Program of FERM2014

Updated on June 23, 2014

              (This is the last update. Any new updates will be distributed
at the symposium)

                                          (Chair’s name inside the parentheses)

Session names:

FM02-I01 Friday Morning Session 2^nd Round Invited Session # 01

FA03-I08 Friday Afternoon Session 3^nd Round Invited Session # 08

FA03-C01 Friday Afternoon Session 3^nd Round contributed Session # 01

SM03-I17 Saturday Morning Session 3^nd Round Invited Session # 17

SA05-I24 Saturday Afternoon Session 5th Round Invited Session #24

All other sessions are listed similarly.

Dinner: 19:00 Royal King Residence Hotel (Please bring your dinner coupon).

Friday, June 27, 2014

8:00-8:30 Registration (4th floor of Academic Hall)

8:30-9:00 Opening (Room 402, Academic Hall)

 Chair: Yang Liu

 Opening remarks:

1)       Junsheng Li, Vice President of Central University of Finance and Economics

2)       Jianqing Fan, Princeton University

3)       Rong Chen, CUFE and Rutgers University

9:00-9:45 Keynote Speech (Room 402, Academic Hall)

        Speaker: Lars Hansen, Misspecified recovery

        Chair: Rong Chen

09:45-10:30 Coffee/Tea Break

10:30-12:00 Session-FM02  

Invited Session-FM02-I01, Room 603

Title:  Financial Engineering and Statistical Modeling

  Organizer: Rong Chen, Rutgers University

      Chair: Feng Li, CUFE

·         Kanglin Huang, Financial engineering overview and risk management practices in China

·         Yi Tang, Introduction to enterprise-level derivatives modeling.

·         Zhongyan Zhu, Top financial institutions, net liquidity provision, and financial contagion.

Invited Session-FM02-I02, Room 604

 Title:  High Dimension Factor Pricing Models and Dynamic Volatilities   

  Organizer: Yang Liu, Central University of Finance and Economics

      Chair: Robert Kimmel, National University of Singapore

·         Christian Hafner, A new approach to high-dimensional volatility modelling.

·         Marc Halin, General dynamic factors and volatilities.

·         Jianqing Fan, Large panel test of factor pricing models.

Invited Session-FM02-I03, Room 702

 Title:  Risk and Regime Switching   

  Organizer: Jian Yang, University of Colorado Denver and Nankai University

     Chair: Jimmy Ran, Lingnan University in Hong Kong

·         Jian Yang, What makes safe-haven currencies? Evidence from conditional co-skewness.

·         Chih-Wei Wang, Financial crises, financing sources, and default risks.

·         Xiaoneng Zhu, Regime shifts in bond allocation.

Invited Session-FM02-I04, Room 706

 Title:  Statistical Methods in Econometric Modeling

  Organizer: Pingfang Zhu, Shanghai Academy of Social Sciences

      Chair: Fan Wallentin, Uppsala University

·         Yahong Zhou, Nonparametric identification and estimation of sample selection models under symmetry.

·         Pingfang Zhu, Broadband and economic growth: Evidence from China.

·         Xi Zhu, Questioning moral hazard in agricultural insurance: Non-evidence from a quasi-natural experiment on livestock insurance in China.

Contributed Session-FM02-C01, Room 602

 Title:  Nonparametric and Bayesian Inference in Econometric Models

  Chair: Yiming Chang, Beihang University

·         Huiying Wang, Optimal wavelet estimators for density derivative

·         Feng Guo, Estimate term structure of the U.S. treasury securities: An interpolation approach.

·         Elena Rivera-Mancia, Bayesian inference in Extreme Value Theory.

·         Shaobo Jin, Exploratory factor analysis via penalized maximum likelihood

12:00-13:30 Lunch ()

13:30-15:00 Session-FA03

Invited Session-FA03-I05, Room 603

 Title:  Advances in Multivariate Time Series Inferences

  Organizer: Qiwei Yao, LSE

     Chair: Jianqing Fan, Princeton University

·         Qiwei Yao, Segmenting multiple time series by a contemporaneous linear transformation.

·         Oliver Linton, Some approaches to nonparametric modelling of high dimensional time series.

·         Han Xiao, Generalized ARMA models with martingale difference errors.

Invited Session-FA03-I06, Room 604

Title:  Financial Time Series Analysis    

  Organizer: Min Chen, AMSS, Sinica, Beijing

      Chair: Hong Ji, Capital U. of Econ. and Busi.

·         Ke Zhu, A bootstrapped spectral test for adequacy in weak ARMA models.

·         Muyi Li, On mixture memory GARCH models.

·         Min Chen, Weighted least absolute deviations estimation for ARFIMA time series with finite or infinite variance.

Invited Session-FA03-I07, Room 702

Title:   Derivatives Modeling:  Selected Topics I

  Organizer/Chair: Yi Tang, Morgan Stanley

·         Songxi Chen, Extracting short rate information and market price of risk from bond prices.

·         Bjorn Flesaker, Positive interest revisited: Interest rate modeling in low rate environments.

·         Huining (Henry) Cao, Speculative innovation.

Invited Session-FA03-I08, Room 706

 Title:  Modeling Financial Crashes and Covariate-contingent Correlation

  Organizer: Zhengjun Zhang, University of Wisconsin

      Chair: George Jiang, Washington State University

·         Guofu Zhou, Taming momentum crashes: A simple stop-loss strategy.

·         Hao Zhang, Modeling the magnitude and frequency of extreme event.

·         Feng Li, Modeling covariate-contingent correlation and tail-dependence with copulas.

Contributed Session-FA03-C02, Room 602

 Title:  Structural Modeling and Inferences

  Chair:  Zixiong Peng, CUFE

·         Chunyan Huang, Analytic regularity for the derivative Ginzburg-Landau equation.

·         Bo Sun, Multiple positive solutions for a Sturm-Liouville-like boundary value problem.

·         Leming Qu, High dimensional copula density estimation by Archimedean copula mixture model.

·         Ludger Overbeck, Heterogeneous Archimedean copula and t-copula with application in credit portfolio modeling.

15:00-15:15 Coffee/Tea Break ( )

15:15-16:45 Session-FA04

Invited Session-FA04-I09, Room 603

 Title:  Statistical Methods in Financial Engineering   

  Organizer: Vladimir Spokoiny, Weierstrass Institute and Humboldt University Berlin

      Chair: Hansheng Wang, Peking University

·         Vladimir Spokoiny, Bernstein - von Mises Theorem for a quasi-posterior.

·         Denis Belomestny, Regression with errors in variables: Penalized maximum-likelihood approach.

·         Mayya Zhilova, Uniform confidence bands for generalized regression via multiplier bootstrap.

Invited Session-FA04-I10, Room 604

Title:  Functional and Non-causal Time Series

  Organizer: Zhengjun Zhang, University of Wisconsin

      Chair: Liang Peng, Fudan University and Georgia State University

·         Rong Chen, Convolutional autoregressive models for functional time series.

·         Richard Davis, Noncausal vector AR processes with application to economic time series.

·         Lei Shi, Comparison and selection of perturbation schemes in local influence for financial time series models.

Invited Session-FA04-I11, Room 702

Title:  Asset pricing and Macroeconomic Factors

  Organizer:  Robert Kimmel, National University of Singapore

     Chair:   Yazhen Wang, University of Wisconsin

·         Robert Kimmel, Estimation and testing of asset pricing models---asking the right question.

·         Jussi Keppo, The impact of Volcker rule on bank profits and default probabilities.

·         Nan Li, Measuring intangible capital with uncertainty.

Invited Session-FA04-I12, Room 706

 Title:  Dynamic Tail Event Management in Very High Dimensions

  Organizer/Chair: Wolfgang Haerdle, Humboldt-Universitat zu Berlin

·         Weining Wang, Dynamics of natural rate of unemployment: A structural forward looking approach.

·         Ying Chen, Adaptive functional autoregressive modeling for stationary and non-stationary functional data.

·         Lijian Yang, Oracally efficient estimation of autoregressive error distribution with simultaneous confidence band.

Contributed Session-FA04-C03, Room 602

 Title:  Optimal Portfolio Models

  Chair:  Feng Guo, CUFE

·         Yushan Xue, Innovative research of financial risk soliton prediction and control methods based on financial soliton theory and big data ideation.

·         Zixiong Peng, An optimization model of loan portfolio selection for commercial bank based on default risk under uncertain random environment.

·         Pei Pei, Backtesting portfolio value-at-risk with estimated portfolio weights.

·         Huihong Liu, Optimal composed investment strategies with sub-accounts for the social security fund.

·         Mengmeng Ao, Solving the Markowitz optimization problem: A tale of sparse solutions

16:45-17:00 Coffee/Tea Break ( )

17:00-18:30 Session-FA05

Invited Session-FA05-I13, Room 603

 Title:  Cloud Computing and Network Studies   

  Organizer: Yang Liu, Central University of Finance and Economics

     Chair: Han Xiao, Rutgers University

·         Ben-Chang Shia, The ERA of big data statistics: data mining in the cloud computing ERA.

·         Hansheng Wang, Estimating social intercorrelation with sampled network data.

·         Zhongyuan Zhang, Overlapping community detection in complex networks using symmetric binary matrix.

Invited Session-FA05-I14, Room 604

Title:  Derivatives Modeling:  Selected topics II   

  Organizer/Chair: Yi Tang, Morgan Stanley

·         Bingyi Jing, Modeling high-frequency financial data by pure jump processes

·         Chenxu Li, Estimating jump-diffusions using closed-form likelihood expansions.

·         Jian Sun, Implied remaining variances in derivative pricing.

Invited Session-FA05-I15, Room 702

Title:  High Dimensional Volatility Matrix Estimation and Inference   

  Organizer: Yazhen Wang, University of Wisconsin

      Chair: Song Xi Chen, Peking University and Iowa State University

·         Yingying Li, Statistical properties of microstructure noise and estimation of the integrated volatility.

·         Yazhen Wang, Asymptotic theory for large volatility matrix estimation based on high-frequency financial data.

·         Jian Zou, Statistical methods for large portfolio risk management.

Invited Session-FA05-I16, Room 706

 Title:  Advanced Models for Health Risk and Censored Data

  Organizer: Rong Chen, Rutgers University and CUFE

    Chair: Yong Zhou, Shanghai University of Finance and Economics

·         Wenjiang Fu, Why using standard population in age-standardization is a bad strategy - an illustration using us life insurance policy sales data and cancer mortality data.

·         Liuquan Sun, An additive-multiplicative means model for marker data contingent on recurrent event with an informative terminal event.

·         Yutao Liu, Nonparametric estimator of quantile residual lifetime for right censored data.

Contributed Session-FA05-C04, Room 602

 Title:  Operational Risk and CVaR

  Chair:  Elena Rivera-Mancia, McGill University

·         Yiming Chang, Research on identification of motor insurance frauds based on SVM.

·         Jie Li, Can complete sterilization sterilize completely?.

·         Shenghui Tong, How do powerful CEOs view dividends and stock repurchases? Evidence from the CEO pay slice (CPS).

·         Evgeny Bauman, CVaR and downside risk parity.

·         Mu Lin, Ruling out the uncertainty of fractal dimension estimated by box-counting method for river networks.

Saturday, June 28, 2014

08:30-09:15 Keynote Speech (Room 402, Academic Hall)

         Chair:  Zhengjun Zhang

09:15-10:45 Keynote Speech (Room 402, Academic Hall)

          Speaker: Weiying Zhang, Policy uncertainty and entrepreneurship

          Chair: Yangru Wu

09:45-10:30 Coffee/Tea Break

10:30-12:00 Session-SM03  

Invited Session-SM03-I17, Room 603

 Title:  Statistical Inference for High Frequency Volatilities and Option Pricing     

  Organizer: Ruey Tsay, University of Chicago

      Chair: Vladimir Spokoiny, Weierstrass Institute and Humboldt University Berlin

·         Dacheng Xiu, The idiosyncratic volatility puzzle: A reassessment at high frequency.

·         Tony Sit, Combining returns and option prices in empirical likelihood.

·         Yanqin Fan, Inference for subsets of partially identified parameters with an application to option pricing.

Invited Session-SM03-I18, Room 604

 Title:  Statistical Models and Estimation (in Chinese)

  Organizer/Chair: Hong Ji, Captial U. of Econ. and Busi.

·         Changsheng Dou, Low Mach number limit to solutions of compressible Navier-Stokes equations in bounded domain.

·         Guiping Tao, The robust decision models study under Knightian uncertainty.

·         Fei Ye, General relative error criterion and M-estimation.

Invited Session-SM03-I19, Room 702

 Title:  Empirical Asset Pricing   

  Organizer: Yangru Wu, Rutgers University and Central University of Finance and Economics

      Chair: Jian Yang, University of Colorado Denver and Nankai University

·         Feng Zhao, Cautious risk-takers: Investor preferences and demand for active management.

·         Yin Liao, Structural credit risk model with stochastic volatility: A particle-filter approach.

·         Yangru Wu, Exploiting closed-end fund discounts: The market may be much more inefficient than you thought?

Invited Session-SM03-I20, Room 706

Title:  Statistical Modeling for Volatility and Asset Allocation (in Chinese)

  Organizer: Qiwei Yao, LSE

     Chair: Zichuan Mi, Shanxi University of Finance and Economics

·         Rong Chen, Implied Hurst exponent and fractional implied volatility: A variance term structure model .

·         Zhongyi Zhu, Functional single-index model for volatility.

·         Liyan Han, International assets allocation via multi-stage stochastic programming.

Contributed Session-SM03-C05, Room 602

 Title:  Market Structure and Dynamic Study  

  Chair: Mengmeng Ao, Hong Kong University of Science and Technology

·         Tomohiro Ando, Multifactor asset pricing with a large number of observable risk factors and unobservable common and group-specific factors.

·         Li Zhang, Research on quantifying interest rate risk in the term structure perspective.

·         Ju Xiang, How credit default swaps increase credit risk via creditor’s safety covenant and debtor’s strategic debt service.

·         Yue Liu, Optimal stopping for selling a derivative based on a generalized Black-Scholes' model with regime-switching.

·         Yan Fang, The dynamic correlation between China's and U.S. stock market.

12:00-13:30 Lunch ()

13:30-15:00 Session-SA04

Invited Session-SA04-I21, Room 603

 Title:  Information Uncertainty and Market Risk

  Organizer: George Jiang, Washington State University

      Chair: Yangru Wu, Rutgers University and CUFE

·         Rui Zhong, Rollover risk and volatility risk in credit spread models: A unified approach.

·         Kevin X. Zhu, Information shocks and short-term market underreaction

·         George Jiang, Uncertainty creation and resolution: Evidence from the changes of VIX from “close-to-open” and “open-to-close”.

Invited Session-SA04-I22, Room 604

Title:  Statistical Modeling and Inference for Financial Time Series I   

  Organizer: Rong Chen, Rutgers University and CUFE

     Chair: Jianping Zhu, Xiamen University

·         Zongwu Cai, Testing instability of predictability of asset returns.

·         John Wei, The profitability premium: Macroeconomic risks or expectation errors?.

·         Lan Wu, Statistical models for financial investment strategy.

Invited Session-SA04-I23, Room 702

Title:  Statistics of High Frequency Financial Data

  Organizer: Per Mykland, University of Chicago

     Chair: Qi Li, Texas A&M, Capital U. of Econ. and Busi.

·         Christina Wang, Estimation of the leverage effect in jump processes.

·         Fangfang Wang, Realized periodogram-based estimation of integrated volatility in the presence of microstructure noise.

·         Xinghua Zheng, Efficient estimation of integrated volatility incorporating trading information.

Invited Session-SA04-I24, Room 706

Title: Statistics and Applications (in Chinese)

  Organizer/Chair: Hong Ji, Captial U. of Econ. and Busi.

·         Jingquan Liu, Identification of recession avoidance preferences and inflation avoidance preferences in central bank.

·         Jingyi Ma, A more efficient algorithm for regularization path of generalized linear models with group lasso penalties.

·         Juan Zhang, The application of generalized semi-parametric additive credit score model based on Group-LASSO method.

Contributed Session-SA04-C06, Room 602

 Title:  Financial Crisis, Inflation, Risk and Indexes

  Chair:  Yong Ma, Hunan University

·         Shijie Li, Financial crisis’ impacts on transactions of financial derivatives——A measurement based on grey forecast model.

·         Hao Liu, Modelling risk return relation using high frequency data: A new prospective from realized garch-nln model.

·         Andi Zheng, A comparison of the implicit cycles of gold and US dollar index.

·         Huijuan Wang, Human capital: net exporter or net importer?——study on analyzing of employment embodied in China’s international trade.

·         Di Hu, Inflation targeting applicable for China? --Study on emerging economies with synthetic control methods.

15:00-15:15 Coffee/Tea Break ( )

15:15-16:45 Session-SA05

Invited Session-SA05-I25, Room 603

Title:  Advanced Modeling of Nonlinear Financial Risks   

  Organizer: Yang Liu, CUFE

     Chair: Jianhua Guo, Northeast Normal University

·         Jiti Gao, Nonlinear predictive model and co-integration.

·         Yong Zhou, Some statistical models and inferences in measurement of financial risk and their applications.

·         Jianping Zhu, The research path to financial high-frequency data mining: An analysis and exploration based on statistics

Invited Session-SA05-I26, Room 604

Title:  Statistical Modeling and Inference of Financial Time Series II

  Organizer: Rong Chen, Rutgers University and CUFE

     Chair: Shenghui Tong, CUFE

·         Weixing Wu, Short- and long-run business conditions and expected returns.

·         Dong Li, Least absolute deviations estimation of double autoregressive models without strict stationarity constraints.

·         Hao Hu, Behavioral pattern modeling of a-share investors -- A big data and cloud computing approach based on WQUANT.

Invited Session-SA05-I27, Room 702

 Title:  Statistical Inference in High Dimension   

  Organizer: Hong Ji, Capital U. of Econ. and Busi.

      Chair: Liuquan Sun, Academy of Mathematics and System Sciences

·         Fan Wallentin, Asymptotic efficiency of the pseudo-maximum likelihood estimator in multi-group factor models with pooled data.

·         Zhaojun Wang, Outlier detection for high dimensional data.

Invited Session-SA05-I28, Room 706

Title:  Nonlinear Time Series and Inferences   

  Organizer/Chair: Qiwei Yao, LSE

·         Yundong Tu, Functional moving average model.

·         Enno Mammen, Asymptotics for stochastic volatility models with application to the parametric GARCH-in-mean model.

·         Charlie Hu, Nonparametric eigenvalue-regularized precision or covariance matrix estimator".

Contributed Session-SA05-C07, Room 602

 Title:  Regressions, Transform, and Structures (in Chinese)

  Chair: Jingyi Ma, CUFE

·         Yong Ma, Pricing synthetic CDO with MGB2 distribution

·         Limin Liu, The generalized Riesz transform.

·         Meijuan Zhang, Branching structure for the transient random walk in random environment on a strip.

·         Naihui Chen, Black-Scholes partial differential equation in Asia type with arithmetic mean .

16:45-17:00 Coffee/Tea Break ( )

17:00-18:30 Session-SA06

Invited Session-SA06-I29, Room 603

Title:  Robust Methods in Estimating Financial Econometric Models

  Organizer: Qi Li, Texas A&M, Capital U. of Econ. and Busi.

      Chair: Zhaojun Wang, Nankai University

·         Jie Hou, Modified local Whittle estimator for long memory processes in the presence of low frequency (and other) contaminations.

·         Qi Li, Varying coefficient single-index models with endogeneity: theory and application.

·         Haiqing Xu, Identication and estimation of strategic credit rating.

Invited Session-SA06-I30, Room 604

Title:  Tail Events and Their Financial/Economic/Social Impacts    

  Organizer: Zhengjun Zhang, University of Wisconsin

     Chair: Richard Davis, Columbia University

·         Wolfgang Haerdle, TENET - Tail Event driven NETwork risk.

·         Liang Peng, Tail dependence via conditional Kendall's tau.

·         Zhengjun Zhang, Nested Asymptotic (In)dependent Extreme Value Copulas in Max-stable Processes with Application to High-Frequency Financial Data.

Invited Session-SA06-I31, Room 702

Title:  Studies on China Financial Market (in Chinese)

  Organizer:  Yang Liu, Central University of Finance and Economics

      Chair:  Liyan Han, Beihang University

·         Changyun Wang, Are Chinese warrants the option-type derivatives?

·         Xiaojun Wang, China's pension deficit：Scale and the uncertainty

·         Zhi Su, The quantified estimates of international impact by introducing RMB into the SDR basket

Invited Session-SA06-I32, Room 706

Title:  Statistical Methodology in Regression and Classification (in Chinese)

  Organizer: Feng Li, Central University of Finance and Economics

     Chair: Yundong Tu, Peking University

·         Jianhua Guo, Extensions of naive Bayes model with applications to Chinese document classification

·         Lu Lin, Penalized maximum-least-squares estimation for sublinear expectation linear regression.

·         Zhimeng Sun, Frequentist model averaging estimator of quantile partial linear regression model with censored response..