【Big data workshop】A Quantitative Finance View of Data Analytics
2017/11/08
研討會日期 : 2017-11-08
時間 : 11:00
主講人 : Professor Chuan-Hsiang Han (韓傳祥)
主持人 : Professor Kamhon Kan
地點 : Conference Room B110
演講者簡介 : Dr. Han received his Ph.D. in Applied Mathematics, North Carolina State University in 2003. He is currently an Associate Professor of Department of Quantitative Finance at National Tsing Hua University. His research interests include financial engineering, applied probability, and computational finance.
演講摘要 : Financialization has been a driving force for the drastic growth of financial services since the birth of modern financial theory - Black and Scholes’s option pricing theory in 1973. This differentiates derivatives products from underlying risky assets into separate market places such as option exchanges versus stock exchanges. Their associated information contents can be characterized to be forward versus backward. Thus, model-driven approach and data-driven approach are often taken as major tools for data analytics.
In this talk, we discuss challenges emerging from modern financial data and demonstrate some of our research works and project experiences to treat those problems. They include high frequency data by Fourier transform method, systemic risk measures, cross market information by joint dynamics calibration, and the use of machine learning and AI for automated investment, etc.
