姓 名：汪训孝
职 称：副教授
研究方向：风险管理，公司金融，金融计量
教授课程：风险管理，金融计量学，计量经济学，随机过程，非参统计
E - mail：wang.xunxiao@sufe.edu.cn；电话：021-65902301
| 序号 | 项目名称 | 项目编号 | 项目来源 | 起止时间 | 项目经费 |
| 1 | 基于多模态信息和行为分析金融服务研究（子课题） | 72531004 | 国家自然科学基金重点项目 | 2026-2029 | |
| 2 | 高维混频数据及波动时频溢出下系统性金融风险的研究 | 72171139 | 国家自然科学基金面上项目 | 2022-2025 | 47万 |
| 3 | 金融市场流动性特征及其业务数字化转型分析 | 2023110139 | 上海财经大学青年创新团队支持计划 | 2023-2024 | 10万 |
| 4 | 突发性公共卫生事件对中国及全球股市的短期冲击及溢出效应研究——以新冠肺炎事件为例 | 2021110301 | 上海财经大学两个服务行动计划 | 2019-2020 | 3万 |
| 5 | 基于动态混合和分层收缩方法的金融波动率预测及传导研究 | 71701118 | 国家自然科学基金青年项目 | 2018-2020 | 19万 |
研究领域
聚焦于统计与数据科学方法在金融中的交叉应用，主要包括以下三个方面：
风险管理：系统性金融风险的度量、形成机制、传播路径与经济影响，涵盖供应链冲击、跨市场波动溢出和金融网络联动等议题。
公司金融：投资者-企业互动、监管问询、IPO定价效率，以及公司投资与融资决策，聚焦公司行为对市场信息效率和资源配置的影响。
金融计量：高频数据与波动率建模，探索机器学习与AI在金融分析和风险预测中的创新应用。
上海交通大学安泰经济与管理学院,管理科学与工程(金融工程）,博士
2022年7月- 上海财经大学统计与管理学院，副教授，博士生导师
2016年8月—2022年6月 上海财经大学统计与管理学院，讲师
1.汪训孝，刘瑾婕，卞世博，周金花*.亡羊补牢，为时未晚？——基于问询函的研究，《管理科学学报》，2024，录用。
2.Xunxiao Wang, Luxi Li, Shibo Bian*, 2024. Irrelevant Answers in Customers' Earnings Communication
Conferences and Suppliers' Cash Holdings，Journal of Financial Stability，accepted
3.Shibo Bian，Iftekhar Hasan，Xunxiao Wang*，Zhipeng Yan，2024. Do Markets Value Manager-Investor Interaction Quality? Evidence from IPO Returns, Review of Quantitative Finance and Accounting,online
4.Xunxiao Wang, Shibo Bian , Chongfeng Wu, 2023. Spillover effects within supply chains: Evidence from Chinese-listed firms, Journal of International Financial Management & Accounting, accepted
5.Qiang Chen, Yuting Gong, Xunxiao Wang, 2022. Empirical Process-Based Specification Tests for Diffusion Models, The Canadian Journal of Statistics, accepted
6.卞世博，陈曜，汪训孝*. 高质量的互动可以提高股票市场定价效率吗？基于“上证e互动”的研究. 《经济学》（季刊）. 2021
7.Wang X*. Frequency dynamics of volatility spillovers among crude oil and international stock markets: The role of the interest rate, Energy Economics, 2020,91.
8.Wang, X. , Keshab S., Qi, S. 2019. Forecasting realised volatility: a Markov switching approach with time‐varying transition probabilities. Accounting and Finance 59: 1947-1975.
9. Wang, X.*, Yudong, W., 2019. Volatility spillovers between crude oil and Chinese sectoral equity markets: Evidence from a frequency dynamics perspective. Energy Economics, accept
10. Wang, X.*, Wu, C., 2018. Asymmetric Volatility Spillovers Between Crude Oil and International Financial Markets. Energy Economics 74: 592-604.
11. Wang, X.*, Wu, C.,Xu, W., 2015. Volatility forecasting: The role of lunch-break returns, overnight returns, trading volume and leverage effects. International Journal of Forecasting 31(3): 609-619.
12. Wang, X., Wu, C.,Xu, W.*, 2015. When to buy or sell in supply chains with the presence of mergers. International Journal of Production Economics 163(0): 137-145.
13. Wang, X.*, Diao X., Chen, Y., 2016. What are returns outside trading hours capturing for volatility of individual stocks? Applied Economics Letters.
14. Zhichao Liu, Feng Ma, Xunxiao Wang*, 2015. Forecasting the realized volatility: the roles of jumps. Applied Economics Letters.
2016年 首届上海交通大学优秀博士学位论文
Young Editorial Board Member of China Finance Review International
1. "Volatility spillovers between stock index and futures markets: A frequency
dynamics perspective", an invited report at the 15th Annual Meeting of Chinese Fnance, Guangzhou, China, Nov, 2018.
2. "Forecasting realized volatility: A Markov switching approach with time-varying
transition probabilities", an invited report at the China Financial Innovation Conference, Zhejiang University, Nov, 2018.
3. Session Chair: Behavioral Finance , at the 10th China Finance Review International Conference, Shanghai, China, July, 2017.
4. "Volatility forecasting with Markov-switching heterogeneous autoregressive models", an invited report at the 9th China Finance Review International Conference, Shanghai, China, July, 2016.
5. "Volatility transmission: structural stability and time-varying coefficients", an invited report at the 12th Annual Meeting of Chinese Fnance, Wuhan, China, October, 2015.
