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PHBS Attends the Second Annual PKU-NUS International Conference

Recent years have witnessed the rise of quantitative finance in securities, banking, private placement, and regulatory departments. In this context, Peking University HSBC Business School (PHBS), the Risk Management Institute (RMI) of the National University of Singapore (NUS), and Key Laboratory of Mathematical Economics and Quantitative Finance (Peking University), held the Second Annual PKU-NUS International Conference on Quantitative Finance and Economics in Suzhou on May 20 and 21. 

The group photo of the conference participants

It provided a platform for practitioners and researchers to keep close track of market moves, explore new financial models, and discuss how to manage fundamental changes in the financial sector.The conference’s seven sessions featured more than 20 new research papers including such topics as financial modeling, algorithmic trading, computational finance, governance, credit risk, macroeconomics, and monetary economics.

Professor Kou delivers opening remarks 

 PHBS Associate Dean Ren delivers opening remarks

Opening remarks were delivered by Steven Kou, director of RMI, National University of Singapore, PHBS Associate Dean Ting Ren and Jinping Yang, professor of School of Mathematical Sciences, Peking University. Kou commented that the conference not only provided a platform for idea exchanges, but also created an effective channel for paper submission and publication. From the perspective of Fintech and financial innovation, Ren emphasized that scholars should improve financial algorithms, models and techniques to deal with the rise of artificial intelligence and financial data.

NUS Associate Professor Robert L. Kimmel , head of Finance Department, shares his views as the discussant


Currently, the frontiers of finance and economics are focusing on mining insights from models and data, and many papers discussed such topics. Yet stock returns continue to command researchers’ interest. The paper “Leverage Trading and Stock Returns” presented by Ming Gu, associate professor of Xiamen University, used daily aggregate holding data for each stock to directly observe trading behavior of leverage buyers in China. Biao Yang, a PHBS full-time master’s student, presented “Modeling Stock Returns Distributions with a Quantum Harmonic Oscillator,” which was coauthored by PHBS Visiting Professor Kwangwon Ahn and Assistant Professor Sungbin Sohn. Borrowing methods used in physics, they built an effective model to analyze stock returns distribution under an interdisciplinary framework and provided an economic rationale from physics concepts.

PKU  Assistant Professor Xue Cheng presents her paper 

Ser-Huang Poon, professor at Manchester University,discusses with scholars

In the field of computational finance, Yingda Song, associate professor at the University of Science and Technology of China and his student Pengzhan Chen, analyzed optimal stopping under Markov processes, a mathematical framework for modeling decision-making in situations where outcomes are partly random and partly under the control of a decision-maker. Ser-Huang Poon, professor at Manchester University, presented her research on financial derivatives, which uncovered the nonlinear dynamics of CDS (credit default swap) , a financial swap agreement that the seller of the CDS will compensate the buyer in the event of a loan default (by the debtor) or other credit event.
With the acceleration of financial innovations, scholars have gradually expanded their ideas and theories by observing and examining the development of financial markets, and the relationship between theory and practice has become more dynamic. Several PHBS professors presented papers that explore such territory using Chinese enterprises and market data to look into the impact of market volatility, policy uncertainty, R & D investment and other factors on firms' performance and investment.

PHBS Associate Professor Ting Ren presents on corporate governance

PHBS Associate Professor Ting Ren presented on corporate governance, using data released by A-share listed companies between 2005 to 2012 to analyze the performance and turnaround of mixed ownership firms during the financial crisis. The paper provided a comprehensive theoretical analysis of the role of state ownership and the balance of shareholders. PHBS Assistant Professor Young Joon Park and Assistant Professor Hyun Joong Im looked into peer effects in corporate investment policy, revealing that China’s economic policy uncertainty will amplify peer effects in corporate investment policies. In addition, Jake Zhao, PHBS assistant professor, analyzed the correlation between R&D dynamics and corporate cash, shedding light on why giants like Apple sit on large chunk of cash.



PHBS participated faculty, Hyun Joong Im,Young Joon Park, Jake Zhao

In microeconomics, papers related to income gap based on the Gini coefficient and foreign direct investment (FDI) aroused great interest. NUS professors Steven Kou and Min Dai along with NUS researcher Hui Shao discussed the Gini curve and revealed the true relationship between it and true income gap after excluding top incomes. On the other hand, PHBS Assistant Professor Jiao Shi analyzed the short run welfare implications on monetary policy and FDI. She found that the volatility of short-term foreign direct investment exacerbated utility losses, creating declines in value of assets.

 Assistant Professor Jiao Shi presides over the governance session

As one of the conference hosts, PHBS has strived to enhance its involvement and presence in the global arena of economics, finance, and management research, and held the First PKU-NUS Annual International Conference last year. Over the past year, PHBS professors have published papers in international academic journals, such as Journal of Monetary EconomicsStrategic Management JournalJournal of Economic Behavior and OrganizationChina Economic Review and Annals of Economics and Finance. Some papers have received attention from media and industry. For instance, Reuters, Harvard Business Review, and Forbes introduced Kwangwon Ahn's paper published on Strategic Management Journal

By Annie 
Edited by Priscilla Young