2018 International Academic Symposium “Economy and Financial Econometrics Against the Background of Big Data” Held at CUEB
On June 11th, the International Academic Symposium “Economy and Financial Econometrics Against the Background of Big Data” organized by the International School of Economic Management was held in Tianlang Hall of Boyuan Building.
Prof. Chen Min from the International School of Economic Management introduced and welcomed the guests on the scene. Li Qi, Dean of the School, expressed thanks to all the guests and teachers for taking time from their busy schedules to attend the symposium, and wished the conference a complete success.
Prof. Chen Rong from Rutgers University and Prof. Zhang Zhengjun from University of Wisconsin made speeches titled Modeling High Dimensional Dynamic Traffic Networks with Matrix Factor and Semi-parametric Dynamic Max-copula Model for Multivariate Time Series . Based on his topic, Prof. Chen compared and analyzed the data between the U.S. and Canada combining with dynamic traffic networks and international trade data, and Prof. Zhang introduced the application and prospects of the mixed model.
Prof. Xiu Dacheng from the University of Chicago and Prof. Wang Dan from Columbia University then made academic report on Taming the Factor Zoo and Estimating and Forecasting Volatility with Leverage Effect . Prof. Xiu introduced the factor zoo which refers to multi-factor model and Prof. Wang discussed with the experts about the solutions of data hop and the judgement of model noises.
Prof. Li Kunpeng from the International School of Economic Management and Prof. Yang Xiaoguang from Chinese Academy of Sciences delivered speeches about Spatial Panel Data Models with Structural Changes and Understanding Financial Risks via Big Data . Prof. Li exchanged ideas with the experts on spatial econometric models. Prof. Yang talked about the information disclosure and the influence of currency policy through the regression analysis of more than 2000 stocks on China’s stock market and made the conclusion that information disclosure exerts negative influence on China’s stock market. To this end, Prof. Xiu Dacheng suggested data subdivision.
Lin Wei and Chen Ye from the International School of Economic Management gave speeches about The RSVD Approach to Seasonal Adjustment and Mixed Dynamic Factor Models Applied to Chinese House Prices .
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