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Summary

Dr. Lijian WEI is an Associate Professor at Business School of Sun Yat-sen University (SYSU), China. He joined SYSBS as an assistant professor since 2015. Prior to this, he served at Business School of University of Technology Sydney (UTS) as a Senior Research Associate and a member of Quantitative Finance Research Centre (QFRC) for 3 years. He received his PhD in Management (Financial Engineering) in 2012 from Tianjin University. Dr. Wei conducts research in Fin-Tech, market micro-structure and agent-based computational finance. He has authored a number of publications appeared in the leading refereed international journals and top Chinese journals, such as Journal of Economic Dynamics and Control, Quantitative Finance, Engineering Applications of Artificial Intelligence and Journal of Management Sciences in China. He serves as the Director of the Editorial Office of?International Journal of Financial Engineering. He is active in business consulting for the Chinese financial market, his works have been adopted by the Government of Canton Province and reported by CCTV and famous newspapers; he is a Visiting Fellow of Chinese Capital Markets Statistics and Monitoring Centre, Shenzhen Stock Exchanges, and Financial Monitoring and Prevention Platform of Guangdong Province.

Academic Experience

1. 01/2019-present: Associate Professor, Department of Finance and Investment , Business School, Sun Yat-Sen University;

2. 09/2015¨C01/2019: Assistant Professor, Department of Finance and Investment , Business School, Sun Yat-Sen University;

3. 04/2015¨C08/2015: Visiting Fellow, Chinese Capital Markets Statistics and Monitoring Centre;

4. 02/2012¨C02/2015: Postdoctoral Fellow (Senior Research Associate), member of Quantitative Finance Research Centre (QFRC), Business School of University of Technology, Sydney.

Education

1. PhD, 2012, Management (Financial Engineering), College of Management & Economics, Tianjin University.

2. MSc, 2009, Financial Engineering, School of Economics, Tianjin University of Finance & Economics;

3. BSc, 2004, Information Management & Information Systems, School of Business, Tianjin University of Finance & Economics.

Refereed Articles

1.?Lijian Wei, Wei Zhang, Xiong Xiong, Xuezhong He and Yongjie Zhang (2017), The effect of genetic algorithm learning with a classifier system in limit order markets, Engineering Applications of Artificial Intelligence 65, 436-448

2.?Wen-Jie Xie, Rui-Qi Han, Zhi-Qiang Jiang, Lijian Wei and Wei-Xing Zhou (2017). Analytic degree distributions of horizontal visibility graphs mapped from unrelated random series and multi- fractal binomial measures, EPL 119, ?48008

3.?Carl Chiarella, Xue-Zhong He , Lei Shi and Lijian Wei (2016), A behavioral model of investor sentiment in limit order markets. Quantitative Finance, forthcoming. (SSRN 2771155, Top Ten List ,corresponding author)

4.?Carl Chiarella, Xue-Zhong He, and Lijian Wei (2015). Learning, information processing and order submission in limit order Markets. Journal of Economic Dynamics and Control 61, 245-268. (SSRN 2307319,Top Ten List ,corresponding author)

5.?Lijian Wei, Wei Zhang, Xiong Xiong and Lei Shi (2015), Position Limit for the CSI 300 Stock Index Futures Market, Economic Systems, 39£¬369-389. (SSRN 2442600)

6.?Lijian Wei, Wei Zhang, Xiong Xiong and Yu Zhao (2014), A Multi-agent System for Policy Design of Tick Size in Stock Index Futures Markets, Systems Research and Behavioral Science 31,512¨C526.

7.?Lijian Wei Wei Zhang and Xiong Xiong (2017), Scenario-based Analysis and Solutions for the Liquidity Stampede Crisis in Stock Markets Based on Agent-based Modelling, ?Journal of Management Science in China 20(3), 1-23. (In Chinese)

8.?Lijian Wei (2016), The Impact of the T+0 Trading Mechanism on Market Quality based on the Analysis of Agent-based Modelling, Journal of Management Science in China 19, 90-102. (In Chinese)

9.?Wei, L., Zhang, W., Zhang Y., & Li, G. (2012). Style Rotation Effect in Chinese Stock Markets and Explanation Based on Adaptive Market Hypothesis, Chinese Journal of Management 7: 943©\951. (In Chinese)

10.?Zhang, W., Wei, L., Xiong, X., Li, G.& Ma, Z.(2011). Discrimination of Cross©\Market Price Manipulations in Stock Index Futures Market: Evidences from Volatility and Liquidity, Management Review 23(7): 163©\170. (In Chinese)

11.?Zhang, W., Li, G., Xiong, X., Wei, L., ?& Wang, X. (2009) . Survey on the Asset Price Bubbles: From the Perspective of Behavioral Finance and Agent©\based Modelling. Journal of Financial Research 350(8): 182©\193 (In Chinese)

Working Papers

1.?High-frequency trading and learning, SSRN Working Paper (2771153, SSRN Top Ten List), with Jasmina Arifovic, Carl Chiarella and Xue-Zhong He. (corresponding author)

2.?Over/under-reaction in limit order markets, with Lei Shi and Xiong Xiong.

3.?Stylized facts in an artificial limit order market, with Xiong Xiong and Wei Zhang.

4. Referee Work£ºJournal of Economic Dynamics and Control£¬Journal of Economic Interaction and Coordination, Computational Economics, Systems Research and Behavioral Science, PLOS ONE, Journal of Management Science in China.

5. Consulting Reports/Joint Reports for ?Shanghai Stock Exchange, Shenzhen Stock Exchange, Chinese Capital Markets Statistics and Monitoring Centre, China Financial Futures Exchange and China Futures Association.

Research Grants

1. Big data based intelligent early warning and prevention systems for district financial security, National Natural Science Foundation of China (Science centre project), RMB 24,500,000, 2019-2022 (Coordinator)

2. Study on market liquidity crash based on big-data analytics and agent-based modelling. National Natural Science Foundation of China, RMB?480,000, 2017-2020 (PI)

3. The Basal Research Fund of Sun Yat-sen University (16wkpy06), RMB 7,5000, 2016-2018. (PI)

4. On the Theories and Practices of Financial Innovation and Risk Analysis in the Era of Big Data, RMB 2,920,000, 2016-2020. (Core member)

5. On the Dynamics of the Securities Market under Complex Information Environments: Micro-Macro (RMB 2,150,000). Major International (Regional) Joint Research Project of National Natural Science Foundation of China, 2014-2018. ?(Core member).

6. High Frequency Trading in Continuous Double Auction Markets (AUD $9,956.00), Faculty of Business at UTS£¬2013. (PI)

Teaching

?<Investments>, <Quantitative Investments>, < Options, Futures, and Other Derivatives>, < Fixed Income Securities >.

Other Working Experience

2004-2009, Instructor, Department of Student Affairs, Tianjin University of Financial & Economics.