Li, Sai-Ping / Adjunct Research Fellow

Research Interest

• Theoretical physics

Experience

• Deputy Director, Institute of Physics, Academia Sinica(2006.5-2009.3)
• Acting Director, Institute of Physics, Academia Sinica(2004.5-2006.3)
• Deputy Director, Institute of Physics, Academia Sinica(2002.4-2004.5)
• Research Fellow, Institute of Physics, Academia Sinica(1992.1-Present)
• Associate Research Fellow, Institute of Physics, Academia Sinica(1987.8-1992.1)
• Postdoctoral Fellow, C.E.N. Saclay, France(1985.9-1987.8)
• Postdoctoral Fellow, University of California, Irvine(1983.9-1985.8)

Publication

Journal Papers

• [1]     King Chun Wong, Sai-Ping Li*, accepted, “Link cascades in complex networks: A mean field approach”, CHAOS. (SCIE) (IF: 3.741; SCI ranking: 6.4%,12.5%)
  
  
• [2]     Ming-Ling Cai, Zhang-Hang Jiang Chen, Sai-Ping Li, Xiong Xiong, Wei Zhang, Ming-Yuan Yang, Fei Ren, accepted, “New volatility evolution model after extreme events”, accepted for publication in Chaos, Solitons and Fractals”, CHAOS SOLITONS & FRACTALS. (SCIE) (IF: 9.922; SCI ranking: 0.9%,1.8%,8.1%)
  
  
• [3]     Xue Jiang, Sai-Ping Li, Yong Mai, Tao Tian, accepted, “Study of multinational currency co-movement and Exchange rate stability using network game theory”, FINANCE RESEARCH LETTERS. (SSCI) (IF: 9.846; SSCI ranking: 0.9%)
  
  
• [4]     Yong Mai, Huan Chen, Jun-Zhong Zou, Sai-Ping Li, accepted, “Currency Co-movement and Network Correlation Structure of Foreign Exchange Market”, PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, 492, 65-74. (SCIE) (IF: 3.778; SCI ranking: 33.7%)
  
  
• [5]     Fei Ren, Ya-Nan Lu, Sai-Ping Li, Xiong-Fei Jiang, Li-Xin Zhong, Tian Qiu, accepted, “Dynamic portfolio strategy using clustering approach”, PLoS One. (SCIE) (IF: 3.752; SCI ranking: 39.2%)
  
  
• [6]     Zhang-Hang JianChen, Sai-Ping Li, Mei-Ling Cai, Li-Xin Zhong, Fei Ren, 2021, “Cross-region risk spillover between the stock and stock index futures markets under exogenous shocks”, North American Journal of Economics and Finance, 58, 101451, 101451-101451. (SSCI) (IF: 3.136; SSCI ranking: 39.6%,30.6%)
  
  
• [7]     Ming-Yuan Yang, Fei Ren, Sai-Ping Li*, 2020, “Stock network stability after crashes based on entropy method”, Frontiers in Physics, doi: 10.3389/fphy.2020.00163. (SCIE) (IF: 3.718; SCI ranking: 37.2%)
  
  
• [8]     Ming-Yuan Yang, Sai-Ping Li, Yue Wu, Jingtai Tang, Fei Ren, 2019, “Do government rescue policies reduce the market volatility after crash? Evidence from the Shanghai stock market”, FINANCE RESEARCH LETTERS, 29, 117-124. (SSCI) (IF: 9.846; SSCI ranking: 0.9%)
  
  
• [9]     Fei Ren, Shen-Dan Ji, Mei-Ling Cai, Sai-Ping Li, Xiong-Fei Jiang, 2019, “Dynamic lead-lag relationship between stock indices and their derivatives: A comparative study between Chinese mainland, Hong Kong and US stock markets”, PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, 513, 709-723. (SCIE) (IF: 3.778; SCI ranking: 33.7%)
  
  
• [10]     Yan Li, Xiong-Fei Jiang, Yue Tian, Sai-Ping Li, Bo Zheng, 2019, “Portfolio Optimization based on Network Topology”, PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, 515, 671-681. (SCIE) (IF: 3.778; SCI ranking: 33.7%)
  
  
• [11]     Ya-Nan Lu , Sai-Ping Li , Li-Xin Zhong, Xiong-Fei Jiang, Fei Ren, 2018, “A clustering-based portfolio strategy incorporating momentum effect and market trend prediction”, Chaos, Solitons and Fractals, 117, 1-15.
  
  
• [12]     M.-Y. Yang, S.-P. Li, L.-X. Zhong and F. Ren, 2018, “A minority game with expected return for simulating stock correlation”, EPL, 123, 18001, 1-7. (SCIE) (IF: 1.958; SCI ranking: 58.1%)
  
  
• [13]     Boon Kin Teh, Darrell Jia Jie Tay, Sai-Ping Li and Siew Ann Cheong, 2018, “Finite Sample Corrections for Parameters Estimation and Significance Testing”, Frontiers in Applied Mathematics and Statistics, fams.2018.00002, 1-10. (Others)
  
  
• [14]     Li-Ling Su, Xiong-Fei Jiang, Sai-Ping Li, Li-Xin Zhong, Fei Ren, 2017, “Dynamic structure of stock communities: A comparative study between stock returns and turnover rates”, EUROPEAN PHYSICAL JOURNAL B, 90, 127. (SCIE) (IF: 1.398; SCI ranking: 82.6%)
  
  
• [15]     Fei Ren, Sai-Ping Li, Chuang Liu, 2017, “Information spreading on mobile communication networks: A new model that incorporates human behaviors”, PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, 469, 334-341. (SCIE) (IF: 3.778; SCI ranking: 33.7%)
  
  
• [16]     Donghua Wang, Jingqing Tu, Xiaohui Chang, SaiPing Li, 2017, “The Lead-Lag Relationship between the Spot and Futures Markets in China”, QUANTITATIVE FINANCE, 17, 1447-1456. (SCIE, SSCI) (IF: 1.986; SCI ranking: 50%; SSCI ranking: 68.5%,51.6%,56.6%)
  
  
• [17]     Darrell Jiajie Tay, Chung-I Chou, Sai-Ping Li, Shang You Tee, Siew Ann Cheong, 2016, “Bubbles are Departures from Equilibrium Housing Markets: Evidence from Singapore and Taiwan”, PLoS One, DOI:10.1371/journal.pone.0166004, November 3, 2016. (SCIE) (IF: 3.752; SCI ranking: 39.2%)
  
  
• [18]     Rui-Lin Jia, Dong-Hua Wang, Jing-Qing Tu, Sai-Ping Li, 2016, “Correlation between Agricultural Markets in Dynamic Perspective-Evidence from China and the U.S. Futures Markets”, PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, A464(2016)83-92. (SCIE) (IF: 3.778; SCI ranking: 33.7%)
  
  
• [19]     Yonghong Jin, Jianbang Guo, Xiaozhou Zhou, Sai-Ping Li, 2016, “IPO market cycles and expansion curse: Evidence from Chinese IPO market”, Investment Analysts Journal, http://www.tandfonline.com/doi/full/10.1080/10293523.2016.1201291. (SSCI) (IF: 0.925; SSCI ranking: 90.1%)
  
  
• [20]     Chun-Xiao Nie, Fu-Tie Song, Sai-Ping Li, 2016, “Renyi indices of financial minimum spanning trees ”, PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, A444, 883-889. (SCIE) (IF: 3.778; SCI ranking: 33.7%)
  
  
• [21]     Chen-Chen Gong, Shen-Dan Ji, Li-Ling Su, Sai-Ping Li, Fei Ren, 2016, “The lead-lag relationship between stock index and stock index futures: a thermal optimal path method”, PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, A444, 63-72. (SCIE) (IF: 3.778; SCI ranking: 33.7%)
  
  
• [22]     Yonghong Jin, Qi Zhang, Sai-Ping Li, 2016, “Topological Properties and Community Detection of Venture Capital Network: Evidence from China”, Physica A, A442, 300-311. (SCIE) (IF: 3.778; SCI ranking: 33.7%)
  
  
• [23]     Hong Zhu, Zhi-Qiang Jiang, Sai-Ping Li and Wei-Xing Zhou, 2015, “Profitability of simple technical trading rules of Chinese stock exchange indexes”, PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, A439, 75-84. (SCIE) (IF: 3.778; SCI ranking: 33.7%)
  
  
• [24]     Shan Wang, Zhi-Qiang Jiang, Sai-Ping Li and Wei-Xing Zhou, 2015, “Testing the performance of technical trading rules in the Chinese markets based on superior predictive test”, PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, A439, 114-123. (SCIE) (IF: 3.778; SCI ranking: 33.7%)
  
  
• [25]     Yonghong Jin, Qi Zhang, Lifei Shan, Sai-Ping Li, 2015, “Characteristics of Venture Capital Network and Its Correlation with Regional Economy: Evidence from China”, PLoS One, 0137172. (SCIE) (IF: 3.752; SCI ranking: 39.2%)
  
  
• [26]     YY Suo, DH Wang, SP Li, 2015, “Recurrence interval analysis of spot and futures returns: Evidence from the Chinese stock market”, ECONOMIC MODELLING, 49, 344-353. (SSCI) (IF: 3.875; SSCI ranking: 23.8%)
  
  
• [27]     H. Chen, Y. Mai and S.P. Li*, 2014, “Analysis of Network Clustering Behavior of the Chinese Stock Market”, PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, 414, 360-367. (SCIE) (IF: 3.778; SCI ranking: 33.7%)
  
  
• [28]     S.L. Wang, H.I. Lee and S.P. Li, 2014, “Scaling Laws of Wildfire Spreading”, NONLINEAR PROCESSES IN GEOPHYSICS, 21, 815-823. (SCIE) (IF: 3.534; SCI ranking: 38.9%,17.6%,50%,26.5%)
  
  
• [29]     C.H. Lin, C.S. Chang, S.P. Li, 2014, “An Empirical Method to Measure Stochasticity and Multifractality in Nonlinear Time Series”, PHYSICAL REVIEW E, 88, 062912. (SCIE) (IF: 2.707; SCI ranking: 47.1%,17.9%)
  
  
• [30]     C.H. Lin, K.Y. Szeto, S.P. Li, 2013, “Adaptive Trading for Anti-correlated Pairs of Stocks”, Lecture Notes in Economics and Mathematical Systems, 669, 71-80. (Others)
  
  
• [31]     Yuo-Hsien Shiau, Jia-Hong Sie and Sai-Ping Li, 2013, “Detecting sleep apnea by volatility clustering of heart rate variability”, INTERNATIONAL JOURNAL OF CARDIOLOGY, 168, 1638-1641. (SCIE) (IF: 4.039; SCI ranking: 42.7%)
  
  
• [32]     H.I. Lee, S.L. Wang, S.P. Li, 2013, “Climate and Wildfire Burned Area in Alberta (1961-2010)”, International Journal of Modern Physics C, 24, 1350053. (SCIE) (IF: 1.353; SCI ranking: 92%,66.1%)
  
  
• [33]     S.H. chen and S.P. Li, 2012, “Econophysics: Bridges over a Turbulent Current”, International Review of Financial analysis, 23, 1-10. (SSCI) (IF: 8.235; SSCI ranking: 3.6%)
  
  
• [34]     J.J. Tseng, S.P. Li, 2012, “Quantifying Volatility Clustering in Financial Time Series”, International Review of Financial Analysis, 23, 11-19. (SSCI) (IF: 8.235; SSCI ranking: 3.6%)
  
  
• [35]     J.J. Tseng, S.P. Li, 2011, “Asset Returns and Volatility Clustering in Financial Time Series”, Physica A, 390, 1300-1314. (SCIE) (IF: 3.778; SCI ranking: 33.7%)
  
  
• [36]     J.J.Tseng et.al., 2010, “Statistical properties of agent-based models in markets with continuous double auction mechanism”, Physica A, 389, 1699-1707. (SCIE) (IF: 3.778; SCI ranking: 33.7%)
  
  
• [37]     J.J. Tseng and S.P. Li, 2009, “Heavy-tailed Distributions in Fatal Traffic Accidents: Role of Human Activities”, International Journal of Modern Physics C, 20, 1281-1290. (SCIE) (IF: 1.353; SCI ranking: 92%,66.1%)
  
  
• [38]     S.C. Wang et.al., 2009, “Statistical Properties of an experimental political futures market”, Quantitative Finance, 9, 9-16. (SCIE, SSCI) (IF: 1.986; SCI ranking: 50%; SSCI ranking: 68.5%,51.6%,56.6%)
  
  
• [39]     J.J. Tseng, S.P. Li, S.H. Chen and S.C. Wang, 2009, “Emergence of Scale-Free Networks in Markets”, Advances in Complex Systems, 12, 87-97. (SCIE) (IF: 0.58; SCI ranking: 96.3%,94.6%)
  
  
• [40]     J.J. Tseng et.al., 2009, “Experimental evidence for the interplay between individual wealth and transaction network”, European Physical Journal B, 73, 69-74. (SCIE) (IF: 1.398; SCI ranking: 82.6%)
  
  
• [41]     Lin Wang et.al., 2008, “Effects of Angiotensin II on Flux Rise Time in Rats (a Time Index of Laser Doppler Flowmetry) and its Relation With Microvascular Structures”, Microvascular Research, 75, 211. (SCIE) (IF: 3.75; SCI ranking: 44.8%)
  
  
• [42]     S.C. Wang et.al., 2008, “Network Topology of an Experimental Futures Exchange”, European Physical Journal B, 62, 105.
  
  
• [43]     T.L. Hsu et.al., 2008, “Similarity between Coffee Effects and Qi-Stimulating Events”, The Journal of Alternative and Complementary Medicine, 14, 1145. (SCIE) (IF: 2.381; SCI ranking: 66.7%)
  
  
• [44]     鄒忠毅,李世炳，2008，〈從極化現象看選區劃分問題─物理學與政治學的交匯〉，《單一選區 兩票制》，000。
  
  
• [45]     C.I. Chou et.al., 2007, “Evolutionary Strategy for Political Districting Problem Using Genetic Algorithm”, LNCS, 4490,1163.
  
  
• [46]     J.J. Tseng et.al., 2007, “Scale-Free Networks Emerged in the Markets: Human Traders versus Zero-Intelligence Traders”, LNCS, 000.
  
  
• [47]     C.I. Chou and S.P.Li, 2007, “Spin Systems and Political Districting Problem”, Journal of Magnetism and Magnetic Materials, 310,2889. (SCIE) (IF: 3.097; SCI ranking: 59.5%,50.7%)
  
  
• [48]     C.I. Chou and S.P. Li, 2007, “Statistical Physics Approach to Political Districting Problem”, Int. J. Mod. Phys. B, 21, 3975. (SCIE) (IF: 1.404; SCI ranking: 83.2%,81.2%,58.9%)
  
  
• [49]     Lin Wang et.al., 2007, “Transverse wave is the major propagation mode for the pressure pulse in large arteries”, Journal of Applied Physics, 102,064702. (SCIE) (IF: 2.877; SCI ranking: 46%)
  
  
• [50]     Li SP, Tseng JJ and Wang SC, 2005, “Reconstructing gene regulatory networks from time-series microarray data”, PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, 350(1), 63-69. (SCIE) (IF: 3.778; SCI ranking: 33.7%)
  
  
• [51]     Li SP, 2004, “Reconstruction of gene regulation networks using Baeysian networks”, BIOPHYSICAL JOURNAL, 86((1): Part 2 Suppl. S), 328A~328A. (SCIE) (IF: 3.699; SCI ranking: 41.7%)
  
  
• [52]     Wang SC and Li SP, 2004, “Learning Bayesian networks by Lamarckian genetic algorithm and its application to yeast cell-cycle gene network reconstruction from time-series microarray data”, LECTURE NOTES IN COMPUTER SCIENCE, 3141, 49-62.
  
  
• [53]     Li SP, Ng KL and Chung MC, 2003, “Quantitative linguistic study of DNA sequences (vol A 321, pg 189, 2003)”, PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, 330(3-4), 660-661. (SCIE) (IF: 3.778; SCI ranking: 33.7%)
  
  
• [54]     Li SP and Ng KL, 2003, “Study of the unequal spheres packing problem: An application to radiosurgery treatment”, INTERNATIONAL JOURNAL OF MODERN PHYSICS C, 14(6), 815-823. (SCIE) (IF: 1.353; SCI ranking: 92%,66.1%)
  
  
• [55]     Chou CI, Han RS and Li SP et al., 2003, “Guided simulated annealing method for optimization problems”, PHYSICAL REVIEW E, 67((6): Art. No. 066704 Part 2). (SCIE) (IF: 2.707; SCI ranking: 47.1%,17.9%)
  
  
• [56]     Li SP, Ng KL and Chung MC, 2003, “Quantitative linguistic study of DNA sequences”, PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, 321(1-2), 189-192. (SCIE) (IF: 3.778; SCI ranking: 33.7%)
  
  
• [57]     Li SP, 2002, “A guided Monte Carlo method for optimization problems”, INTERNATIONAL JOURNAL OF MODERN PHYSICS C, 13(10), 1365-1374. (SCIE) (IF: 1.353; SCI ranking: 92%,66.1%)