科学研究
                                                                                                                ACADEMIC RESEARCH
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                                                                                                                The Ninth Workshop on Finance, Insurance, Probability and Statistics

                                                                                                                 

                                                                                                                The Ninth Workshop on Finance,

                                                                                                                Insurance, Probability and Statistics

                                                                                                                 

                                                                                                                 

                                                                                                                Conference Guide

                                                                                                                 

                                                                                                                 

                                                                                                                 

                                                                                                                 

                                                                                                                 

                                                                                                                Fudan-Stanford Institute for China Financial Technoloy and Risk Analytics, Fudan University

                                                                                                                School of Economics, Fudan University

                                                                                                                Institute for Financial Studies, Fudan University

                                                                                                                 

                                                                                                                 

                                                                                                                June 15-16, 2019

                                                                                                                 

                                                                                                                Shanghai · China


                                                                                                                 

                                                                                                                Introduction of the Ninth IMS-FIPS:

                                                                                                                The Ninth IMS-FIPS workshop will be held in Shanghai on June 15-16, 2019. The primary purpose of the Ninth IMS-FIPS workshop is to bring together a global cast of leading experts and junior researchers from academia, industry and government, to this workshop, held annually since 2011 and sponsored by Institute of Mathematics and Statistics (IMS) that underscores the contributions, to Finance (F) and Insurance (I), of Probability (P) and Statistics (S), hence IMS-FIPS. It is held as a satellite workshop of this year's annual conference of the Society of Financial Econometrics held at Fudan University.

                                                                                                                 

                                                                                                                Conference Chairs:

                                                                                                                Tze Leung Lai, Stanford University

                                                                                                                 

                                                                                                                 

                                                                                                                Program Committee:

                                                                                                                Tze Leung Lai, Stanford University 

                                                                                                                Qingfu Liu, Fudan University

                                                                                                                Marcel Nutz, Columbia University

                                                                                                                Phillip Yam, The Chinese University of Hong Kong

                                                                                                                 

                                                                                                                 

                                                                                                                Organizations:

                                                                                                                Fudan-Stanford Institute for China Financial Technology and Risk Analytics, Fudan University

                                                                                                                School of Economics, Fudan University

                                                                                                                Institute for Financial Studies, Fudan University

                                                                                                                Department of Statistics, Stanford University

                                                                                                                Department of Statistics, Columbia University

                                                                                                                Department of Statistics, The Chinese University of Hong Kong

                                                                                                                 

                                                                                                                 

                                                                                                                Contacts:

                                                                                                                If you have any questions, please contact Conference Manager: Mr. Chuanxin Sun. Email: siftra@fudan.edu.cn. Cell phone is 186-7877-8146.

                                                                                                                 

                                                                                                                 

                                                                                                                Keynote Speakers:

                                                                                                                 

                                                                                                                Robert Engle

                                                                                                                  

                                                                                                                 

                                                                                                                 

                                                                                                                Robert Engle, the Michael Armellino Professor of Finance at New York University Stern School of Business, was awarded the 2003 Nobel Prize in Economics for his research on the concept of autoregressive conditional heteroskedasticity (ARCH). He developed this method for statistical modeling of time-varying volatility and demonstrated that these techniques accurately capture the properties of many time series. Professor Engle shared the prize with Clive W. J. Granger of the University of California at San Diego.

                                                                                                                 

                                                                                                                Professor Engle is an expert in time series analysis with a long-standing interest in the analysis of financial markets. His ARCH model and its generalizations have become indispensable tools not only for researchers, but also for analysts of financial markets, who use them in asset pricing and in evaluating portfolio risk. His research has also produced such innovative statistical methods as cointegration, common features, autoregressive conditional duration (ACD), CAViaR and now dynamic conditional correlation (DCC) models.

                                                                                                                 

                                                                                                                He is currently the Director of the NYU Stern Volatility Institute and is the Co-Founding President of the Society for Financial Econometrics (SoFiE), a global non-profit organization housed at NYU. Before joining NYU Stern in 2000, Professor Engle was Chancellor's Associates Professor and Economics Department Chair at the University of California, San Diego, and Associate Professor of Economics at the Massachusetts Institute of Technology.

                                                                                                                 

                                                                                                                He received his bachelor of science in physics from Williams College and his master of science in physics and doctor of philosophy in economics from Cornell University. Born in Syracuse, NY, he grew up in Media, Pennsylvania, spent 25 years in San Diego, and now lives in New York.

                                                                                                                 

                                                                                                                Per Mykland

                                                                                                                 

                                                                                                                 

                                                                                                                Per Mykland is Robert M. Hutchins Distinguished Professor of Statistics and Finance at the University of Chicago, where he is also Scientific Director of the Stevanovich Center for Financial Mathematics. He is an Associate Member of the Oxford-Man Institute at the University of Oxford. He has held appointments at Oxford and Princeton.

                                                                                                                 

                                                                                                                Mykland’s main research interests are the statistics and econometrics for time dependent processes, including time series and and continuous processes. He is a leader in the field. Highlights include the development of likelihood and expansion methods for martingales (fair games), especially in the context of estimating equations. The results have wide application, including the construction of new nonparametric likelihoods in time series and survival analysis.

                                                                                                                 

                                                                                                                His recent focus is high-frequency data, mainly in finance. In one breakthrough, he has shown how to connect the analysis of such data with classical statistical techniques, using contiguity. He has contributed to the theory of estimation under microstructure, including the development of the two-scales and pre-averaging estimators of volatility and other intra-day quantities. He has also developed an approach for integrating statistical and market information in the pricing and hedging of options, with a particular view to hedging against statistical uncertainty. Most recently, he has developed the “observed asymptotic variance”, which sets nonparametric standard errors for estimators based on high frequency data.

                                                                                                                 

                                                                                                                A long-run research goal is for a unified theory of continuous-time finance and high-frequency data. The former reasons through hypothetical high-frequency data, but now these data are no longer hypothetical but very real.

                                                                                                                 

                                                                                                                Professor Mykland is Associate Editor for several journals, including the Journal of the American Statistical Association, and Journal of Financial Econometrics. He is a fellow of the Institute of Mathematical Statistics, the American Statistical Association and the Society for Financial Econometrics (SoFiE). He is a member of the Council of the SoFiE and has previously served on the Council of the Institute of Mathematical Statistics. Mykland is currently President of the Society for Financial Econometrics, from 2017 to 2019. He has supervised sixteen PhD students, who are now spread between academia and industry.

                                                                                                                 

                                                                                                                Hao Zou

                                                                                                                 

                                                                                                                 

                                                                                                                Dr. Hao Zou is currently Visiting Professor at Stanford University, Chair Professor and Vice dean at Fudan-Stanford Institute for China Financial Technology and Risk Analytics, Fudan University, and co-Founder/Technology Advisor of Tsimage Medical Technolgy and Abundy Inc, and CFO of Green Technology Bank. An expert in machine learning and quantitative analysis, he completed his PhD and MS in Electrical Engineering, MBA, and MA in Economics within three years. His recent research focuses on artificial intelligence, big data mining, and their applications in medical technology, finance, and other interdisciplinary areas.

                                                                                                                 

                                                                                                                He was a former global portfolio manager and permanent member of the Americas portfolio committee at PIMCO. Before that, he represented Stanford University in various national and international telecommunication standards committees and co-developed next-generation network standards to bring faster Internet to billions of users. He founded Abundy Inc. and joined Tsinghua University as a Chair Professor in 2016, and additionally serves as Director of the Center for Intelligent Medical Imaging and Health in the Research Institute of Tsinghua University in Shenzhen.

                                                                                                                 

                                                                                                                He was selected by the State Council of China as an "Eminent Young Overseas Chinese" under the age of 45 in 2015, and named to Forbes' "30 Under 30" finance list of "game changers under 30 transforming the world" in 2016, and World Economic Forum’s Global Young Leaders list in 2017.

                                                                                                                 


                                                                                                                Keynote Sessions

                                                                                                                 

                                                                                                                Date8:45-12:15 June 15, 2019 (Saturday)

                                                                                                                LocationXie Xide Hall, Center for American Studies, Fudan University, 680 Guoquan Road, Shanghai

                                                                                                                8:00-8:50

                                                                                                                Check-in Time

                                                                                                                Opening Session

                                                                                                                Chair

                                                                                                                Qingfu Liu Professor of Finance and Executive Dean of Fudan-Stanford Institute for China Financial Technology and Risk Analytics

                                                                                                                8:45-8:50

                                                                                                                Opening Speech

                                                                                                                Tze Leung Lai Professor of Department of Statistics, Stanford University, Director of Financial Risk and Modeling Institute, Fellow of Academia Sinica and American Academy of Mathematical Statistics

                                                                                                                8:50-9:00

                                                                                                                Welcome Remarks

                                                                                                                Shiyi Chen Distinguished Professor of Changjiang Scholar, Ministry of Education and Party Secretary of School of Economics and International School of Finance, Fudan University

                                                                                                                 

                                                                                                                Keynote Speech I

                                                                                                                Chair

                                                                                                                Zhengjun Zhang Professor and vice dean of Department of statistics, University of Wisconsin-Madison

                                                                                                                9:00-10:00

                                                                                                                Financial Volatility and Geopolitical Risk 

                                                                                                                Robert Engle Michael Armellino Professor of Finance at New York University Stern School of Business, American academy of arts and sciences, and the Nobel Prize winner in economics 

                                                                                                                 

                                                                                                                 

                                                                                                                Keynote Speech II

                                                                                                                Chair

                                                                                                                Ming Zheng Professor and Vice Dean of Department of Statistics, School of Management, Fudan University 

                                                                                                                10:00-11:00

                                                                                                                Nonparametric Standard Errors for High Frequency Data

                                                                                                                Per Mykland Distinguished Professor of Statistics and Finance, and Scientific Director of the Stevanovich Center, University of Chicago.

                                                                                                                11:00-11:15

                                                                                                                Photo and Coffee Break

                                                                                                                 

                                                                                                                Keynote Speech III

                                                                                                                Chair

                                                                                                                Chenghu Ma Professor of Finance, School of Management, Fudan University

                                                                                                                11:15-12:15

                                                                                                                Artificial Intelligence and Quantitative Investment

                                                                                                                Hao Zou Visiting Professor at Stanford University, Chair Professor and Vice dean at Fudan-Stanford Institute for China Financial Technology and Risk Analytics, co-founder of Tsimage Tech, and CFO of Green Technology Bank

                                                                                                                 

                                                                                                                 

                                                                                                                 

                                                                                                                 

                                                                                                                 

                                                                                                                Parallel sessions I

                                                                                                                Date14:00-17:00 June 15, 2019 (Saturday)

                                                                                                                LocationSecond Floor Guanghua Building, Fudan University, 220 Handan Road, Shanghai

                                                                                                                 

                                                                                                                Room 205: Finance and Insurance

                                                                                                                Session Chair

                                                                                                                Luyang Zhang, Fudan University

                                                                                                                14:00-15:20

                                                                                                                European Options: The DNA in Finance

                                                                                                                Chenghu Ma, School of Management, Fudan University

                                                                                                                 

                                                                                                                An Optimal Market Making Strategy

                                                                                                                Haksun Li, The NM FinTech LTD

                                                                                                                 

                                                                                                                15:20-15:30

                                                                                                                Coffee Break

                                                                                                                Session Chair:

                                                                                                                Zhongxiang Zhang, Tianjin University

                                                                                                                15:30-16:50

                                                                                                                The shortcomings of Shanghai's innovative economy: Based on venture capital viewpoint

                                                                                                                Luyang Zhang, Department of International Finance, Fudan University

                                                                                                                 

                                                                                                                The Framework of Digital Assets in Fintech

                                                                                                                George Xianzhi Yuan, Shanghai Lixin University of Accounting and Finance & Soochow University & Sun Yat-sen University

                                                                                                                 

                                                                                                                 

                                                                                                                Room 206: Probability and Statistics

                                                                                                                Session Chair:

                                                                                                                14:00-15:20

                                                                                                                 

                                                                                                                Jungong Xue, Fudan University

                                                                                                                Simulated Distribution Based Learning for Non-regular and Regular Statistical Inferences

                                                                                                                Zhengjun Zhang, Department of Statistics, University of Wisconsin-Madison

                                                                                                                 

                                                                                                                Hierarchical Electricity Time Series Prediction by Exploiting Aggregation Consistency

                                                                                                                Xiangdong Zhou, Research Center for Dataology and Data Science, Fudan University

                                                                                                                 

                                                                                                                 

                                                                                                                15:20-15:30

                                                                                                                Session Chair:

                                                                                                                15:30-16:50

                                                                                                                 

                                                                                                                Coffee Break

                                                                                                                Jiaqin Wei, East China Normal University

                                                                                                                Multilevel Monte Carlo Method for Path-Dependent Barrier Interest Rate Derivatives

                                                                                                                Jungong Xue, School of Mathematics, Fudan University

                                                                                                                 

                                                                                                                Clinical Design and Statistical Algorithms

                                                                                                                Yanyan Song, School of Medicine, Shanghai Jiaotong University

                                                                                                                 

                                                                                                                 

                                                                                                                Room 208: Big Data and Artificial Intelligence

                                                                                                                Session Chair

                                                                                                                Shih-wei Liao, Taiwan University

                                                                                                                14:00-15:20

                                                                                                                Why Can’t Three Decades of Research Fully Solve Consumption-Based

                                                                                                                Asset Pricing Puzzles? Evidence from Micro Consumption Data

                                                                                                                Gaosheng Ju, School of Economics, Fudan University

                                                                                                                 

                                                                                                                Blockchain and Smart Contract

                                                                                                                Shih-wei Liao, Taiwan University

                                                                                                                 

                                                                                                                15:20-15:30

                                                                                                                Coffee Break

                                                                                                                Session Chair:

                                                                                                                Xiangdong Zhou, Fudan University

                                                                                                                15:30-17:30

                                                                                                                Regression Analysis of Doubly Truncated Data

                                                                                                                Ming Zheng, Department of Statistics, Fudan University

                                                                                                                 

                                                                                                                Surprise Sampling An Optimal Subsampling Design

                                                                                                                Wen Yu, School of Managment, Fudan University

                                                                                                                 

                                                                                                                A Hypothesis for Market Crash

                                                                                                                Jian Sun, Department of International Finance, Fudan University

                                                                                                                 

                                                                                                                 

                                                                                                                Parallel sessions II

                                                                                                                Date8:30-12:00 June 16, 2019 (Sunday)

                                                                                                                LocationSecond Floor Guanghua Building, Fudan University, 220 Handan Road, Shanghai

                                                                                                                 

                                                                                                                Room 205: Finance and Insurance

                                                                                                                Session Chair

                                                                                                                Changyu Lu, Shanghai Lixin University of Accounting and Finance

                                                                                                                8:30-9:50

                                                                                                                The Risk-Return Tradeoff in China: Does the Market Stability Objective of Government Intervention Matter?

                                                                                                                Jing Yao, Fudan University

                                                                                                                 

                                                                                                                Engineer CEOs and Firm Innovation

                                                                                                                Yulin Feng, Shanghai University of Economics and Finance

                                                                                                                 

                                                                                                                9:50-10:00

                                                                                                                Coffee Break

                                                                                                                Session Chair:

                                                                                                                Zhongxin Ni, Shanghai University

                                                                                                                10:00-12:00

                                                                                                                Private Placement of Shares on Stock Price Volatility

                                                                                                                Changyu Lu, Shanghai Lixin University of Accounting and Finance 

                                                                                                                 

                                                                                                                Does the slope of implied volatility smile indicate a decline of stock market?

                                                                                                                Zhongxin Ni, School of Economics, Shanghai University

                                                                                                                 

                                                                                                                No Longer Riding Dirty: The Effect of Electric Vehicle Subsidies on Automobile Markets

                                                                                                                Yiping Song, School of Managment, Fudan University

                                                                                                                 

                                                                                                                Room 206: Big Data and Artificial Intelligence

                                                                                                                Session Chair

                                                                                                                Qingkui Li, Beijing Information Science and Technology University

                                                                                                                8:30-9:50

                                                                                                                Risk Prediction and It's Evaluation

                                                                                                                Kawai Tsang, Chinese University of Hong Kong (Shenzhen)

                                                                                                                 

                                                                                                                A Hybrid Approach for Financial Time Series Forecasting Based on EEMD, ARIMA and Taylor Expansion Using Tracking Differentiator

                                                                                                                Zhidan Luo, Department of Statistics, University of International Business and Economics

                                                                                                                 

                                                                                                                9:50-10:00

                                                                                                                Coffee Break

                                                                                                                Session Chair:

                                                                                                                George Xianzhi Yuan, Soochow University

                                                                                                                10:00-12:00

                                                                                                                Modeling Analysis and Synthesis of Dynamical Supply Chain Systems

                                                                                                                Qingkui Li, School of Automation, Beijing Information Science and Technology University

                                                                                                                 

                                                                                                                The Innovation of Fintech related to the Framework of SMEs Risk Assessment in Supporting

                                                                                                                George Xianzhi Yuan, Shanghai Lixin University of Accounting and Finance & Soochow University & Sun Yat-sen University

                                                                                                                 

                                                                                                                 

                                                                                                                Parallel sessions III

                                                                                                                Date13:30-17:00 June 16, 2019 (Sunday)

                                                                                                                LocationSecond Floor Guanghua Building, Fudan University, 220 Handan Road, Shanghai

                                                                                                                 

                                                                                                                Room 205: Finance and Insurance

                                                                                                                Session Chair

                                                                                                                Yuwei Zhao, Fudan University

                                                                                                                13:30-14:50

                                                                                                                Mean-Variance Portfolio Selection with Non-Negative State-Dependent Risk Aversion

                                                                                                                Jiaqin Wei, School of Finance and Statistics, East China Normal University

                                                                                                                 

                                                                                                                Financial Assets Allocation, Financial Income and Market Value in Non-financial Companies

                                                                                                                Jun Song, Department of International Finance, Fudan University

                                                                                                                 

                                                                                                                14:50-15:00

                                                                                                                Coffee Break

                                                                                                                Session Chair:

                                                                                                                15:00-17:00

                                                                                                                Jiaqin Wei, East China Normal University

                                                                                                                The Whittle Estimation for Heavy-tailed Data 

                                                                                                                Yuwei Zhao, Shanghai Center for Mathematical Sciences, Fudan University

                                                                                                                 

                                                                                                                 

                                                                                                                Measuring Banks Liquidity Risk: An Option-pricing Approach

                                                                                                                Liang He, Fudan University

                                                                                                                 

                                                                                                                Rapid Detection of Sparse and Temporal-Consistent Hot-spot

                                                                                                                Yujie Zhao, Georgia Institute of Technology

                                                                                                                 

                                                                                                                Room 206: Big Data and Artificial Intelligence

                                                                                                                Session Chair

                                                                                                                Zongxin Zhang, Fudan University

                                                                                                                13:30-14:50

                                                                                                                Probability Weighting and Asset Pricing

                                                                                                                Yun Shi, East China Normal University

                                                                                                                 

                                                                                                                Modeling for Quantitative Stock Selection

                                                                                                                Jinjin Hu, School of Management, Fudan University

                                                                                                                 

                                                                                                                14:50-15:00

                                                                                                                Coffee Break

                                                                                                                 

                                                                                                                 

                                                                                                                Session Chair:

                                                                                                                Xuening Zhu, Fudan University

                                                                                                                15:00-17:00

                                                                                                                Portal Nodes Screening for Large Scale Social Networks

                                                                                                                Xuening Zhu, School of Big Data Sciences, Fudan University

                                                                                                                 

                                                                                                                Multistage Inventory Strategy Based on Statistical Machine Learning

                                                                                                                Rong Ke, Department of Statistics, Shanghai University of International Business and Economics

                                                                                                                 

                                                                                                                Financial Structure, Economic Efficiency and Financial StabilityEmpirical Study Based on Emerging Markets Panel Data

                                                                                                                Zongxin Zhang, Institute for Financial Studies, Fudan University

                                                                                                                Donghen Lee, Institute for Financial Studies, Fudan University

                                                                                                                 

                                                                                                                 

                                                                                                                 

                                                                                                                 

                                                                                                                 

                                                                                                                The Location of the Keynote Sessions

                                                                                                                Xie Xide Hall, Center for American Studies, Fudan University, 680 Guoquan Road, Shanghai

                                                                                                                 

                                                                                                                 

                                                                                                                 

                                                                                                                The Location of the Parallel sessions

                                                                                                                Second Floor Guanghua Building, Fudan University, 220 Handan Road, Shanghai