会议手册 Program 2016 年 6 月日 12 th -13 th June,2016 中国广州中山大学 Sun Yan-sun University,Guangzhou,China

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会议手册 Program 2016 年 6 月 12-13 日 12 th -13 th

1 会议手册 Program 2016 年 6 月日 12 th -13 th June,2016 中国广州中山大学 Sun Yan-sun University,Guangzhou,China

2 Conference Information Host Lingnan (University) College, Sun Yat-Sen University Business School, Sun Yat-Sen University Venue Room M203,Shansi International Conference Hall,Business School Lingnan Hall,Lingnan (University) College Co-chairs Jianqing Fan (Princeton University) Chung-Ming Kuan ( National Taiwan University) Zhongfei Li (Sun Yat-Sen University) Xinzhong Xu (Sun Yat-Sen University) Executive secretary Liang Peng (Georgia State University) Zhengjun Zhang (University of Wisconsin) Program committee Chunrong Ai (University of Florida and Renmin University) Min Chen (AMSS, Sinica, Beijing) Gurdip Bakshi (University of Maryland, USA) Federico Bandi (John Hopkins University, USA) Zongwu Cai (University of Kansas and Xiamen University) Laurent Calvet (HEC, Paris, France) Rong Chen (Rutgers University, USA) Yi-Ting Chen (Academia Sinica) Rene Garcia (University of Montreal, Canada) Wolfgang Haerdle (the Humboldt-Universitat zu Berlin, Germany, and Xiamen Univesity) Bingyi Jing (Hong Kong UST) Chang-Jin Kim (University of Washington, USA) Robert Kimmel (National University of Singapore) 4 / 82

3 Duan Li (The Chinese University of Hong Kong) Jia Li (Duke University, USA) Haitao Li (University of Michigan, USA) Xun Li (The Hong Kong Polytechnic University) Yingying Li (Hong Kong UST) Oliver Linton (Cambridge University, UK) Wujiang Lou (HSBC) Cecilia Mancini (University of Florence, Italy) Nour Meddahi (Toulouse School of Economics, France) Per Mykland (University of Chicago, USA) Liang Peng (Georgia State University, USA) Richard D. Phillips (Georgia State University, USA) Jeffrey Russell (University of Chicago, USA) Olivier Scaillet (University of Geneva, Switzerland) Yongdong Shi (Norheast University of Finance & Economics) Viktor Todorov (Northwestern University, USA) Ruey Tsay (University of Chicago, USA) Xiaoguang Yang (AMSS, Sinica, Beijing) Jing Yao (Fudan University) Yazhen Wang (University of Wisconsin, USA) Yongjin Wang (Nankai University) Yangru Wu (Rutgers University, USA) Zhijie Xiao (Boston College, USA) Dacheng Xiu (University of Chicago, USA) Qiwei Yao (London School of Economics and Political Science, UK) Hailiang Yang (The University of Hong Kong) Jin-Huei Yeh (National Central University) Wei Zhang (Tianjin University) Zhengjun Zhang (University of Wisconsin, USA) Yong Zhou (Shanghai University of Finance and Economics) Shushang Zhu (Sun Yat-Sen University) 5 / 82

4 Local Committee Zhongfei Li (co-chair, Sun Yat-Sen University) Xinzhong Xu (co-chair, Sun Yat-Sen University) Min Chen (co-chair, the Chinese Academy of Sciences) Xueni Che (Sun Yat-Sen University) Jieming Li (Sun Yat-Sen University) Yihua Li (Sun Yat-Sen University) Keynote Speakers Harrison Hong ( 2009 Fischer Black Prize Winner John Scully 1966 Professor of Economics and Finance,Department of Economics, Princeton University) Oliver Linton (Professor of Political Economy and Econometrics,Fellow of the British Academy,Fellow of the Econometric Society,Fellow of the Institute of Mathematical,Statistics,University of Cambridge) Shouyang Wang (Professor and Deputy Dean,Academy of Mathematics and Systems Science,Chinese Academy of Sciences) Wei Xiong (2012 Smith Breeden Award,2013 NASDAQ OMX Award, Hugh Leander and Mary Trumbull Adams,Professor in Finance,Professor of Economics,Princeton University) 6 / 82

5 Program of FERM 2016 The program overview: Sunday, June12 th, 2016 Time: Events and Locations: 08:00-08:25 Registration 08:25-08:45 Opening Ceremony Chair:Zhengjun Zhang, University of Wisconsin Opening remarks: 1) Jun Ma, Vice President of Sun Yat-sen University 2) Jianqing Fan, Princeton University Session names: SM02-I01 Sunday Morning Session 2 nd Round Invited Session # 01 SA03-I08 Sunday Afternoon Session 3 nd Round Invited Session # 08 MM02-I17 Monday Morning Session 2 nd Round Invited Session # 17 MA04-I25 Monday Afternoon Session 4th Round Invited Session #25 All other sessions are listed similarly. 7 / 82

6 Time: Events and Locations 08:45-09:30 09:30-10:15 10:15-11:00 11:00-12:30 12:30-14:00 14:00-15:30 15:30-16:00 16:00-18:00 Sunday, June12 th, 2016 Keynote Speech, Wei Xiong, Princeton University Chair: Jianqing Fan, Princeton University Keynote Speech, Shouyang Wang, the Chinese Academy of Sciences Chair: Zhongfei Li, Sun Yat-sen University Group Photo Outside the Shansi Building Coffee/Tea Break and Session Lingnan Hall, Lingnan College WANG Daohan Conference Room, C.S.LAMConferen ce Room, 1 st Floor 1 s t Floor (I01. Xu, X.) (I02. Ai, C.) Fan, Jianqing Chen, Rong Horenstein, Alex R. Hu, Bo Zhang, Dixin Lin, Ming Lunch* (I06.Li, G. Z.) (I07.Haerdle, W.) Qin, Xiao Sun, Yunchuan Yao, Jing Wu, Libo Yin, Zhichao Yuan, Xianzhi Coffee/Tea Break (I11. Chen, R.) (I12. Li, Y.) Ai, Chunrong Ao, Mengmeng CHU, TINGJIN Mykland, Per Guo, Shaojun Tauchen, George Zhu, Liping Xie, Shangyu Wong Binglai Conference Room, 2 nd Floor Board Room, 2 nd Floor W.T.Chen Auditorium, 3 rd Floor (I03. Yao, Q.) (I04. Wang, Y.) (I05. Yang, H.) Haerdle, Wolfgang Bo, Lijun Biffis, Enrico Ling, Shiqing Cai, Ning Yeh, Jin-Huei Pan, Jiazhu Li, Lingfei Shi, Yongdong 1 st Floor, MBA Building, Lingnan College (I08.Li, X.) (I09.Wang, R.) (I10. Chen, M.) Pei, Pei Yam, Phillip Li, Duan Wu, Yangru Yang, Hailiang Li, Zhongfei Zhong, Rui Yuen, Kevin Yang, Yimin Outside the Conference Room (I13.Yeh, J. H.) (I14.Cai, J.) Mancini, Cecilia Bandi, Federico Li, Chenxu Guan, Rong Ma, Yong Xu, Howard Scaillet, Olivier Zhu, Shushang 18:30 Dinner* The Chinese Restaurant on the 2 nd Floor, Sun Yat-sen Kaifeng Hotel *Note: For lunch and dinner at canteen, please show the meal coupons issued by conference committee. 8 / 82

7 Time: Events and Locations 08:30-09:15 09:15-10:00 10:00-10:30 10:30-12:00 12:00-13:30 13:30-15:00 15:00-15:30 15:30-17:00 Monday, June13 th, 2016 Keynote Speech, Harrison Hong, Princeton University Chair: Xinzhong Xu, Sun Yat-sen University 3 rd Floor, W.T.Chen Auditorium, Lingnan Hall, Lingnan College Keynote Speech, Oliver Linton, University of Cambridge Chair: Liang Peng, Georgia State University 3 rd Floor,W.T.Chen Auditorium, Lingnan Hall, Lingnan College Coffee/Tea Break Outside the Auditorium WANG Daohan Conference Room, C.S.LAMConferenc e Room, 1 st Floor 1 s t Floor (I15.Scaillet, O.) (I16.Cai, Z.) Fuh, Cheng-der Hua, Larry Li, Guodong Li, Wai Keung Xiu, Dacheng Yang, Lijian Lunch* (I20. Wu, Y.) (I21. Zhou, Y.) Li, Xun Cai, Jun Wu, Xianping Yao, Qiwei Xu, ZuoQuan Wang, Ruodu Coffee/Tea Break (I25. Zhang, W.) (I26. Mykland, P.) Yang, Jingping Li, Wentao Zhang, Zhengjun Li, Yingying Zhou, Chen Zhang, Bo Wong Binglai Conference Room, 2 nd Floor (I17.Zhang, L.) Hautsch, Nikolaus Pelger, Markus Yang, Xiye Board Room, Floor (I18. Yao, J.) Cui, Xiangyu Yang, Nian Zhang, Zhiyuan 2 nd W.T.Chen Auditorium, 3 rd Floor (I19. Guo, S.) Kong, Xinbing Liu, Guangying Liu, Zhi 1 st Floor, MBA Building, Lingnan College (I22. Tauchen, G.) (I23.Ling, S.) (I24.Hua, L.) Yi, Yanping Cai, Zongwu Li, Ping Zhang, Lan Mao, Guangyu Xu, Maochao Zheng, Xinhua Peng, Liang Zhu, Wenjun Outside the Conference Room (I27. Li, W. K.) (I28.Zhu, S) ( 中文 ) Chen, Yan Pan, Deng Xia, Ningning Pang, Shuling Zhou, Yong Yang, Xiaoguang *Note: For lunch at canteen, please show the meal coupons issued by conference committee. 9 / 82

8 Program Details Day 1:Sunday, June12 th, :00-8:25 Registration 8:25-8:45 Opening Ceremony Chair: Zhengjun Zhang, University of Wisconsin Opening remarks: 1) Jun Ma, Vice president of Sun Yat-sen University 2) Jianqing Fan, Princeton University 8:45-9:30 Keynote Speech Speaker: Wei Xiong, China s Model of Managing the Financial System Chair: Jianqing Fan, Princeton University 9:30-10:15 Keynote Speech Speaker: Shouyang Wang, Some Progress in Financial Studies Chair: Zhongfei Li, Sun Yat-sen University 10:15-11:00 Group photo Coffee/Tea Break and Session Outside the Shansi Building Lingnan Hall, Lingnan College 10 / 82

9 11:00-12:30 Session-SM02 Lingnan Hall 12:30-14:00 Lunch 1 st Floor, MBA Building, Lingnan College 11 / 82

10 14:00-15:30 Session-SA03 Lingnan Hall 15:30-16:00 Coffee/Tea Break Outside the Conference Room 12 / 82

11 16:00-18:00 Session-SA04 Lingnan Hall 18:30 Dinner The Chinese Restaurant on the 2 nd Floor,Sun Yat-sen Kaifeng Hotel 13 / 82

12 Day 2:Monday, June13 th, 2016 Lingnan Hall 8:30-9:15 Keynote Speech 3 rd Floor, W.T.Chen Auditorium, Lingnan Hall, Lingnan College Speaker: Harrison Hong, Climate Risks and Market Chair: Xinzhong Xu, Sun Yat-sen University 9:15-10:00 Keynote Speech 3 rd Floor, W.T.Chen Auditorium, Lingnan Hall, Lingnan College Speaker: Oliver Linton, Simple Nonparametric Estimators for the Bid-Ask Spread in the Roll Model Chair: Liang Peng, Georgia State University 10:00-10:30 Coffee/Tea Break Outside the Auditorium 10:30-12:00 Session-MM02 Lingnan Hall 14 / 82

13 12:00-13:30 Lunch 1 st Floor, MBA Building, Lingnan College 15 / 82

14 13:30-15:00 Session-MA03 Lingnan Hall 15:00-15:30 Coffee/Tea Break Outside the Conference Room 16 / 82

15 15:30-17:00 Session-MA04 Lingnan Hall 17 / 82

2016 YOUNG MATHEMATICIAN FORUM Introduction To promote academic communication and cooperation between young staffs from the SMS and the BICMR of Pekin

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会议手册 Program 2016 年 6 月 日 12 th -13 th June,2016 中国 广州 中山大学 Sun Yan-sun University,Guangzhou,China

会议手册 Program 2016 年 6 月日 12 th -13 th June,2016 中国广州中山大学 Sun Yan-sun University,Guangzhou,China