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学术报告:英国南安普顿大学戚厚铎教授--Can You Trust your Correlation Matrix - a question from finance

应理学院邀请,英国南安普顿大学Houduo Qi(戚厚铎)教授来澳门一沙金网址娱乐网站-(成都)有限公司进行学术交流,并做学术报告。
        报告时间:2016年12月5日周一下午2:00—3:00
        报告地点:西教五416(理学院)
        报告题目:Can You Trust your Correlation Matrix -- a question from finance
        报告摘要:
        The concept of correlations plays a very important role in risk management in finance and a correlation matrix has to satisfy a set of mathematical properties. However, when the historical data is incomplete due to various market conditions, the sampling correlation matrix often violates those properties. Worse than such a situation is the scenario when correlations have to be humanly set to fence off risks from certain disastrous events (this is also known as correlation stress testing in finance). Therefore, adjusting an invalid correlation matrix to one that is to satisfy those mathematical properties is a problem of paramount importance. An equally important requirement from practice is the speed of such an adjustment. We show that this can be done through optimization. We introduce a fast algorithm that exploits the second-order sparsity to make a linear equation solver fast enough to meet the practical need. The resulting algorithm has now been widely used in finance industry (Based on joint work with Defeng Sun).
        报告人简介:戚厚铎,1990年本科毕业于北京大学概率统计系,1996年于中国科学院应用数学研究所获理学博士学位,导师韩继业研究员。博士毕业后先后在中国科学院计算数学与科学工程计算研究所和澳大利亚新南威尔士大学从事博士后研究工作,2004年起任职于英国南安普顿大学。现任国际SCI期刊Asia-Pacific Journal of Operational Research的Area Editor (Optimization)以及Mathematical Programming Computation的Associate Editor.

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