News

June 28,2018

Lars Peter Hansen: How to Navigate in the Mist of Uncertainties

On June 14th, 2018, “Lujiazui Forum - SAIF Night: Financial Reform and Risk Prevention under Economic Globalization" was jointly hosted by Shanghai Advanced Institute of Finance (SAIF) and CBN Research Institute. It greeted Prof. Lars Peter Hansen, Nobel Laureate in Economics in 2013 and Professor of Economics at the University of Chicago. Prof. Hansen gave a speech on the multiple factors of uncertainties, the complexity of statistics, the rational expectations theory in economic models, and the practical significance of uncertainty to climate change and financial market regulation. Panel discussants included: Dr. Yang Li, Chairman of the National Financial Development Laboratory; Dr. Chenghui Zhang, former Director of the Financial Research Institute of the Development Research Center of the State Council; Prof. Chun Chang, Executive Dean and Professor of Finance at SAIF; Dr. Z Yudong Yao, Chief Economist of Dacheng Fund; and Prof. Jianping Ding, Director of the Center for Modern Finance Research at Shanghai University of Finance and Economics. They discussed financial reforms and risk prevention under economic globalization with Prof. Hansen. According to Prof. Hansen, although financial market regulation is a complex issue, a complete set of complex solutions might be unnecessary, “because we have to admit that our understanding of financial markets and macroeconomics is limited. We blindly pursue complex solutions, while, in some cases, simple policies can help us avoid uncertainty.” He suggested that different models can be compared to find potential alternatives. In addition, simple and prudent policies should be adopted because they can avoid increasing uncertainty in an economic environment and perform well in different models. "The economy itself is already complicated. If we adopt complex policies, it will lead to more uncertainties. Moreover, many policies have room for self-discretion, which will add further uncertainties."

June 27,2018

Michael Jordan on AI: Artificial Intelligence or Limited Intelligence

On May 24th, 2018, SAIF-CAFR Distinguished SpeakerSeries hosted by Shanghai Advanced Institute of Finance (SAIF), at Shanghai Jiao Tong University (SJTU) welcomed Michael Jordan. He is a Professor of both the Department of Electrical Engineering and Computer Science and the Department of Statistics of the University of California at Berkeley, and is a master of machine learning. He delivered a speech on the theme of "The Prospects and Challenges of Artificial Intelligence", which explained the precise implications of Artificial Intelligence (AI) and the possibility of AI commercialization. Feng Li, Deputy Dean and Professor of Accounting at SAIF, discussed the prospects and challenges of AI in both technical direction and business model, with Jordan. For the application of AIin the financial sector, Prof. Jordan believed that although AI has its own merits, it is impossible to replace human intuition, because human insights are extraordinary. When talking about excessive data in financial applications, he stated that in some domains, data is not a problem (the more data the better); while in other areas, it may cause confusion and should be avoided. In his keynote speech, Prof. Jordan analyzed the current position and practical principles of AI in applications and vividly demonstrated how machine learning can make progress in deep learning. He started with the word “AI” and pointed out: "AI is not a new thing. It used to be machine learning. It is still far from intelligence." In his opinion, real intelligence calls for forward-looking planning.

June 20,2018

Professor Feng Li Wins "Seminal Contributions to Accounting Literature Awar ...

On June 14th, 2018 (EST), the American Accounting Association (AAA) named Prof. Feng Li, Deputy Dean and Professor of Accounting of Shanghai Advanced Institute of Finance (SAIF), as the Winner of the "Seminal Contributions to Accounting Literature Award" in 2018. AAA stated in the announcement that Prof. Feng Li won this honor with two independent papers, namely: “Annual Report Readability, Current Earnings, and Earnings Persistence" (2008,Journal of Accounting and Economics), and “The Information Content of Forward-Looking Statements in Corporate Filings – A Naïve Bayesian Machine Learning Approach” (2010,Journal of Accounting Research). AAA also announced that it would present this award to Prof. Li at the annual conference of the American Accounting Association in Washington on August 8, 2018. Prof. Li holds a Ph.D. in Accounting from the Booth School of Business, University of Chicago. Returning to China in 2015, he now serves as both Professor of Accounting and as Deputy Dean and Director of MBA Program at SAIF, Shanghai Jiao Tong University (SJTU). Prior to joining SAIF, he worked at the Stephen M. Ross School of Business of the University of Michigan and became the Harry Jones Associate Professor of Accounting, with tenure, in 2011. AAA is the largest accounting academic organization in the United States. Founded in 1916, it is also one of the most influential accounting associations in the world. The annual "Seminal Contributions to Accounting Literature Award" granted by AAA covers papers or findings published within 5-15 years prior to the award year. It is a major recognition of unique contributions to accounting education, practices, or future accounting research. The winning papers shall be original, innovative, elaborate, and well organized — based upon sound and appropriate methodology.

June 15,2018

Nobel Laureate at SAIF Distinguished Speaker Series Oliver Hart: Maximizing Shar ...

On May 11th, 2018, Oliver Hart, Nobel Laureate in Economics in 2016 and Professor of Economics at Harvard University arrived at SAIF-CAFR Distinguished SpeakerSeries hosted by Shanghai Advanced Institute of Finance (SAIF), Shanghai Jiao Tong University (SJTU). He shared his insights on corporate governance and maximization of shareholder interests from the perspective of the mandatory functions of an enterprise. Prof. Chun Chang, Executive Dean and Professor of Finance at SAIF; Prof. Hong Yan, Deputy Dean and Professor of Finance at SAIF; and Jun Shao, Chairman of DT Capital, discussed corporate governance and development in the new era of industry-finance integration with Prof. Hart. In his keynote speech, Prof. Hart stated that there is a clear difference between corporate goals and the goals of individuals and governments.Thus, it is necessary to separate the activities that cause damage from those that make profits; government can perfectly internalize the external effects through laws and regulations. In general, shareholders’ interests do not equal the company’s market value, and companies should maximize the former instead of the latter. Regarding management decisions that may have significant social consequences, a company should consult its shareholders. Prof. Hart pointed out, "Although in many cases, a company represents the interests of its shareholders, which need to be maximized, it doesn’t necessarily mean to maximize its market value or profitability.” He also cited a number of examples. For instance, although an electric car is more expensive than an ICE car, many buyers still prefer electric cars, because they are concerned about the environment. Similarly, some people prefer free-range chicken to chicken raised in industrialized farms. Prof. Hart further stressed that in addition to cost effectiveness, many people also attach importance to other factors, such as social interests and the impact of their actions on the community. These consumers might be shareholders of certain companies, who hope that their investments will be good for the social welfare. Therefore, the companies they invest in will engage in “pro-social” behaviors, and be beyond profitability and market value. As a result, he revealed a brand-new perspective, “The money-making and pro-social behaviors of a company are interrelated and interdependent. It is impossible to separate its profitable activities from its social effects. Individuals need to realize social interests and internalize external effects through their behaviors.”

May 25,2018

Leading China's Finance and Management Education - Strategic Collaboration betwe ...

Shanghai, May 16, 2018—The Shanghai Advanced Institute of Finance (SAIF), a leading educator in modern finance and management in China, today entered into a Memorandum of Understanding (MOU) with the Wharton School (Wharton) of the University of Pennsylva

May 17,2018

CAFR Workshop on Mathematical Finance Held

May 14, 2018. Shanghai - How can one bridge the gap between academia and industry? And how will mathematics help with the overall improvement of society by solving economic, financial and even energy problems? As a response to these questions, five Canadian scholars in mathematics gathered at the CAFR Workshop on Mathematical Finance and presented their most recent research projects. They were: - Prof. Tom Salisbury, York University; - Prof. Matheus Grasselli, McMaster University; - Nathan Gold, PHD Candidate, York University; - Andrew Day, PHD Candidate, University of Western Ontario; - Prof. Sebastian Jaimungal, University of Toronto. The workshop was initiated and moderated by Prof. Samuel Drapeau from China Academy of Finance Research, Shanghai Jiao Tong University. After a short welcome speech delivered by Prof. Drapeau, Prof. Tom Salisbury shared his co-authored paper: “Uncertain Correlation and Credit Derivatives”. In the paper, he and his coauthors consider a credit derivative involving two stocks whose marginal laws are known, but whose correlation is uncertain. And they attempt to answer the question: how large a spread can there be in price, and what are the best-case or worst-case scenarios? Prof. Salisbury illustrated this numerically in some generality, and discussed particular payoffs for which they could find closed form solutions. The most interesting of these involves rapid switching of correlations and leads to a new characterization of skew Brownian motion. Prof. Tom Salisbury, York University Prof. Grasselli began his presentation of the paper “Banking Networks and the Circuit Theory of Money” with the question “10 years on, what have we learned?” In the paper, he and his authors consider a network of banks with interconnected balance sheets coupled with a macroeconomic model for households, firms, and the government sector. The key feature of the model is that money is created endogenously by the banking sector to satisfy the demand for loans and deposits of the other economic agents. The macroeconomic core model is driven by stochastic consumption, with firms adjusting investment according to realized profits and capacity utilization. Stock-flow consistent between savings of the different sectors in turn give the total amount of external loans and deposits for the banking sector. They then assume that these aggregate quantities are distributed among the banks using a preferential attachment mechanism and study the stability of the resulting network. Crucially, the amplification of shocks within the banking network can, by rationing of available credit, drive the macroeconomic model away from its stable equilibrium and provoke an economic crisis. Prof. Matheus Grasselli, McMaster University While presenting his paper “Change-Point Detection and Forecasting of the U.S. Dollar Index and Equity Markets”, Nathan Gold pointed out that while the commonality of liquidity between foreign exchange and equity markets had recently been studied, less attention had been paid to common structural breaks in both markets. Common structural breaks are suggestive of a dominant common risk factor between these different markets, similar to risk factors found between equity markets. Such structural breaks violate the assumption of stationary return distributions, leaving fixed parametric models unable to generalize over different temporal regions, and voiding forecasts. To study these effects and detect changes in real time, they apply a Bayesian online change-point detection algorithm to determine economic regime changes in the returns of the U.S. Dollar Index and the S\&P 500 from 2005-2015. Using a nonlinear Gaussian process time series model to forecast future observations and detect regime changes, they are able to link worldwide economic and political events to regime changes in both the U.S. Dollar Index and the S\&P 500, and find commonality in periods of high volatility between these markets. Nathan Gold, PHD Candidate, York University Andrew Day’s study “Connection between Flux/Slope Limiter Methods and Simulation Based Approaches for Optimal Control of Energy Storage” focuses on the problem of energy storage, which is a key problem facing society as the human race makes the transition to the new “green” energy economy. Determining optimal control strategies for storage facilities in the face of market-determined prices for electricity requires the numerical solution of partial differential equations (PDEs). In this talk, Day highlighted the various difficulties arising from numerically solving this PDE along with an alternative approach based on the least squares Monte Carlo method. Andrew Day, PHD Candidate, University of Western Ontario According to his presentation, Prof. Sebastian Jaimungal’s paper “Algorithmic Trading with Partial Information: A Mean Field Game Approach” addresses an algorithmic trading problem with collections of heterogeneous agents who aim to perform statistical arbitrage, where all agents filter the latent states of the world, and their trading actions have permanent and temporary price impact. This leads to a large stochastic game with heterogeneous agents. He and his coauthor solve the stochastic game by investigating its mean-field game (MFG) limit, with sub-populations of heterogeneous agents, and, using a convex analysis approach, they show that the solution is characterized by a vector-valued forward-backward stochastic differential equation (FBSDE). They demonstrate that the FBSDE admits a unique solution, obtain it in closed-form, and characterize the optimal behavior of the agents in the MFG equilibrium. Moreover, they prove the MFG equilibrium provides an ϵ-Nash equilibrium for the finite player game. They conclude by illustrating the behavior of agents using the optimal MFG strategy through simulated examples. Prof. Sebastian Jaimungal, University of Toronto Throughout the workshop, the audience showed their great interest in the papers. They posed questions and gave suggestions, which provided new insights for the presenters to make further improvement on their studies. About CAFR China Academy of Financial Research (CAFR) is a research institute affiliated to Shanghai Jiao Tong University. We are devoted to establish a top-notch open financial research platform and think tank to support the financial reform and financial market development in China. CAFR introduces cutting-edge finance theories, methodologies and technologies to studying practical issues in China’s financial system reform and financial market development, and our research team is composed of leading scholars in finance from domestic and abroad. We provide policy advices to government decision makers as well as solutions to financial institutions and corporations. CAFR collaborates with China’s government agencies closely and has been appointed as the academic research partner for the People’s Bank of China, Shanghai Head Office. We have established extensive research network with institutions in academia and financial industry as well. We also host high-end event series for scholars, government officials and industry elites to exchange ideas. Shanghai Finance Forum, one of our event series, has been recognized as an impactful communication platform to discuss the issues in developing Shanghai into an international financial center.

April 12,2018

Prof. Hong Chen Listed in the Chinese Most Cited Researchers 2017 by Elsevier

Recently, Elsevier officially announced the Chinese Most Cited Researchers 2017, which features Prof. Hong Chen at Shanghai Jiao Tong University Shanghai Advanced Institute of Finance (SAIF), who was also included in the list in 2016. This honor demonstrates the powerful capabilities of SAIF faculty in research and knowledge creation. One of the leading scholars in the domain of management science, Prof. Chen has made remarkable academic contributions and is highly recognized in this discipline.

April 12,2018

CFA Institute Asia-Pacific Capital Markets Research
Award Comes to SAIF Facu ...

At 2017 Auckland Finance Meeting, the paper Smart Beta, Smart Money written by Prof. Yeguang Chi, Assistant Professor of Finance at Shanghai Jiao Tong University Shanghai Advanced Institute of Finance (SAIF), won the honor of 2017 CFA Institute Asia-Pacific Capital Markets Research Award. Carefully analyzing the results and position dynamics of 535 equity funds launched between early 1998 and end 2015 in China, Prof. Chi concludes that while compared to individual investors, Chinese institutional investors represented by mutual funds prefer large cap blue-chip stocks, they continuously beat individual investors and the market thanks to outstanding timing skill. In the article, he also compares the results to the data of US equity funds between 1980 and 2014. In 2016, the paper Private Information in the Chinese Stock Market: Evidence from Mutual Funds and Corporate Insiders, also presented by Prof. Chi, was granted with the 29th Australasian Finance and Banking Conference CFA Institute Research Award.

April 09,2018

SAIF Team Won CFA Research Challenge 2017-2018 in Shanghai & Ready for Asia ...

During the Shanghai Local Final of The CFA Institute Research Challenge 2017-2018 held on December 24th, 2017, the team from Shanghai Advanced Institute of Finance (SAIF) beat 12 other competitors in the Written Report session and entered the final as the

April 09,2018

Sparks of Thought on FinTech - 2018 IYLFS Successfully Held

2018 International Youth Leadership Finance Summit (2018 IYLFS) organized by Shanghai Advanced Institute of Finance (SAIF) Master of Finance (MF) Program rang down its curtain in Shanghai recently.