Time: 16:00-17:00  Friday, November 1, 2019

Venue: Room 101, 4th Teaching Building

Speaker: Fan Jianqing

Biography

Chair professor of finance,Princeton University

Professor of school of Data Science, Fudan University

Member of the International Statistical Institute

Member of Institute of Mathematical Statistics

Member of American Statistical Association

Member of American Association for the Advancement of Science

Member of the Society for Financial Econometrics

Co-editor in chief of Journal of Econometrics

Associate editor of Journal of American Statistical Association

Synopsis

This talk first gives an overview on the genesis of machine learning and AI and how  statistical and computational methods have evolved with growing dimensionality and sample sizes and become the foundation of modern machine learning and AI. It will also outline how ideas of trading modeling biases and variances have been developed into high-dimensional statistics and machine learning, with focus on deep learning models. We will outline the opportunities and challenges of statistical machine learning in financial applications. We will showcase the applications to predicting bond risk premia using macroeconomic time series, portfolio choices, and high-frequency finance.