EVENT BRIEFINGS

RMI Co-hosts the 5th NUS-USPC Workshop on Machine Learning and Fintech

On 29 and 30 November 2017, RMI co-hosted the 5th NUS-USPC Workshop on Machine Learning and Fintech with Laboratoire de Probabilités, et Modèles Aléatoires at University Paris Diderot/Sorbonne Paris Cité and the Centre for Quantitative Finance (CQF) at NUS.

This workshop featured an overview of recent advances in machine learning and innovations in financial technology by experts, academics, and practitioners in fields such as finance, numerics, statistics and engineering/computer science. The speakers of this workshop came from various institutions in Europe as well as Singapore. These included French industry practitioners like Jean-Yves Audibert of Capital Fund Management, Benjamin Bruder of Lyxor Asset Management, and Stephan Clémençon of Telecom Paris, European scholars such as Gah-Yi Ban of London Business School, Stéphane Gaiffas of University Paris Diderot, Cyril Grunspan of ESILV, Arnulf Jentzen of ETH Zurich, Johann Lussange from École Normale Supérieure, and Mathilde Mougeot of LPMA and ENSIIE. NUS professors including Ying Chen, Steven Kou and Chao Zhou were also invited to speak at the event.

The Workshop contained a total of 13 talks and the topics included, sentiment analysis for online reviews with regularized text logistic regression, machine learning meets extreme value theory, statistical learning with Hawkes processes, aggregate weak predictions and rapture detections in financial time series, data science and asset management, machine learning and portfolio optimization, statistical and machine learning methods to model and forecast energy, deep learning-based approximation algorithms for partial differential equations, latest advancements in reinforcement learning, investment decisions and falling cost of data analytics, a theory of fintech, economics of bitcoin, and security and stability of blockchains.

Prof. Zhou Xunyu Speaks About Behavior Finance at RMI

On 9 January 2018, RMI hosted a research seminar by Prof. Zhou Xunyu, Liu Family Professor of Financial Engineering at Columbia University, titled “Investment and Behaviors.” According to Prof. Zhou, the key to be successful in financial investment is to understand what investment is about, to understand ourselves and to understand others. Prof. Zhou talk followed this sequences, as he explored the ways to achieve these understandings in the frameworks of both neoclassical and behavioral finance theories.

Following the research seminar, on 10 January 2018, Prof. Zhou also gave a pedagogical talk titled, “Who Are I: Intrapersonal Conflicts and Self Control.” The title of this talk contains a grammatical error, which Prof. Zhou stated is intentional, as it highlights the notion that an individual is most likely “dividual.” He explained this by saying that there exists different selves at different points in time who may not act consistently among themselves. This leads to time-inconsistent control and self-control problems. He presented several classes of time-inconsistent problems together with their economic motivations, highlighted the ways to address the time inconsistency, and provided solutions to some of these problems.

Prof. Zhou’s current research focuses on quantitative behavioral finance models that incorporate human emotions and psychology into financial decision makings, and on general time-inconsistent problems. Before joining Columbia in 2016, Prof. Zhou was the Nomura Professor of Mathematical Finance at University of Oxford, heading the Mathematical and Computational Finance Group and directing the Oxford-Nie Financial Big Data Lab.