Institute for Mathematical Sciences

Workshop 2: Fintech and Machine Learning

(5 - 8 August 2019 )

Jointly organized with Risk Management Institute, NUS
Venue: NUS Risk Management Institute (RMI), I³ Building, Level 1 Seminar Room, 21 Heng Mui Keng Terrace, Singapore 119613, NUS (21 Mar 2019 & 5 - 8 Aug 2019)
PDF Abstracts

Monday, 05 Aug 2019

09:00am - 09:20amRegistration
09:20am - 09:30amOpening Remarks
09:30am - 10:10am

A theory of model sophistication and operational risk

(PDF)



Suleyman Basak
London Business School and CEPR, UK
10:10am - 10:40amCoffee Break
10:40am - 11:20am

Crypto volatility forecasting: ML vs GARCH



Wolfgang Karl Härdle
Humboldt-Universität zu Berlin, Germany
11:20am - 12:00pm

Econometrics with privacy preservation



Ning Cai
The Hong Kong University of Science and Technology, Hong Kong
12:00pm - 01:30pmLunch Reception at RMI
01:30pm - 02:10pm

Follow the money: Bayesian Markets to aggregate expert opinions when the majority can be wrong

(PDF)



Aurélien Baillon
Erasmus University Rotterdam, The Netherlands
02:10pm - 02:50pm

Who benefits from robo-advising? Evidence from machine learning

(PDF)



Alberto GP Rossi
University of Maryland, USA
02:50pm - 03:30pm

Crowd wisdom and prediction markets

(PDF)



Yanwei Jia
National University of Singapore, Singapore
06:30pm - 08:30pmConference Dinner
Venue: The Scholar Chinese Restaurant, NUSS

Tuesday, 06 Aug 2019

09:15am - 09:30amRegistration
09:30am - 10:10am

From Bregman, Wasserstein, to GANs, and beyond



Xin Guo
University of California, Berkeley, USA
10:10am - 10:40amCoffee Break
10:40am - 11:20am

Pitfalls of bitcoin's proof-of-work: R&D arms race and mining centralization

(PDF)



Agostino Capponi
Columbia University, USA
11:20am - 12:00pm

From hotelling to Nakamoto: the economic meaning of bitcoin mining



Wei Jiang
National University of Singapore, Singapore
12:00pm - 01:30pmLunch Reception at RMI
01:30pm - 02:10pm

Some machine learning schemes for high dimensional nonlinear PDEs

(PDF)



Huyen Pham
Université Paris Diderot, France
02:10pm - 02:50pm

A general Monte Carlo algorithm with monotonicity for stochastic control problems



Xianhua Peng
Peking University HSBC Business School, China
02:50pm - 03:10pmCoffee Break
03:10pm - 03:50pm

Optimize market making problem with reinforcement learning



Ge Zhang
National University of Singapore, Singapore

Wednesday, 07 Aug 2019

09:15am - 09:30amRegistration
09:30am - 10:10am

A two-layer solution scheme for Bayesian reinforcement learning

(PDF)



Duan Li
City University of Hong Kong, Hong Kong
10:10am - 10:40amCoffee Break
10:40am - 11:20am

Information relaxation, duality of stochastic dynamic programs, and Boltzmann exploration in reinforcement learning



Nan Chen
The Chinese University of Hong Kong, Hong Kong
11:20am - 12:00pm

Continuous-time mean-variance portfolio selection: a reinforcement learning framework

(PDF)



Haoran Wang
Columbia University, USA
12:00pm - 01:30pmLunch Reception at RMI

Thursday, 08 Aug 2019

09:15am - 09:30amRegistration
09:30am - 10:10am

Financial literacy in online peer-to-peer lending



Jussi Keppo
National University of Singapore, Singapore
10:10am - 10:40amCoffee Break
10:40am - 11:20am

Peer-to-peer equity financing: preference-free and menuless screening contracts



Sang Hu
The Chinese University of Hong Kong, Shenzhen, China
11:20am - 12:00pm

Neural learning of online consumer credit risk



Qi Wu
City University of Hong Kong, Hong Kong
12:00pm - 01:30pmLunch Reception at RMI
01:30pm - 02:10pm

Designing stable coins



Chen Yang
The Chinese University of Hong Kong, Hong Kong
02:10pm - 02:50pm

Sparse sliced inverse regression via lasso



Qian Lin
Tsinghua University, China
02:50pm - 03:10pmCoffee Break
03:10pm - 03:50pm

How does the introduction of hidden orders affect limit order markets?



Yuanyuan Chen
Nanjing University, China