Manuscript Topics

With the deepening of economic financialization and financial liberalization, finance has gradually become the core of modern economy. Financial market is an open and complicated system, with some significant features. First, the nonlinearity. Subsystems like capital market, monetary market, forex market, credit market are interrelated. The overall effect is amplified by the positive and negative feedback effect of financial activities, rather than the superposition of subsystems. Second, the accumulative effect. Small initial changes will be rapidly amplified with the evolution of system, and eventually lead to essential changes. Third, the aperiodicity. Its evolutionary path is disorderly and irregular. Lessons learned from past crises are not enough to prevent contagion from a new one. Forth, the self-organization. Subjects in the financial market will spontaneously make similar choices in the face of crisis, resulting in collective behaviors are likely to accelerate the spread of crisis. Fifth, the dynamics. Financial market is always in the process of development and change, constantly exchanging materials, information and energy with the outside world and improving its structure in regression and deviation from local equilibrium. Due to the complexity of financial market, traditional financial econometrics cannot well explain its complicated phenomenon. New mathematical and statistic methods should be involved.

This special issue focuses on introducing new methods of mathematics and statistics to traditional financial econometrics. We hope this special issue can provide a platform for authors to discuss the possibility to involve any new mathematical and statistic methods into financial econometrics and solve problems rising from the financial market. Topics of interest include (but are not limited to):

• Mathematical finance and market microstructure.
• Computational finance and asset pricing.
• Statistic models in finance.
• Financial markets and market competition.
• Emerging market.
• Energy finance and energy markets.
• Financial risk contagion, crisis prediction and interdependence.
• Investor sentiment and herd behavior.
• Statistical learning and financial market forecasting.
• Portfolio selection.
• Systemic risk and its prediction.

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