RESEARCH AERA

Financial Engineering, Financial Market Microstructure, Empirical Asset Pricing, Forecasting and Risk Management, etc.

EDUCATION & EXPERIENCE

Jul. 2009~ present, School of Economics and Management, Beihang University (BUAA), Associate Professor.

March 2015~present, Department of Business Analytics and Statistics, Haslam college of business, University of Tennessee, visiting scholar.

Mar. 2014~Apr. 2014, Centre for Transport, Trade and Financial Studies, College of Business, City University of Hong Kong, visiting research fellow.

Jul. 2013~Sep. 2013, Centre for Quantitative Finance, National University of Singapore (NUS), visiting scholar.

Apr.2013~May 2013, Centre for Transport, Trade and Financial Studies, College of Business, City University of Hong Kong, visiting research fellow.

Nov. 2007~Jan. 2008, College of Business, City University of Kong Hong, Research Assistant.

Sep.2004-July 2009, School of Management, Graduate University of Chinese Academy of Sciences, Ph.D.

Sep.2000-July 2004, Dept. of Statistics and Finance, University of Science and Technology of China (USTC), Bachelor of Economics.

RESEARCH PROJECT

1. “The study on market microstructure and mechanism of futures pricing and commodity index derivatives”, supported by National Natural Science Fund of China (NSFC: 71373001), Jan. 2014 ~ Dec. 2017, Leader.

2. “The construction of Chinese commodity futures index and risk management policy analysis according to the market microstructure characteristics of Chinese futures market”, supported by National Natural Science Fund of China (NSFC: 71003004), Jan. 2011~Dec. 2013, Leader.

3. “Futures pricing and risk management policy analysis”, supported by Central University Special Fund, Jan. 2014.4~Dec. 2014, Leader.

4. “Study on asset pricing models based on the analysis of investor trading behavior”, supported by Central University Special Fund, Jan. 2013.6~Dec. 2013, Leader.

5. “Crude oil price forecasting and volatility analysis”, supported by Central University Special Fund (YWF-10-06-002), Jan. 2010.1~Dec. 2011, Leader.

6. “International Pricing Power of Bulk Commodities and Chinese Futures Market”, supported by National Natural Science Fund of China (NSFC: 70541002), Apr. 2005~Dec. 2005, Principal researcher.

7. “The construction of Chinese commodity futures index”, a co-project supported by Green Group and MADIS lab of Chinese Academy of Sciences(CAS), Dec. 2005~June 2009, Team leader and principal researcher. Completed a Commodity Futures Index (M-GCFI) and an Agriculture Futures Index (M-GAFI).

8. “Industries Analyze and Forecasting”, supported by Center for Forecasting Science, Chinese Academy of Sciences. Jan. 2008~Jan. 2009, principal researcher.

9. “Research and Forecast of International Oil Price”,co-project supported by a company and Center for Forecasting Science, Chinese Academy of Sciences, Jan. 2007~Oct. 2008, principal researcher

PUBLICATIONS

——English version paper in international academic journals

[1] Hui Bu*. Effects of inventory announcement on crude oil price volatility.Energy Economics, 2014, 46: 485-494.(SSCI indexed, impact factor of 2.708)

[2] Hui Bu *, Li Pi. Does investor sentiment predict stock returns? The evidence from Chinese stock market[J]. Journal of Systems Sciences and Complexity, 2014, 27: 1-14. (SCIE indexed)

[3] Hui Bu*. Price Dynamics and Speculators in Crude Oil Future Market, Systems Engineering Procedia, 2011, 2: 114-121.

[4] CHE Xin-wei, BU Hui*, John J. Liu. A theoretical analysis of financial agglomeration in China based on information asymmetry [J]. Journal of Systems Science and Information, 2014, 2(2): 111-129. Best Paper Award of the 8th International Conference of Financial System Engineering and Risk Management, Beijing, 2010.

[5] Yi Xiao, John J. Liu, Jin Xiao, Yi Hu, Hui Bu, Shouyang Wang. Application of multiscale analysis-based intelligent ensemble modeling on airport traffic forecast. Transportation Letters, 2015; 7(2), 73-79. (SCI)

[6] Chong Chen, Haibin Xie, Shanying Xu, Xun Zhang, Hui Bu*. Modeling the Futures Basis Dynamics: Evidence from COMEX Gold Markets and SHFE Gold Markets[J].International Review of Applied Financial Issues and Economics, 2011, 3(1).

[7] Wen B., Gong X., Bu H., Yu L.A., Wang S.Y., Weekly crude oil futures price forecast based on trader positions of COT report [C]. Proceedings of the 2008 International Conference on e-Risk Management (IceRM 2008). Atlantis Press, 2008.

—— Chinese version paper in international academic journals

[8] Hui Bu*. On backwardation and term structure of futures prices in Chinese copper futures market[J]. Journal of Systems Engineering, 2014 (Chinese version). Best paper award ofthe 11th International Conference of Financial System Engineering and Risk Management, Oct. 2013, Shanghai.

[9] Hui Bu*, Yanan He. Price dynamics and volatility of crude oil futures market: Inventory information shocks and trading activities of non-commercial traders[J], Systems Engineering - Theory and Practice, 2011, 31(4), 691-701.(Chinese version) (EI)

[10] Hui Bu, Shouyang Wang. Empirical study of inflation-hedging characteristics of commodity futures and its portfolio in China[J]. Journal of Management Sciences in China, 2010, 13(9): 26-36. (Chinese version)(CSSCI)

[11] Bu Hui, Li Yi, Wang Shou-yang*, Relationship between funds and commodity futures prices: an empirical study based on soybean futures market, Management Review, 2008, 20(5): 3-8. (Chinese version) (CSSCI)

[12] Yi Li, Hui Bu, Shouyang Wang. The relationship between funds and futures prices: an empirical study based on copper futures market[J], Systems Engineering - Theory and Practice, 2008, 28(9): 10-19. (Chinese version) (EI)

[13] Wenjie Wang, Hui Bu*, Fengbin Lu. Empirical Analysis of the Volatility of Shanghai Gold Futures Market under Global Financial Crisis[J]. Management Review，2009, 21(2): 77-83.(Chinese version) (CSSCI)

[14] Hui Bu, Yi Li, Rui-gang Chen, Qing-wei Liu, Shuan-hong Wang, Shou-yang Wang*.The construction of the commodity futures index and study of its functions, Chinese Journal of Management Science,2007, 15(4): 1-8. (Chinese version) (CSSCI)

[15] Hui Bu, Yi Li, Shuanhong Wang, Shouyang Wang*, A comparison study on the international commodity index, Management Review, 2007, 19(1): 3-8. (Chinese version) (CSSCI)

[16] Wen Zhang, Hui Bu*, Shouyang Wang. Quarterly crude oil price forecasting system based on optimally selected model[J]. Journal of Systems Engineering, 2011, 26(1), 9-16, 30. (Chinese version) (CSCD)

[17] Wen Zhang, Jue Wang*, Hui Bu, Shouyang Wang. A multivariable model based on cross-correlogram for analyzing the change of relationship between factors and crude oil price during financial crisis[J], Systems Engineering - Theory and Practice, 2012, 32(6): 1166-1174. (Chinese version) (EI)

[18] Yan Yan, Wei Xu, Hui Bu, Yang Song, Wen Zhang, Hong Yuan, Shouyang Wang*. Housing Price Forecasting Method Based onTEI@IMethodology, Systems Engineering - Theory and Practice, 2007, 27(7): 1-9. (Chinese version) (EI)

[19] Hui Bu*, Xiaozhen Liang, Li Pi. A spatial statistics analysis on finance agglomeration and regional finance development disparities in China[J]. Systems Engineering - Theory and Practice, 2014, 34(5): 1171-1180. (Chinese version) (EI). Best paper award of 17th Annual Conference of System Engineering Society of China, Oct. 2012.

[20] Xinwei Che, Hui Bu*, Xiaozhen Liang, Shuanhong Wang, Shouyang Wang. Theory of mechanism formation of finance agglomeration[J], Journal of Management Sciences in China,2012, 15(3): 16-29. (Chinese version) (CSSCI)

[21] Xiaozhen Liang, Fengmei Yang, Hui Bu*, Xinwei Che, Shuanhong Wang. Study on the multilayer financial center system in China based on evaluation of urban financial competitiveness[J], Systems Engineering - Theory and Practice, 2011, 31(10): 1847-1857. (Chinese version) (EI)

[22] Haibin Xie, Chong Chen, Hui Bu, Shouyang Wang*. Testing market responses under extreme risks[J], Systems Engineering - Theory and Practice, 2011, 31(4), 650-655. (Chinese version) (EI)

——Working paper and conference paper

[23] Hui Bu, Yi Xiao, Wenjun Zhou, John J. Liu. A hybrid forecasting method combining seasonal ARIMA model and singular spectrum analysis[C]. FEFS2015, Beijing, Oct. 2015.

[24] Hui Bu, John J. Liu*, Gilbert Wang, Laser Yuan. Real Co-movement between Shipping Industries and Global Markets[C]. INFORMSAnnual Meeting Minneapolis 2013, Minneapolis of USA, Oct. 2013. Annual Conference of International Association of Transport, Trade and Service Studies (IATTSS2013) in Hong Kong, Nov. 2013.

[25] Hui Bu, Zheng Xie, Junjie Wu*. Investor sentiment and the predictability of stock returns：Evidence from Chinese stock market and online UGC [C], International Conference of Financial System Engineering and Risk Management 2015. (Chinese Version)

[26]Hui Bu*, Li Pi. The effect of introduction of CSI 300 index futures on spot market[C]. Discussed at the 9th International Conference of Financial System Engineering and Risk Management, Oct. 2011. Also presented at the Forum of Financial Engineering of University of International Business and Economics, Dec. 2013. (Chinese version)

[27] Hui Bu*, Li Pi. Investor Sentiment and Cross-Sectional Stock Returns: Evidence from Chinese Stock Market[C]. Presented atthe 11th International Conference of Financial System Engineering and Risk Management, 2013. (Chinese version)