戴民教授学术报告

报告题目：Several topics in FinTech

报告时间：2019年12月13日（星期五）下午14:00-16:00

报告地点：西安交大财经校区教学楼8楼国际交流厅

报告摘要：

I will talk about some topics that we are working on in the field of FinTech, including stable coins, an economic theory of Bitcoin mining, T+0 trading with neural network, prediction markets, robo-advising, calibrating equilibrium mean-variance strategy with reinforcement learning. This talk is based on some of my recent works jointly with Yizhou Cao, Yuchao Dong, Yanwei Jia, Hanqing Jin, Steven Kou, Lewei Li, Yuhong Xu, Chen Yang, Yaquan Zhang, etc.

报告人简介：

戴民教授，新加坡国立大学数量金融中心主任，新加坡国立大学数量金融硕士项目主任。Journal of Economic Dynamics and Control，Asia-Pacific Journal of Operational Research，SIAM Journal on Financial Mathematics，Mathematics and Financial Economics副主编，Digital Finance合作编辑。主要研究领域包括：金融衍生品定价、不完全市场下的投资组合设计、金融科技。

报告题目一：Exact separation algorithm for unsplittable capacitated network design flow arc-set polyhedron

报告时间：2019年12月19日（星期四）上午9:30-11:00

报告地点：中国西部科技创新港5号楼5-8088

报告摘要：

Many practical problems arising in real world applications, mainly in the fields of logistics and telecommunications, can be modeled as unsplittable capacitated network design problem. In this talk, we consider the flow arc-set polyhedron of this problem. By analyzing the property of its nontrivial facet, we design an exact algorithm to solve the associated separation problem such that the constructed inequality guarantees to be facet-defining. To speed up this approach, we present a closed form of the separation problem under some conditions. Furthermore, a new technique is presented to accelerate the exact separation algorithm, which significantly decreases the number of iterations in the algorithm. Finally, a comprehensive computational study on the unsplittable capacitated network design problem is presented to demonstrate the effectiveness of the proposed algorithm.

报告题目二：Stochastic polynomial optimization

报告时间：2019年12月23日（星期一）下午15:00-17:00

报告地点：西安交大财经校区教学楼612

报告摘要：

This talk is about stochastic optimization problems with polynomials. We propose an optimization model with sample averages and perturbations. The Lasserre type Moment-SOS relaxations are used to solve the sample average optimization. Properties of the optimization and its relaxations are studied. Numerical experiments are presented.

报告题目三：A Constructive Approach to High-Dimensional Sparse Learning

报告时间：2019年12月25日（周三）上午 10：00

报告地点：西安交大财经校区教学楼806国际交流厅

报告摘要：

We develop a constructive approach to estimating sparse, high-dimensional linear regression models. The approach is a computational algorithm motivated from the KKT conditions for the $\ell_0$-penalized least squares solutions. It generates a sequence of solutions iteratively, based on support detection using primal and dual information and root finding. We refer to the algorithm as SDAR for brevity. Under a sparse Rieze condition on the design matrix and certain other conditions, we show that with high probability, the $\ell_2$ estimation error of the solution sequence decays exponentially to the minimax error bound in $O(\sqrt{J}\log(R))$ steps; and under a mutual coherence condition and certain other conditions, the $\ell_{\infty}$ estimation error decays to the optimal error bound in $O(\log(R))$ steps, where $J$ is the number of important predictors, $R$ is the relative magnitude of the nonzero target coefficients. Computational complexity analysis shows that the cost of SDAR is $O(np)$ per iteration. Moreover the oracle least squares estimator can be exactly recovered with high probability at the same cost if we know the sparsity level. We also consider an adaptive version of SDAR to make it more practical in applications. Numerical comparisons with Lasso, MCP and greedy methods demonstrate that SDAR is competitive with or outperforms them in accuracy and efficiency.

报告题目四：区块链技术原理及应用场景

报告时间：2019年12月26日（星期四）下午15:00-17:00

报告地点：西安交大财经校区教学楼614教室

报告摘要：

继大型机、个人电脑、互联网之后，区块链技术被认为是计算机模式的又一次颠覆性创新，很有可能在全球范围内引领一场技术革命和产业变革。区块链是一种分布式多节点“共识”实现技术，其本质上是分布式的数据库，包含交易、区块、链三要素。区块链具有分布式、不可篡改、交易透明、可追溯、智能合约、数据共享等特点。本报告将以公链为例，介绍区块链的定义，工作流程，并讲解非对称加密、挖矿、哈希、共识机制等区块链核心概念，以此理解其背后的技术原理。在理解其技术原理的基础上，探讨区块链适合做什么以及其存在的潜在风险，同时介绍区块链在金融科技领域的典型应用场景。

五、财务报告