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RMI Hosts the 3rd PKU-NUS Annual International Conference on Quantitative Finance and Economics
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On 12 and 13 May 2018, RMI collaborated with Peking University’s (PKU) HSBC Business School, the Key Laboratory of Mathematical Economics and Quantitative Finance, and Guanghua School of Management and NUS’s Centre for Quantitative Finance to host the Third PKU-NUS Annual International Conference on Quantitative Finance and Economics. The conference took place at PKU’s Beijing campus with over 120 participants, including members from the industry, academia as well as students. This conference featured a two-day scientific program, which followed the format of an academic conference. The line-up of 37 paper presentations featured topics such as actuarial science, algorithmic trading, computational finance, financial modelling, governance, liquidity and credit risk, as well as macro, micro, and monetary economics among others. The conference organizing and scientific committee consists of program co-chairs, from NUS and PKU, including, Xue Cheng, Yangbo He, Chenxu Li, Lan Wu, and Jingping Yang of PKU Beijing Campus, Min Dai and Steven Kou of NUS, and Chia-Shang Chu, Young Joon Park, Ting Ren and Thomas Sargent of PKU’s HSBC Business School in Shenzhen.
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Day one of the conference was kick-started by opening remarks from Prof. Dayue Chen, Dean of School of Mathematical Sciences, PKU, Prof. Steven Kou, Director of RMI, NUS, and A/P Ting Ren, Associate Dean of PKU’s HSBC Business School. This was followed by a plenary talk by Prof. Jean-Pierre Fouque of University of California Santa Barbara who talked about, “Optimal Portfolio under Fractional Stochastic Environment.” The rest of the morning featured the first session of scientific paper presentations by international experts in the field of quantitative finance and economics. Comprising a total of eight presentations over two simultaneous tracks, the topics ranged from robo-advising, asset allocation, risk management, to the role of financial intermediaries, and predictive power of macroeconomics. The afternoon of day one began with the second plenary talk by Prof. Pengfei Wang of The Hong Kong University of Science and Technology, who gave the audience an insight into “Asset Bubbles and Monetary Policy.” Following this, the conference split into two tracks for sessions two and three of the scientific paper presentations, featuring 15 talks. The topics covered in these two sessions included stock price prediction, volatility model, EM algorithm and stochastic control, and pricing American options among others. Day two of the conference began with a plenary talk on “Optimal Investment Strategies for Power Generation: The Value of Green Energy” by Prof. Jerome Detemple of Boston University. His talk was followed by another two sessions consisting of 14 presentations of research papers, over two concurrent tracks. Some of the topics included valuation of asset loans with regime switching, portfolio optimization with delay factor models, top incomes and relative inequality curves, and regime-switching herd behaviour among others. “I find the conference very enlightening and interesting. The array of topics discussed were very relevant to the developments in the field today,” said one of the participants at the conference. This conference has further established RMI’s presence in the Chinese academia and fostered RMI’s collaboration with Peking University’s HSBC Business School, its partner university for the Master of Science in Financial Engineering (MFE) Double Degree Program.
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