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  Issue 24 | Archive August 2015

RMI Research Seminar
5 May 2015

On 5 May 2015, Dr. Luis Goncalves-Pinto, Assistant Professor from the Department of Finance at NUS Business School, held a research seminar on ¡°Informed Trading or Limits to Arbitrage: When Do Option Prices Predict Stock Returns?¡± He discussed some strategies to option prices and stock trading based on the fact that stocks with expensive calls outperform stocks with expensive puts by about 2% per month. In their research, he and his co-authors show that this strategy is dependent on the state of the market.

Dr. Goncalves-Pinto is also an affiliated researcher with RMI. The seminar was attended by researchers from both RMI and other NUS faculties.

RMI Research Seminars
19 June & 22 July 2015

Two visiting professors held research seminars at RMI, in the months of June and July. Prof. Liu Hong hosted a seminar about the uniqueness of the US Dollar, on 19 June 2015. Prof. Liu discussed the characteristic of the US dollar of appreciating against other currencies, even when the US economy is experiencing ¡°crisis¡± or ¡°bad shocks¡±, whereas other currencies actually depreciate against the US dollar if their countries experience crisis. He also talked about some other unique properties of the US dollar and stated that he and his fellow researchers propose a simple safe-haven based equilibrium model to help explain the uniqueness of the U.S. dollar.

On 22 July 2015, Prof. Michael Sobel gave a talk titled, ¡°Does Marriage Boost Men¡¯s Wages?: Identification of Causal Parameters from Fixed Effects Regression Models for Panel Data.¡± He explained the studies conducted on the correlation of marriage and men¡¯s wages often have inconclusive data and this is due to the use of inefficient methods of modelling data. His recent research draws on current statistical work on causal inference to help researchers use appropriate models.

RMI Research Seminar
28 July 2015

On 28 July 2015, Prof. Arthur P. Dempster, Professor Emeritus in the Harvard University Department of Statistics, held a research seminar at RMI where he discussed two of his old research papers and their future relevance. His talk focused on the evolution of the Dempster-Shafer (DS) system for probabilistic reasoning. Prof. Dempster discussed the first phase of developing the DS system in the 1960s and its new applications and increasing computational feasibility today.

Prof. Dempster, 86, joined Fred Mosteller and Bill Cochran in the new Harvard Statistics Department in 1958 where he supervised about 50 PhD theses over a long career.

MFE Class of 2015
13 July 2015

On 13 July, RMI hosted a graduation dinner for around 35 Master of Science in Financial Engineering (MFE) graduates of 2015 at the University Club. The students, faculty, and staff enjoyed the dinner table conversation of their MFE journey and shared memories.

The class of 2015 consisting of 86 graduates, who had their Commencement Ceremony on 10 July, consists of local, international, part-time, and full-time students. They joined the proud network of over 800 MFE alumni that currently hold various positions across the financial industry both locally and internationally.

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Published quarterly by Risk Management Institute, NUS
Editor: Shivani Nakhare (rminsr@nus.edu.sg)