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May 21
8:55 – 9:00Opening remarks
9:00 – 9:40Xuefeng Gao (CUHK)Scoring limit orders
9:40 – 10:20

Mikko Pakkanen (ICL))Modelling Limit Order Book Data by State-Dependent

Hawkes Processes
10:20 – 10:50

Coffee break
10:50 – 11:30Chen Yang (CUHK)Inventory Management for High-Frequency Trading with Imperfect Competition
11:30 – 12:10Johannes Muhle-Karbe (ICL)Liquidity and Asset Prices
12:10 – 13:30Lunch
13:30 – 14:10Xinghua Zheng (HKUST)Factor Modeling for Volatility
14:10 – 14:50Eyal Neuman (ICL)Fractional Brownian motion with zero Hurst parameter: a rough volatility viewpoint
14:50 – 15:20Coffee break
15:20 – 16:00Antoine Jacquier (ICL)
Deep learning and Path-dependent PDEs for rough volatility
16:00 – 16:40Xiaolu Tan (Dauphine)From Martingale Optimal Transport to McKean-Vlasov
Control Problems
May 22
9:00 – 9:40Dohyun Ahn (CUHK) Systemic risk quantification via shock amplification in financial network
9:40 – 10:20Lingfei Li (CUHK) A General Method for Valuation of Drawdown Risk under Markovian Models
10:20 – 10:50Coffee break
10:50 – 11:30Alex Tse (ICL)A multi-asset investment and consumption problem

with transaction costs
11:30 – 12:10Nan Chen (CUHK)
Duality based dynamic programming and its applications
12:10 – 13:30

Lunch
13:30 – 14:10Qi Wu (CityU)Quantile forecast through serial
dependence learning
14:10 – 14:50Coffee break
15:20 – 16:00
Lihu Xu (UMAC) Approximation of stable law by Stein’s method
16:00 – 16:40Xuedong He (CUHK)On the Equilibrium Strategies for Time-Inconsistent
Problems in Continuous Time
Centre for Financial Engineering, The Chinese University of Hong Kong

Address

Centre for Financial Engineering,
4th Floor, Academic Building No. 1,
The Chinese University of Hong Kong,
Sha Tin, Hong Kong
Tel: +852 3943 9561
Email: enquiry.cfe@cuhk.edu.hk