2018浙江大学金融计量与新金融国际研讨会

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2018年浙江大学金融计量与新金融国际研讨会（Financial Econometrics and New Finance Conference）将于6月9日至10日在金溪山庄二楼金溪厅（杭州市西湖区杨公堤39号）召开，本次会议由浙江大学工程师学院互联网金融分院与浙江大学经济学院联合主办，浙江大学金融研究院、浙江大学应用经济研究中心协办。

随着互联网技术和存储技术的发展，以互联网金融和区块链为代表的新金融已经成为当代金融学的重要组成部分。在新金融的背景下，金融数据的研究已经进入了金融大数据时代。金融大数据在数量和形式上都和传统的金融数据存在很大的差异。金融计量经济学是采用数量方法分析金融数据的学科，在金融大数据的背景下应当如何发展已经成为重要课题。

作为大数据分析的重要工具，机器学习已经被广泛应用于各个不同的学科。在金融大数据方面，机器学习在相关金融指标的预测方面有着良好的表现，尤其是利用互联网相关数据进行金融指标的预测。

金融大数据的背景下，传统金融计量经济学应该如何发展？如何使用机器学习的方法将海量的互联网信息数据应用到金融场景中来？金融计量经济学与机器学习方法是否可以相互融合，取长补短？这些话题都值得我们一一探索。

本次研讨会将会邀请来自国内外著名学者对金融计量经济学，新金融，机器学习与互联网金融新发展等方面内容进行精彩的讲解。本次会议的所有主旨演讲和会场讲座将免费开放，欢迎广大师生踊跃参加！

本次会议邀请了多位国内外著名的金融学和金融计量经济学专家，目前确定出席的专家有:

1 Yacine Ait-Sahalia：

Otto A. Hack 1903 Professor of Finance and Economics，Department of Economics and Bendheim Center for Finance, Princeton University.

2012-present Co-Managing Editor, Journal of Econometrics

2012-present Editorial Board Member, Annual Reviews of Financial Economics

2 Jianqing Fan

Frederick L. Moore’18 Professor of Finance, Professor of Statistics, and Professor of Operational Research and Financial Engineering at the University.

2013-present Co-Editor, Journal of Econometrics

1996-present Associate Editor, Journal of the American Statistical Assocoation

3 Graham Elliott

Professor, Department of Economics, University of California, San Diego.

2003-present Associate Editor, Econometric Theory

2003-present Associate Editor, Journal of Applied Econometrics

2003-present Associate Editor, Journal of Business and Economic Statistics

4 Jun Yu

Lee Kong Chian Professor of Economics and Finance, School of Economics and Lee Kong Chian School of Business, Singapore Management University

2006-present Associate Editor, Econometric Theory

2006-2008 Associate Editor, Econometric Reviews

2012-present Associate Editor, Journal of Financial Econometrics

5 Steven Lehrer

Associate Professor of Economics, Queen’s University and New York University Shanghai

Global Network Associate Professor, New York University

Associate editor, Journal of the Royal Statistical Society

2015, Shanghai Thousand Talent for Foreign Experts Programe

议程具体时间安排如下：

Program

Keynote speech is 50 minutes: 45 minutes for presentation and 5 minutes for questions

Invited speech is 30 minutes: 25 minutes for presentation and 5 minutes for questions

9th June, 2018

8:30- 8:45Welcome

Session I Chair Qi Xu

8:45 - 9:35Jianqing Fan(Keynote)

Statistical Machine Learning in Finance

9:35 - 10:05Yong Li

Integrated Deviance Information Criterion for Latent Variable Model

10:05 - 10:35Qi Xu

A Least Squares Regression Realizaed Covariation Estimation Under MMS Noise and Non-synchronous Trading

10:35- 11:00Tea Break

Session II Chair Yicong Zhang

11:00 - 11:30Yanping Yi

Balanced Predictive Regressions with Cointegrated Regressors

11:30 - 12:00Yicong Zhang

Non-separable Models with High-dimensional Data

12:00 - 12:30Weilin Xiao

A two-stage approach of estimating the fractional Vasicek Model with Discretely Sampled Data

12:30 - 14:00Lunch

Session I Chair Linlin Niu

14:00-14:50Jun Yu(Keynote)

Bubbble Testing under Deterministic Trends

14:50- 15:20Xingguo Luo

An arbitrage-free yield net model with application to the euro debt crisis

15:20- 15:50Linlin Niu

An arbitrage-free yield net model with application to the euro debt crisis

15:50 - 16:10Tea Break

Session II Chair Yanjian Zhu

16:10- 17:00Graham Elliott(Keynote)

Testing for a trend with serially correlated errors

17:00- 17:30Yanjian Zhu

TBA

17:30- 18:00Liangjiang

In-fill Asymptotic Theory for Structral Break Point in Autoregression

18:00- 20:00Dinner

10th June, 2018

Session I Chair Tian Xie

8:30 - 9:20Yacine Ait-Sahalia(Keynote)

Closed-Form Implied Volatility Surfaces for Stochastic Volatility Models

9:20- 9:50Xiaohu Wang

Estimation for Persistence Matrix in Multivariate Diffusion Processes

9:50 - 10:20Tian Xie

Twits versus Tweets: Does Adding Social Media Wisdom Trump Admitting Ignorance when Forecasting the CBOE VIX?

10:20 - 10:45Tea Break

Session II Chair Xiaobin Liu

10:45- 11:35Steven Lehrer(Keynote)

Overhyped or Worth the Hype? An Initial Assessment of the Value of Social Media Data and Machine Learning in Financial Economics

11: 35- 12:05Yonghui Zhang

A Least Squares Regression Realizaed Covariation Estimation Under MMS Noise and Non-synchronous Trading

12:05 - 12:35Xiaobin Liu

A Posterior-Based Wald-Type Statistic for Hypothesis Testing

12:35 - 14:00Lunch

欢迎广大师生参加！