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    漢青論壇第297期:12月11日周浩博士
    (漢青經濟與金融高級研究院發布于:2019-12-11 15:07:56)

    漢青論壇第297期:12月11日周浩博士

    本期主題:Incorporating Model Uncertainty and Model Instability in Dynamic Financial Time Series Prediction – a Probabilistic Approach

     

    摘要:

    Model instability determines how long a predictive relationship can stay in effect.  Incorporating model instability is extremely important to assure the accuracy of asset pricing models in an increasingly dynamic economic environment. We propose an innovative approach to handle model instability: in particular we use a data driven approach to detect structural break/regime switching in the time series data. We then adopt Bayesian posterior probability to handle the uncertainty in selecting the models and the change points. Previous approaches in the literature are targeted to model gradual change (“Estimating the Dynamics of Mutual Fund   Alphas and Betas” Mamaysky, Spiegel and Zhang, Review of Financial Studies, 21(1), 2008; “Predictive regressions with time-varying coefficients” Dangla and  Halling, Journal of Financial Economics 106(1), 2012  ). Our approach is more flexible as it can model structural break/regime switching either with a step change or a gradual change totally from a data driven perspective.  We demonstrate our approach’s effectiveness in  bond and stock indices’ return prediction, inflation rate and industry production growth rate forecasting and hedge fund return analytics.

     

    報告人:周浩原安邦資產管理有限責任公司宏觀策略部副總經理和權益投資部高級投資經理

    時間:12月11日(周三) 12:15

    地點:明德主樓515教師交流室

     

    報告人簡介:

    原安邦資產管理有限責任公司宏觀策略部副總經理和權益投資部高級投資經理,負責安邦資產的量化投資。曾在中國國際期貨, 美國道富銀行和摩根大通銀行從事量化投資工作。曾任美國奧本海默基金機構資產管理公司量化股票投資部總監。他在美國德雷塞爾大學獲得工商管理博士學位和計算機碩士學位,哈爾濱工業大學獲得管理信息系統碩士和學士學位。熟悉金融市場主要的風險管理工具。熟悉投資管理和金融市場的最新理論和實踐。有豐富的研究、分析和評估投資策略的經驗。有豐富的建設和管理投資組合,在嚴格的風險管理下達到預期投資回報目標的經驗。


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