时间：2016年11月17日（周四）14：00-16：00
地点：广外南校区教学楼B座304室
主办单位：
·betway体育
·应用金融研究中心
·“投资管理、期权定价和风险管理”科研创新团队
主讲人：何学中（悉尼科技大学商学院教授）
主题：
1、报告论文《Social Interactions and Asset Pricing》
2、英语论文写作及国际期刊投稿经验座谈
论文摘要：
Social interactions are well documented in financial markets, in particularwhen facing information uncertainty. This paper develops a simple evolutionarymodel of asset pricing and population dynamics to incorporate social interactionsamong investors with heterogeneous beliefs on information uncertainty.We show that social interactions can lead to mis-pricing and existence of multiplesteady state equilibria, generating two different volatility regimes, bi-modaldistribution in population dynamics, and stochastic volatility. As a result, thestochastic switching between two different volatility regimes and the persistentdominance of the populations with different beliefs explain volatility clustering,time series momentum in the short-run and reversal in the long-run.
主讲人简介：
何学中，悉尼科技大学商学院金融学教授、国际著名经济学期刊《Journal of Economic Dynamics and Control》主编，近年来已在Journal of Economic Behavior & Organization、Journal of Banking and Finance、Macroeconomic Dynamics、Journal of Economic Dynamics and Control、Journal of Empirical Finance和Quantitative Finance等国际著名经济学、金融学期刊上发表30多篇论文。
