報告人：

BanZHENG, PhD，Quantitative Researcher，Lyxor Asset Management，Société GénéraleGroup

鄭坂（Ban ZHENG），博士，法國領(lǐng)先資產(chǎn)管理公司（法國興業(yè)銀行集團）研究員。巴黎綜合理工大學(École Polytechnique)和法國國立統(tǒng)計與經(jīng)濟管理學院(ENSAE ParisTech)工程師，法國國立高等電信學院(Télécom ParisTech)應用數(shù)學專業(yè)博士。從事資產(chǎn)管理領(lǐng)域的研究工作，專注于金融大數(shù)據(jù)的處理，對沖基金的投資策略，指數(shù)跟蹤產(chǎn)品的研究以及量化管理基金的策略開發(fā)。現(xiàn)兼任同濟大學法國校友會會長及法國博效基金會秘書長。

報告摘要：

We provide a review on quantitative methods forlow-medium frequency trading and high frequency trading. For low-mediumfrequency trading, we review the different econometric estimators to extract atrend of a time series which is widely used in momentum strategies. Wedistinguish between linear and nonlinear models as well as univariate andmultivariate filtering. For high frequency trading, we introduce a multivariatepoint process describing the dynamics of the Bid and Ask price ofa financial asset. The point process is similar to a Hawkes process, withadditional constraints on its intensity corresponding to the naturalordering of the best Bid and Ask prices. We study this process in thespecial case where the fertility function is exponential so that the process isentirely described by an underlying Markov chain including the constraintvariable. Natural, explicit conditions on the parameters are establishedthat ensure the ergodicity of the chain. Moreover, scaling limitsare derived for the integrated point process.

此報告主要基于兩篇文章:“ Trend Filtering Methods For Momentum Strategies” 和 “Modelling Bid and Ask Prices Using Constrained HawkesProcesses: Ergodicity and Scaling Limit”。

主持人： 林則夫 教授，中央財經(jīng)大學管理科學與工程學院副院長

時 間：2014年4月21日 18:30-20:00

地點：中央財經(jīng)大學學術(shù)會堂702會議室

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