Institute for Mathematical Sciences

4th Berlin-Princeton-Singapore Workshop on Quantitative Finance

(18 - 20 March 2019)

Jointly organized with Risk Management Institute, NUS
Venue: IMS Auditorium
PDF Abstracts

Monday, 18 Mar 2019

08:45am - 09:00amRegistration
09:00am - 09:45am

Implementing portfolio liquidation models

(PDF)



Ulrich Horst
Humboldt-Universität zu Berlin, Germany
09:45am - 10:15amGroup Photo & Coffee Break
10:15am - 11:00am

The economics of asset securitization

(PDF)



Hong Yan
Shanghai Advanced Institute of Finance, China
11:00am - 11:45am

Models of interaction through hitting times in systemic risk and the supercooled Stefan problem

(PDF)



Mykhaylo Shkolnikov
Princeton University, USA
11:45am - 12:15pm

Economic meaning of bitcoin mining



Wei Jiang
National University of Singapore, Singapore
12:15pm - 02:00pmLunch Reception at IMS
02:00pm - 02:45pm

Liquidity in competitive dealer markets

(PDF) (Video)



Peter Bank
Technische Universität Berlin, Germany
02:45pm - 03:15pm

Crowd wisdom and prediction markets

(PDF)



Yanwei Jia
National University of Singapore, Singapore
03:15pm - 03:45pm

Proactive and reactive investments via Meyer-σ-fields

(PDF)



David Beßlich
Technische Universität Berlin, Germany
03:45pm - 04:15pmCoffee Break
04:15pm - 05:00pm

Sentiment analysis for online reviews with regularized text logistic regression

(PDF)



Ying Chen
National University of Singapore, Singapore
05:00pm - 05:30pm

Optimal liquidation in spite of increasing prices

(PDF)



Peter Frentrup
Humboldt-Universität zu Berlin, Germany

Tuesday, 19 Mar 2019

08:45am - 09:00amRegistration
09:00am - 09:45am

Trading, market impact and nonlinear systems



Ronnie Sircar
Princeton University, USA
09:45am - 10:15amCoffee Break
10:15am - 11:00am

Default contagion with domino effect

(PDF)



Jiro Akahori
Ritsumeikan University, Japan
11:00am - 11:45am

FBSDEs with discontinuous coefficients



Ludovic Tangpi
Princeton University, USA
11:45am - 12:15pm

Forward performance processes in EVE correlation models

(PDF)



Levon Avanesyan
Princeton University, USA
12:15pm - 02:00pmLunch Reception at IMS
02:00pm - 02:45pm

Portfolio diversification and model uncertainty: a robust dynamic mean-variance approach

(PDF)



Chao Zhou
National University of Singapore, Singapore
02:45pm - 03:15pm

Speculative trade and market newcomers

(PDF)



Bogdan Klishchuk
Humboldt-Universität zu Berlin, Germany
03:15pm - 03:45pm

Mean field games with singular controls and optimal portfolio liquidation: existence of equilibria



Guanxing Fu
Humboldt-Universität zu Berlin, Germany
06:30pmWorkshop Dinner at The Scholar Chinese Restaurant
9 Kent Ridge Drive, Singapore 119241

Wednesday, 20 Mar 2019

08:45am - 09:00amRegistration
09:00am - 09:45am

Timer options: expiry floats with realized variance

(PDF)



Yue-Kuen Kwok
Hong Kong University of Science and Technology, Hong Kong
09:45am - 10:15amCoffee Break
10:15am - 10:45am

Non-concave portfolio optimization without the concavification principle

(PDF)



Shuaijie Qian
National University of Singapore, Singapore
10:45am - 11:15am

Optimal investment and consumption with fixed and proportional transaction costs



Max Reppen
Princeton University, USA
11:15am - 11:45am

Multi-dimensional optimal trade execution under stochastic resilience



Xiaonyu Xia
Humboldt-Universität zu Berlin, Germany
11:45am - 12:15pm

Adaptive log-linear zero-inflated generalized Poisson autoregressive model with applications to crime counts data



Xiaofei Xu
National University of Singapore, Singapore
12:15pmLunch Reception at IMS