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RMI collaborated with Peking University’s (PKU) HSBC Business School, Key Laboratory of Mathematical Economics and Quantitative Finance and The HSBC Financial Research Institute at Peking University to host the Fourth PKU-NUS Annual International Conference on Quantitative Finance and Economics on 11 and 12 May 2019. The conference was held at PKU’s HSBC Business School, in Shenzhen, China with over 100 participants, including members from the industry, academia and students, in attendance The conference featured a two-day scientific program, which followed the format of an academic conference. The first day of the conference began with the opening remarks from A/P Ren Ting, Associate Dean of PKU HSBC Business School, Prof. Sun Yeneng, Acting Director of NUS RMI, and Prof. Yang Jingping, Associate Director of Key Laboratory of Mathematical Economics and Quantitative Finance, PKU. Prof. Thomas J. Sargent, Nobel Laureate, Professor of Economics at New York University, and Director of Sargent Institute of Quantitative Finance, Peking University, was invited to give a keynote lecture on “Risk, Uncertainty, Value, and Public Policy”. He talked about “uncertainty” and explained how the concept “entropy” is used to measure uncertainty. He further mentioned how uncertainty can affect public policies. This was followed by three sessions, which were split into two simultaneous tracks. In these three sessions, there were a total of 30 presentations of research papers on topics such as computational finance, financial modelling, mathematical economics, and microeconomics and portfolio selection. The highlights of the second day were two plenary talks in the morning that took place along with additional scientific paper presentations split into two concurrent tracks. The first plenary talk was given by Prof. Hong Yongmiao of Cornell University, who presented his paper on “Model Uncertainty, Model Instability and Time-Varying Model Averaging”. Prof. Hong pointed out that model averaging can effectively reduce prediction errors compared to traditional model selection methods. The second plenary talk was by Prof. Chew Soo Hong of NUS, who presented his paper on “Attitudes toward Ambiguity, Compound Risk, and Almost-Objective Uncertainty: Evidence and Theory”. In his talk, he mentioned that the main theories and research in the field of uncertainty are related to academic achievements from mathematical theories, experimental studies, and genetic perspective. The conference concluded with a session of the scientific paper presentations, where a total of eigth scientific paper presentations were presented on topics such as algorithmic trading, macroeconomics and monetary economics. This conference has also 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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