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报告题目：Price Interpretability of Prediction Markets: A Convergence Analysis主讲人：上海财经大学高建军副教授时间：2022年11月2日（星期三）上午9:30--10:30地点：腾讯会议113-626-188主办单位：金融工程研究中心报告摘要：Prediction markets are long known for prediction accuracy. However, there is still a lack of systematic understanding of how prediction markets aggregate information and why they work so well. This work proposes a multivariate utility (MU)-based mechanism that unifiesseveral existing prediction market-making schemes. Based on this mechanism,
题目：Strategic Investment under Uncertainty: First-mover, Second-mover, and State-contingent Advantages报告人：戴民香港理工大学讲席教授时间：2022.10.07(周五) 15:00-16:30地点：金融工程研究中心105腾讯会议：827-745-379 会议密码：202210摘要：We develop a duopoly real-option entry game model with the first-mover, second-mover, and state-contingent advantages. The model can be described by a variational inequality, through which we fully characterize both mixed-strategy and pure-strategy equilibria. Moreover, we develop a separation principle to d
报告人：端木昊随（哈尔滨工业大学）时间：2022年9月20日9:30-10:30地点：金融工程研究中心105学术报告厅报告题目：Applications of Nonstandard Analysis in Economics, Probability and Statistics摘要：Nonstandard analysis, a powerful machinery derived from mathematical logic, has had many applications in various areas of mathematics such as probability theory, stochastic processes, mathematical physics, functional analysis, and mathematical economics. Nonstandard analysis allows construction of a single object—a hyperfinite probability space—which sat
报告题目：Large ranking games with diffusion control主讲人：新加坡国立大学周超副教授时间：2022年8月26日（星期五）上午10:30--11:30地点：https://meeting.tencent.com/dm/NxS8WhSNdehj报告摘要：We consider a symmetric stochastic differential game where each player can control the diffusion intensity of an individual dynamic state process, and the players whose states at a deterministic finite time horizon are among the best alpha of all states receive a fixed prize. Within the mean field limit version of the game we compute an explicit equili
报告题目：Optimal liquidation using after-hours fixed-price trading主讲人：南京大学杨念教授时间：2022年7月20日（星期三）上午9:30--10:30地点：https://meeting.tencent.com/dm/dYua9k7qHFzz主办单位：金融工程研究中心报告摘要：The after-hours fixed-price (AHFP) trading mechanism exists in exchanges such as TWSE, SSE STARMarket, SZSE ChiNext Market, and Nasdaq, which allows investors to trade at the closing price afterthe regular trading session. In this paper, we consider an investor’s liquidation problem using the twosessions in the exchange: the AHFP
题目：Quantitative Investing and Price Informativeness报告人：何学中教授，西交利物浦大学时间：2022.06.21周二) 09:30-10:30地点：金融工程研究中心105腾讯会议ID：320-721-841摘要：When institutions cannot interpret price information perfectly,quantitative investing — trading strategiesbased on the information extraction from quantitative analysis of price — can affect price informativeness through two distinct economic mechanisms.Directly, it brings more informed capital with superior price information. Indirectly, due to common error in insti
题目：COVID-19 Puzzles: a Resolution报告 人：Jerome Detemple，Boston University时间：2022.05.13(周五晚上) 20:30-21:45 (Beijing time)Zoom ID:Meeting ID: 920 3418 2563Passcode: 027931报告摘要：This paper examines the economic impact of COVID-19 in an equilibrium framework. Our model combines two ingredients: (i) beliefs-dependent preferences for economic dynamics and (ii) stochastic SEIRD model with unpredictable birth and vaccine discovery events for disease propagation. We estimate the model based on economic time
报告题目：金融工程的应用与发展-兼论Sequential Compound Option与Complex Chooser Option主讲人：凯美瑞德（苏州）信息科技股份有限公司 李孟育博士时间：2022年5月6日（星期五）下午2:00--3:00地点：https://meeting.tencent.com/dm/8dlhxICEoGlh 主办单位：金融工程研究中心报告摘要：本演讲内容由金工应用分类开始讲起，内容涵盖以下几个部份:(1)基础期权应用，包括反向对角价差的损益两平价位求算，应用模型在场内期权套利的方法等(2)Sequential Compound Option在实物期权的应用(3)Complex Chooser Option定价与应用(4)发展趋势主讲人简介：李孟育博士现任凯美瑞德（苏州）信息科技股份有限公司研究部金融工程中心经理，台湾新竹交通大学信息管理博士(双辅修: 统计、应用数学)，杭州市上城区2018、2019年金融人才(E级)，浙江大学工程师学院兼职校外企业讲师、浙江财经大学硕士班研究生社会导师，原南华期货研究所高级副总裁、量化团队负责人，原台湾公立嘉义大学财务金
报告题目：An Investment Theory with Lags and Adjustment Costs主讲 人：香港科技大学蒋为教授时间：2022年5月10日（星期二）上午9:00--10:00地点：https://meeting.tencent.com/dm/aU6Bg97tjxeT主办单位：金融工程研究中心报告摘要：We propose a stochastic control model to study corporate investment with generalized investment frictions, including investment lags and various of adjustment costs. We find that the dominance of the “good news principle” or “bad news principle” is determined by the joint effect of investment lags and adjustment costs, reconciling t
报告题目：An Equilibrium Model for the Cross-Section of Liquidity Premia主讲人：香港中文大学杨晨教授时间：2022年4月6日（星期三）上午9:30--10:30地点：https://meeting.tencent.com/dm/olxYudSkPnbc主办单位：金融工程研究中心报告摘要：We study a risk-sharing economy where an arbitrary number of heterogenous agents trades an arbitrary number of risky assets subject to quadratic transaction costs. For linear state dynamics, the forward-backward stochastic differential equations characterizing equilibrium asset prices and trading strategies in this context
题目：Dynamic programming principle for a controlled FBSDE system and associated extended HJB equation报告人：杨淑振教授，山东大学 中泰证券金融研究院时间：2022.03.14(周一) 9:30-10:30地点：金融工程研究中心腾讯会议：790-909-509报告摘要：This paper investigates the dynamic programming principlefor a general stochastic control problem in which the state processes are described by aforward-backward stochastic differential equation (FBSDE). Using the method of S-topology, we show that there exists an optimal control for the value function. Then a dynam
题目：Recent results on optimal portfolioliquidation报告人：Ulrich Horst，Humboldt-University Berlin时间：2022.02.24(周四) 16:30-18:00 (Beijing time)地点：金融工程研究中心Zoom ID: 67604990945 Code: 308957摘要：We review recent results on optimal portfolioliquidation in general stochastic settings. Starting with a brief review of single player models, we discuss both finite player models and mean-field game models. 报告人简介https://www.applied-financial-mathematics.de/ulrich-horst
题目：Liquidation games with self-exciting order flow报告人：Ulrich Horst，Humboldt-University Berlin时间：2022.02.25(周五) 16:30-18:00 (Beijing time)地点：金融工程研究中心Zoom ID: 67604990945 Code: 308957摘要：This talk will be on two models on liquidation games with self-exciting order flow where a large investor’s trading activity triggers child orders whose dynamics is described by a Hawkes process with exponential kernel.报告人简介https://www.applied-financial-mathematics.de/ulrich-horst
Title: Exploring intrinsic structured sparsity in convex composite programmingSpeaker：Dr. Meixia Lin, National University of SingaporeDate: 2022.02.12, 14:00-15:00腾讯会议：499-260-871Abstract:Convex optimization models have been widely used in many applications such as machine learning and data science. However, the huge computation for the involved potentially large-scale problems has prevented their deployments in resource-limited devices. In our work, we design efficient second-order algorithms f
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