Representative Publications

Financial Engineering and Signal Processing

  • Penghui WANG, Lei SHI, Lan DU, Hongwei LIU, Lei Xu , Zheng BAO, (2011), "Radar HRRP statistical recognition with temporal factor analysis by automatic Bayesian Ying-Yang harmony learning ",  A special issue on Machine learning and intelligence science: IScIDE2010 (B), Journal of Frontiers of Electrical and Electronic Engineering in China 6(2) (2011) 300–317.
  • Zaihu PANG, Shikui TU, Dan SU, Xihong WU, Lei Xu , (2011), " Discriminative training of GMM-HMM acoustic model by RPCL learning",  A special issue on Machine learning and intelligence science: IScIDE2010 (B), Journal of Frontiers of Electrical and Electronic Engineering in China 6(2) (2011) 283–290.
  • Shi L, Wang P., Liu H., Lei Xu , and Bao Z(2011), Radar HRRP Statistical Recognition With Local Factor Analysis by Automatic Bayesian Ying-Yang Harmony Learning, IEEE Trans. Signal Process., 2011, 59(2):610–617.
  • Shi, L., Wang, P., Liu, H., Lei Xu, & Bao, Z. (2010), Radar HRRP statistical recognition with local factor analysis by automatic Bayesian Ying Yang harmony learning, Proc. of 2010 IEEE Intl Conf. on ICASSP, Dallas, TX, USA, March 14 – 19, 2010, 1878-1881.
  • Tu, S., & Lei Xu (2010), A study of several model selection criteria for determining the number of signals, Proc. of 2010 IEEE Intl Conf. on ICASSP, Dallas, TX, USA, March 14 – 19, 2010, 1966-1969.
  • Su, D, Wu, XH, & Lei Xu (2010), GMM-HMM acoustic model training by a two level procedure with Gaussian components determined by automatic model selection, Proc. of 2010 IEEE Intl Conf. on ICASSP, Dallas, TX, USA, March 14 – 19, 2010, 4890-4893.
  • Kai-Chun Chiu, and Lei Xu (2004), ``Arbitrage Pricing Theory Based Gaussian Temporal Factor Analysis for Adaptive Portfolio Management", Special Issue on Data Mining for Financial Decision Making, The Journal of Decision Support Systems, pp 485- 500, 2004..
  • Kai-Chun Chiu, and Lei Xu (2004), ``NFA for Factor Number Determination in APT", International Journal of Theoretical and Applied Finance, pp 253-267, 2004.
  • Kei Keung Hung, Yiu-ming Cheung, and Lei Xu (2003), `` An Extended ASLD Trading System to Enhance Portfolio Management", IEEE Transactions on Neural Networks, Vol. 14, No. 2, 2003, 413-425.
  • Chiu KC and Lei Xu (2003), ``White noise tests and synthesis of APT economic factors using TFA", Computational Intelligence in Economics and Finance,S-H Chen and P Wang (Ed.), Series on Advanced Information Processing (series editor: L. Jain), Springer Verlag, 2003, pp. 405-419.
  • Chiu KC and Lei Xu (2003), ``Optimizing financial portfolios from the perspective of mining temporal structures of stock returns", Lecture Notes in AI, LNAI 2734, Proc. of 2003 Machine Learning and Data Mining in Pattern Recognition, P. Perner and A. Rosenfeld, eds., Springer Verlag, pp266-275.
  • Chiu KC and Lei Xu (2003), ``Stock forecasting by ARCH driven gaussian TFA and alternative mixture experts models", Proc. of 3rd International Workshop on Computational Intelligence in Economics and Finance (CIEF'2003), North Carolina, USA, September 26-30, 2003, pp 1096 -1099.
  • Chiu KC and Lei Xu (2003), ``On generalized arbitrage pricing theory analysis: empirical investigation of the macroeconomics modulated independent state-space model", Proceedings of 2003 International Conference on Computational Intelligence for Financial Engineering (CIFEr2003), Hong Kong, March 20-23, 2003, pp 139-144.
  • Tang, H, Chiu KC, and Lei Xu (2003), ``Finite Mixture of ARMA-GARCH Model For Stock Price Prediction", Proc. of 3rd International Workshop on Computational Intelligence in Economics and Finance (CIEF'2003), North Carolina, USA, September 26-30, 2003, pp.1112-1119.
  • Tang, H and Lei Xu (2003), ``MIXTURE-OF-EXPERT ARMA-GARCH MODELS FOR STOCK PRICE PREDICTION", Proc. of 2003 International Conference on Control, Automation, and Systems (ICCAS 2003), October 22-25, 2003 Gyeongju, KOREA, pp402-407.
  • Chiu KC and Lei Xu (2002), ``A comparative study of Gaussian TFA learning and statistical tests for determination of factor number in APT", Proceedings of International Joint Conference on Neural Networks 2002 (IJCNN '02), Honolulu, Hawaii, USA, May 12-17, 2002, pp 2243-2248.
  • Chiu KC and Lei Xu (2002), ``Stock price and index forecasting by arbitrage pricing theory-based gaussian TFA learning", Lecture Notes in Computer Sciences, Vol.2412, in H. Yin et al., eds., Springer Verlag, 2002, pp366-371.
  • Chiu KC and Lei Xu (2002), ``Financial APT-based gaussian TFA learning for adaptive portfolio management", Lecture Notes in Computer Sciences, Vol.2415, in J.R. Dorronsoro (Ed.), Springer Verlag, 2002, pp 1019-1024.
  • Chiu KC and Lei Xu (2001), ``Tests of Gaussian Temporal Factor Loadings in Financial APT", Proc. of 3rd International Conference on Independent Component Analysis and Blind Signal Separation, December 9-12, 2001 - San Diego, California, USA, pp313-318.
  • Lei Xu and Y.M. Cheung (1997), `` Adaptive supervised learning decision networks for trading and portfolio management", Journal of Computational Intelligence in Finance, Nov/Dec issue, pp11-16, Finance \& Technology Publishing, 1997.
  • Yiu-ming Cheung, W.M. Leung, and Lei Xu (1997), ``Adaptive Rival Penalized Competitive Learning and Combined Linear Predictor Model for Financial Forecast and Investment'', International Journal of Neural Systems, Vol.8, No.5&6, 1997.
  • Lei Xu and W.M.Leung (1998) , ``Cointegration by MCA and modular MCA", Proceedings of IEEE/IAFE 1998 International Conference on Computational Intelligence for Financial Engineering (CIFEr), March 29-31, New York City, pp157-160.
  • Lei Xu, and Yiu-ming Cheung (1997), ``Adaptive Supervised Learning Decision Networks for Traders and Portfolios", Proceedings of IEEE/IAFE 1997 International Conference on Computational Intelligence for Financial Engineering (CIFEr), March 23-25, New York City, pp206-212.
  • Lei Xu(1995), ``Channel Equalization by Finite Mixtures and The EM Algorithm", Proc. of IEEE Neural Networks and Signal Processing 1995 Workshop, Vol.5, pp603-612, August 31 - September 2, 1995, Cambridge, Massachusetts, USA.
  • Lei Xu (1994), ``Signal Segmentation by Finite Mixture Model and EM Algorithm", Proceedings of 1994 Intl. Symposium on Artificial Neural Networks, Dec. 15-17, Tainan, Taiwan, pp453-458.
  • Leung,W.M, Y. M. Cheung and Lei Xu,(1997), `` Application of mixture of experts models to nonlinear financial forecasting", {\em Nonlinear Financial Forecasting: Proceedings of the First INFFC, R.B.Caldwell ed, Finance \& Technology Publishing, pp153-168, 1997.
  • Yiu-ming Cheung, Zhihong Lai and Lei Xu (1996), ``Adaptive Rival Penalized Competitive Learning and Combined Linear Regressions with Application to Finacial Investment", Proceedings of IEEE/IAFE 1997 International Conference on Computational Intelligence for Financial Engineering (CIFEr), march 24-26, New York City, pp141-147.
  • Cheung, Y.M, Leung,W.M, and Lei Xu (1996),``Combination Of Buffered Back-propagation And RPCL-CLP By Mixture-of-Experts Model For Foreign Exchange Rate Forecasting", Neural Networks in Financial Engineering: Proc. of 3rd Intl Conf. on Neural Networks in the Capital Markets, Oct.11-13, London, UK, 1996, World Scientific Pub, pp554-563.