山西大学2014年统计会议

Keynote reports

发布时间：2014-08-07 09:19:00 发布者：阅读次数：

大会主题报告一： Topic: 金融大数据与资产定价及风险管理 Reporter：Prof. Wei Zhang，Tianjin University 张维天津大学
摘要：在互联网时代，金融数据远远超出了金融学的传统范畴，演化成为金融大数据，从扩展信息来源渠道和处理方式、金融风险管理流程模式变革等方面强化了传统金融投资技术和模式，进而影响金融机构和整个体系的运行规律。同时，金融大数据还使异质金融市场参与者面临着一种全新的“复杂信息环境”，进而改变了大量异质金融市场参与者的信息搜索、加工和传播行为，左右其微观金融决策行为；而这些异质市场参与者微观行为变化对金融资产的价格形成和风险特征将产生重要的影响，引申出对于金融学中最核心的问题——金融资产定价和风险管理——的科学规律进行新探索的需求。此外，金融大数据更加深刻地揭示了金融市场的复杂系统本质，引发了从一个不同于传统金融学的视角来认识金融市场中的动态演化规律，这样的研究将推动人类对于复杂金融市场本质规律的新认识，为实务界提供新的分析工具和技术，提高其金融创新和服务的效率、防范金融风险的能力。本报告将主要从以上角度来认识在大数据背景下金融资产定价和风险管理面临的一些新的科学问题。张维，现任天津大学管理与经济学部主任。1997年获国家教育部“跨世纪优秀人才”称号，1999年获国务院政府特殊津贴。主要科研方向涉及金融风险管理、资产定价、计算实验金融和中小企业融资等。在长期研究工作中，完成国家自然科学基金等各类科研项目30余项，发表高水平科研论文300余篇。出版《计算实验金融研究》专著1部。获得省部级以上科研奖励4次。目前担任社会专业团体协会职务主要有：中国系统工程学会副理事长、金融系统工程专业委员会副主任，中国管理现代化研究会副理事长等学术职务。
大会主题报告二： Topic: The Role of Stock Price Level in the Governance of Innovation Reporter： Prof. Ji-Chai Lin，Louisiana State University，USA
Abstract：Brandt et al. (2010) show that stocks with lower price levels have higher price volatility because they attract more speculative trading by retail investors. Motivated by their finding, we hypothesize that keeping high stock price levels allows firms to limit speculative traders to influencing stock prices and thus to mitigate investor short-termism, which leads to enhance innovation. Indeed, we find that it is high-priced firms that are less likely to cut R&D to reverse an earnings decline, less likely to fire their CEOs, and have more innovation, instead of those with high institutional ownership as previous studies have claimed. For robustness checks, we examine stock splits, which allow mangers to re-set their stock price levels, and IPOs in which managers set an offering price range before shares are publicly traded. Consistent with our hypothesis, we discover that innovative firms are less likely to split their stocks, and that innovation declines after firms split their stocks. Furthermore, IPO firms setting higher offering prices, not those attracting more institutional ownership, have more future innovation. Thus, our results imply that, rather than being “forced” or “assured” by institutional investors to innovate as the extant literature suggests, managers of innovative firms actively set high stock price levels to foster innovation. Dr. Ji-Chai Lin is the holder of Lloyd F. Collette Endowed Chair of Financial Services and Profe ssor of Finance at LSU. He has a broad range of research interests, particularly in Investments, Corporate Finance, Market Microstructure, Investor Behavior, Market Efficiency, Analyst Recommendations, and IPOs. Dr. Lin has published his research in the prestigious research journals in the finance discipline, including the Journal of Finance, Journal of Financial Economics, Review of Financial Studies, Journal of Financial and Quantitative Analysis, Journal of Corporate Finance, Financial Management, Journal of Financial Markets, and Journal of Banking and Finance. He is an Associate Editor of Asia-Pacific Journal of Financial Studies and Review of Pacific Basin Financial Markets and Policies, and on the advisory board of Annals of Financial Economics and the editorial board of Journal of Financial Studies.
大会主题报告三： Topic: Rank Dependent Utility and Risk Taking Reporter： Prof. Xunyu Zhou，Mathematical Institute University of Oxford，UK； Chinese University of Hong Kong，HK
Abstract：We analyze the portfolio choice problem of investors who maximize rank dependentutility. We propose a new notionof less risk taking: choosing optimal terminal wealth that pays off more in badstates and less in good states of the economy. We prove that investors with aless risk averse preference relation in general choose more risky terminal wealth,receiving a risk premium in return for accepting conditional-zero-mean noise(more risk). Such general comparative static results do not hold for portfolioweights, which we demonstrate with a counter-example in a continuous-timemodel. This in turn suggests that our notion of less risk taking is more meaningfulthan the traditional notion based on holding less stocks. This is a joint work with Xue Dong He and Roy Kouwenberg. Xunyu Zhou is currently Choh-Ming Li Professor of Systems Engineering and Engineering Management at the Chinese University of Hong Kong and the Nomura Professor of Mathematical Finance at University of Oxford. His primary research areas are mathematical finance and stochastic control, and he has engaged in quantitative behavioral finance research lately. He is an IEEE Fellow, a Humboldt Distinguished Lecturer, and recipient of Royal Society Wolfson Award, SIAM Outstanding Paper Prize and Croucher Senior Research Fellowship. He has been on the editorial boards of many top-tier journals.