and related control problems, Dynamical Systems and Applications, Vol.6,No.1,107---124. TSOI A H, 

ZHANG B(1998) , Weak exponential stability of stochastic differential equations, Stochastic Analysis and Applications, Vol.15(4), 643-649. Tsoi A H, Zhang B(1996), Lyapunov function in weak exponential stability and controlled stochastic systems. Journal of Ramanujan Math.Society Vol 11 No.2,85-102. 

Zhang Bo, Tsoi A H, Weak Exponential Stabilization of Some Ito Stochastic Systems, Proceedings of Symposium on Control, Optimization & Supervision, CESA`96 IMACS Multi-conference. Lille-France, 1996,p115-117. 

叶以宁,张波(1994),Lorentz序列空间的装球值问题, 数学学报,No.5,612-620。


著作成果

张波,应用随机过程, 中国人民大学出版社, 2001年5月, 北京. 

张波,张景肖,应用随机过程,清华大学出版社,Springer出版社,2004.9 

代金,魏秋萍,张波(译校) , 工程统计学,中国人民大学出版社,2005.4。 

张波,刘中华,魏秋萍,代金,统计学完全教程,科学出版社,2008 

张波,商豪,应用随机过程(第三版), 中国人民大学出版社, 2014年1月1日, 北京. 

Zhang Bo, Stochastic Differential Equations—Models and Applications, Global-Link Publishing Company, Hong Kong,sept.2010.ISBN:962-8286-81-1 

张波,金婷婷,李玥 工程统计学(第五版),中国人民大学出版社,2014.11.1 

张波,余超,毕涛,高频金融数据建模:理论、方法与应用,2015年10月,清华大学出版社。 

张波,张景肖,应用随机过程(第二版),清华大学出版社,Springer出版社,2019. 

张波,商豪,邓军,应用随机过程(第5版), 中国人民大学出版社, 2020年1月, 北京.