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Research Seminar(2023.11.23): Digital Transformation, Green Innovation, and External Governance

Speaker: Hemei Li (Beijing Foreign Studies University)              
 

Time: 2023/11/23 20:00-21:00 (GMT+08:00) China Standard Time - Beijing

Click the link to join the webinar or to add it to your meeting list:
https://meeting.tencent.com/dw/BhvEMfWRBqzn

#TencentMeeting:639-967-776

Research Seminar(2023.11.23): Digital Transformation, Green Innovation, and External Governance

Speaker: Hemei Li (Beijing Foreign Studies University)              
Time: 2023/11/23 20:00-21:00 (GMT+08:00) China Standard Time - Beijing

Click the link to join the webinar or to add it to your meeting list:
https://meeting.tencent.com/dw/BhvEMfWRBqzn

#TencentMeeting:639-967-776

Research Seminar(2023.11.16): Change-Point Detection in the Conditional Mean-Variance Frontiers

Speaker: Yifan Zhang(Renmin University)              
Time: 2023/11/16 19:00-21:00 (GMT+08:00) China Standard Time - Hong Kong

Click the link to join the meeting or to add it to your meeting list:
https://voovmeeting.com/dm/8bGe0pbxJ4nt

#VooVMeeting:888-001-925

Research Seminar(2023.11.03):The idiosyncratic volatility puzzle in China: A spatial econometric approach     

Speaker: Bo Li (Beijing Foreign Studies University)              

Time: 2023/11/03  20:00-21:30 (GMT+08:00) China Standard Time -Beijing

Click the link to join the meeting or to add it to your meeting list:

https://meeting.tencent.com/dm/SmuxB7ccmJtY

#TencentMeeting:610-303-539

 

Research Seminar(2023.10.19): The conditional factor model based on weighted regressed PCA     

Speaker: Yuhao Mu (Renmin)              
Time: 2023/10/19  20:00-22:00 (GMT+08:00) China Standard Time -Beijing

Click the link to join the meeting or to add it to your meeting list:

https://meeting.tencent.com/dm/vJxneUZ9lkVU

#TencentMeeting:377-564-088

Research Seminar(2023.10.13, Friday): Recent developments on factor model

Speaker: Xiaohan Xue (Bath), Rongyu You (Renmin), and Yishen Liu (CUHK) 

Time: 2023/10/13 21:00-23:00 (GMT+08:00) China Standard Time -Beijing

Click the link to join the meeting or to add it to your meeting list:
https://meeting.tencent.com/dm/c25OeVcHhZyh

#TencentMeeting:862-632-012

Research Seminar(2023.10.5)

Topic: Maximum Likelihood Estimation and Inference on the Conditional Factor Model           

Speaker: Rongyu You, Renmin University of China

Time: 2023/10/5  20:00-21:30 (GMT+08:00) China Standard Time -Beijing

#TencentMeeting:922 177 081

Research Workshop on Empirical Asset Pricing (2023.4.15)                
Time: 2023/04/15 18:00-21:00 (GMT+08:00) China Standard Time - Hong Kong https://meeting.tencent.com/dm/cBjKHTZZuOZh

#TencentMeeting:584-819-505

                        6:00-6:30pm        Tiansong Zhao      Public Attention and Volatility
                        6:30-7:00pm        Yifan Zhou            Tail Risk Factor
                        7:00-7:30pm        Yishen Liu             IPCA and China Stock Market
                        7:30-8:00pm        Qiming Liu           Machine Learning and Institutional investors behaviors
                        8:00-8:30pm        Junxiang Zhang    Machine Learning and M&A
                        8:30-9:00pm        Gongrang Ma       Geopolitic Risk and Volitility

 

Research Workshop  (2023.4.4)

Topic: ChatGPT for Research by Yuhao Mu
Time: 2023/04/04 21:00-23:00 (GMT+08:00) China Standard Time - Hong Kong

Click the link to join the meeting or to add it to your meeting list:
https://meeting.tencent.com/dm/JkiiWrdFdKlV

#TencentMeeting:991-317-733

Research Workshop  (2023.1.14)

会议时间:2023/1/14 15:00-22:00 (GMT+08:00) 中国标准时间 - 北京https://meeting.tencent.com/dm/mTjp7v6clH6N#TencentMeeting:171-397-315

                                      Speaker                                            Topic

3:00-3:40pm(BJ time)      Shanglin Lu             Choosing your optimal portfolio with signals

4:00-4:40pm                  Yifan Zhang             Testing for changes in the conditional variance of stochastic discount factor

5:00-5:40pm                  Yuhao Mu                Uncertainty and future trends of carbon dioxide emissions

7:00-7:40pm                  Yaosong Zhan          Robust sparse index tracking portfolio

8:00-8:40pm                 Bo Li                        Purifying Factors by Functional PCA

9:00-9:40pm      Yurong You/XiaohanXue     Deep learning in the Chinese stock market

Workshop on random matrix theory and portfolio (2022.12.10-11)

会议时间:2022/12/10-11 14:00-22:00 (GMT+08:00) 中国标准时间 - 北京

https://meeting.tencent.com/dm/hkjsYAcoBUKL#腾讯会议:694-4649-2239

                                                         Speaker                     Topic

10-12-22   2:00-3:00pm(BJ time)        Shanglin Lu                Enhanced portfolio

                  3:00-4:00pm                  Yifan Zhang                Factor Timing

                  4:00-5:00pm                  Yuhao Mu                   Principal Portfolios

                  5:00-6:00pm                  Jietian Xu                   Optimal shrinkage of eigenvalues in the spiked covariance model

                 
                  7:00-8:00pm                  Yuqian Zhao               Asymptotics of eigenstructure of sample correlation matrices for high 

                                                                                         dimensional spiked model  

                  8:00-9:00pm                 Hemei Li                     Nonlinear Shrinkage of the Covariance Matrix for Portfolio Selection

                  9:00-10:00pm               Yaosong Zhan              Sparse Portfolios for High-Dimensional Financial Index Tracking


11-12-22  2:00-3:00pm(BJ time)        Shixuan Wang            Efficient Sorting: A More Powerful Test for Cross-sectional Anomalies

                 3:00-4:00pm                  Bo Li                           Interpreting Factor Model

                 4:00-5:00pm                  Yurong You                 Machine Learning and the Implementable Effcient Frontier

                 6:00-7:00pm                  Xiaohan Xue               Deep learning in asset pricing

                 7:00-8:00pm                  Lunyi Wang                Mean-Reverting Portfolio With Budget Constraint.

                 8:00-9:00pm                  Yao Wang                   Empirical Asset Pricing via Machine Learning



2022.11.5-6 Workshop: Demand system-based assets pricing model
Songrun He (University of Washington, St. Louis)
会议时间:2022/10/5-6 19:00-21:30 (GMT+08:00) 中国标准时间 - 北京https://meeting.tencent.com/dm/Y92NBvW60LOu#
腾讯会议:570-9818-0873


2022.11.5  Demand system-based assets pricing model: micro and macro elasticity
2022.11.6  
Demand system-based assets pricing model: fixed income, international markets and open questions


2022.10.23  Workshop: Minimum Variance Portfolio Optimization in the Spiked Covariance Model
Professor Zhenya Liu


会议时间:2022/10/23 20:00-22:00 (GMT+08:00) 中国标准时间 - 北京
https://meeting.tencent.com/dm/P9dzzqmwD8pl#
腾讯会议:998-979-516


2022.10.16  Workshop on optimal stopping time, finance, and economics
会议时间:2022/10/16 15:00-21:00 (GMT+08:00) 中国标准时间 - 北京
https://meeting.tencent.com/dm/0CJnvICfjjZh
#腾讯会议:399-943-942

2022.10.16  15:00-21:00 (BJ Time)
Section 1: Optimal stopping time and behavioral finance
3:00-3:30 pm                  Yao Wang      Asymmetric information and optimal bankruptcy timing
3:30-4:00 pm                  Sibo Zhao     Optimal stopping problem with anticipated utility
4:00-4:30 pm                 Yuqi Wang     Media sentiments and optimal IPO timing
4:30-5:00 pm         Tongyang Kong    Cognitive bias and optimal stopping
5:00-5:30 pm              Rongyu You      Realization utility with a reference point for mental account

Section 2: Optimal stopping time, finance, and Economics
7:00-7:30 pm               Yuhao Mu        Recent development in the optimal stopping methods
7:30-8:00 pm              Xuyuan Han     When did global warming start?
8:00-8:30 pm              Yaosong Zhan   When will China's GDP catch up with the US?
8:30-9:00 pm                Zhenya Liu       Quick detection: bull, bear, and sidewalk market?
2022.10.10-14  Workshop on random matrix and portfolio theory
Professor Zhenya Liu (Renmin and Aix-Marseille)
 
会议时间:2022/10/10-2022/10/14 19:00-22:00,  中国标准时间 - 北京,每天
https://meeting.tencent.com/dm/rNthw01gJ3lW
#腾讯会议:679-6818-1549

10月10日 7 pm-10 pm (Beijing time)

Lecture 1:Random matrix theory and portfolio theory: Introduction

10月11日 7 pm-10 pm (Beijing time)

Lecture 2: Wigner’s surmise and the joint pdf of the eigenvalues
Textbook: G. Livan, M. Novaes, and P. Vivo, Introduction to Random Matrices: Theory and Practice, Springer, 2018.

10月12日 7 pm-10 pm (Beijing time)

Lecture 3: The pdf of the largest eigenvalue and free probability
Textbook: G. Livan, M. Novaes, and P. Vivo, Introduction to Random Matrices: Theory and Practice, Springer, 2018.

10月13日 7 pm-10 pm (Beijing time)

Lecture 4: Estimation of mean and correlation matrix
Textbook: Feng and Palomar, A Signal Processing Perspective on Financial Engineering, now, 2015.

10月14日 7 pm-10 pm (Beijing time)

Lecture 5: Portfolio theory and optimization
Textbook: Feng and Palomar, A Signal Processing Perspective on Financial Engineering, now, 2015.

2022.9.17  Workshop on Statistical Factor Model
https://meeting.tencent.com/dm/ooEvLCKlvgAF
腾讯会议:300-662-061

Workshop on factor models (2022.9.17)

                                      Speaker                           Topic

6:00-6:30 pm(BJ time)   Yurong You          Instrument-based Factor Augmented VAR

6:30-7:00 pm                Yifan Zhang         Factor model and PCA

7:00-7:30 pm                YuhaoMu             Cross section returns of China, latent factors and IPCA

7:30-8:00 pm                Yaosong Zhan      High-dimensional factor models for stock returns

8:00-8:30 pm                Bo Li                    Multi-Factor Asset Pricing Modle on Functional Principal Component Analysis

8:30-9:00 pm                Ling Zhai             Consumption volatility on a high-frequency level

9:00-9:30 pm                Hemei Li              Three factor model for commodity futures: Evidence from China

9:30-10:00 pm               Zhenya Liu          Summary and future research plan

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