HOME Recent Events RMI in the News ALUMNI
  Issue 6 | Archive  

February 2011

RMI Joint Seminars
November 2010

On November 18, Prof. Li Yuying from the School of Computer Science in University of Waterloo gave a talk at RMI's Joint Seminar with the Centre for Computational Science and Engineering. She described market price and impact models which have been proposed to develop optimal execution algorithms after the U.S. market Flash Crash on May 6, 2010. Prof. Li also presented to the audience the properties of the resulting execution algorithms and proposed a computational method to compute optimal profile executions strategies under a CVaR measure for execution risk.

Separately, on November 24, Prof. Nancy Wallace from the University of California, Berkeley, presented a seminar which was jointly organized by RMI and Institute of Real Estate Studies on the topic related to the Energy Factors, Leasing Structure and the Market Price of Office Buildings in the U.S. She presented an empirical analysis of the relationship between energy factor, markets, leasing structure and the transaction prices of office buildings in the U.S. using a large sample of 15,230 office building transactions that occurred between 2001 and 2010. Prof. Wallace's findings have important implications for underwriting commercial mortgages.

Sparse High-Dimensional Statistical Models in Economics and Finance
November 2010

On November 22 and 29, Frederick L. Moore'18 Prof. of Finance Fan Jianqing from Princeton University gave a two-part pedagogical lecture on the sparse high-dimensional statistical models in economics and finance where ultrahigh-dimensionality characterizes many contemporary statistical problems from genomics and genetics to finance and economics. He focused on a two-scale framework: large scale screening and moderate selection. He also discussed the empirical application of his method in forecasting home price indices at the zip code level. RMI's affiliated researchers as well as students from Department of Statistics and Applied Probability attended these talks.

RMI Workshop Series
December 2010

On the December 3, Prof. Lai Tze Leung from the Department of Statistics at Stanford University and Prof. Wong Hoi Ying from The Chinese University of Hong Kong presented at RMI's monthly research workshop.

Prof. Lai presented the overview of classical theories and empirical methods for option pricing and hedging without transaction costs. Then, he reviewed developments in option pricing and hedging in the presence of transaction costs.

Separately, Prof. Wong spoke on mean-variance profile selection of co-integrated assets. He modeled the asset price dynamics as the diffusion limit of the co-responding discrete-time error correction model of the co-integrated time series. Prof. Wong also proposed to simultaneously measure the departure level of co-integrated pair from equilibrium and the mean-reversion speed based on the mean-variance paradigm.

Both of the lectures were attended by graduate students, RMI affiliated researchers and faculties from NUS.

Optimization and Statistics
January 2011

On January 12, RMI and the Department of Decision Sciences conducted a joint seminar which featured Prof. Terry Rockafellar from Department of Mathematics at University of Washington. Prof. Rockafellar proposed that much of statistics is concerned with estimating the values of uncertain quantities from available data, whether historical or experimental. The estimates can be obtained by minimizing some error expression and fall, therefore, into specially structured category of optimization. He also mentioned that in applications of optimization more generally, the objectives or constraint functions may depend on databases and require statistical methodology to be pinned down in tractable form. About 40 academics and students from various NUS departments attended the talk given by this world-renowned scientist.

Back To Newsletter

Published quarterly by Risk Management Institute, NUS
Editor: Ivy Wang (rmiwy@nus.edu.sg)