联系方式
电子邮箱：dayeli@foxmail.com
通讯地址：山东省曲阜市6165cc金沙总站检测中心（邮编：273165）
研究领域
统计套利，资产定价，量化投资，机器学习与人工智能。
教育经历：
2000.9-2004.7 哈尔滨工业大学 学士 计算机科学与技术
2004.9-2006.7 哈尔滨工业大学 硕士 计算机科学与技术
2013.9-2007.7 对外经济贸易大学 博士 金融
发表论文：
1. Li Daye, Nishimura Yusaku and Men Ming. (2016). “Why the long-term auto-correlation has not been eliminated by arbitragers: Evidences from NYMEX,” Energy Economics 59: 167-178. SSCI.JCR Q1.
2. Li Daye, Li Rongrong and Sun Qiankun. (2017). "How the heterogeneity in investment horizons affects market trends." Applied Economics 49(15): 1473-1482. SSCI. JCR Q2.
3. Li Daye, Li Zhizhong and Li Rongrong. (2018). "Automate the identification of technical patterns: a K-nearest-neighbor model approach." Applied Economics 50(17): 1978-1991. SSCI. JCR Q2.
4. Li Daye, and Xinmin Zhang. (2019). “How time horizons and arbitrage cost influence the turnover premium?” Applied Economics 44(51): 4833-4848. SSCI. JCR Q2.
5. Li Daye, Nishimura Yusaku and Men Ming. (2014). "Fractal markets: Liquidity and investors on different time horizons." Physica A: Statistical Mechanics and its Applications 407(0): 144-151. SCI. JCR Q2.
6. Li Daye, Kou Zhun and Sun Qiankun. (2015). "The scale-dependent market trend: Empirical evidences using the lagged DFA method." Physica A: Statistical Mechanics and its Applications 433(0): 26-35. SCI. JCR Q2.
7. Li Daye, Nishimura Yusaku and Men Ming. (2016). "The long memory and the transaction cost in financial markets." Physica A: Statistical Mechanics and its Applications 442: 312-320. SCI. JCR Q2.
8. Ma Pengcheng, Li Daye and Li Shuo. (2016). "Efficiency and cross-correlation in equity market during global financial crisis: Evidence from China." Physica A: Statistical Mechanics and its Applications 444: 163-176. SCI. JCR Q2.
9. Daye Li, T. L., Kefu Yi, Yitong Liu. (2021). "Size effect and the measurement of firm size." Managerial and Decision Economics, 43(4). SSCI JCR Q3.
10. Tianyang Li, Daye. Li. And Ming. Men. (2021). Size effect in China. Applied Economics, 53(37). SSCI. JCR Q2.
11. Xiaofang Li and Li Daye. (2023). "Salience in Beta Anomaly." Applied Economics, 55(55). SSCI. JCR Q2.
12. Mengqi Cui and Daye Li (2023). The ESG premium in China’s A-share market: a time horizon perspective, Applied Economics, DOI: 10.1080/00036846.2023.2283777.
