标题1：Portfolio Selection with Deep Learning

报告人：赖永增（加拿大劳瑞尔大学教授）

地点：数学与计算机科学学院4号楼225会议室

时间：2019年05月30日上午10：30

摘要：

In this paper, we propose a two-stage framework to construct portfolios based on deep learning algorithms. In stage 1, we used principal component analysis (PCA), auto-encoder(AE) and restricted Boltmann machine (RBM) as data representation methods to reconstruct the stock prices, and select outstanding stocks to enter the portfolio according to the characteristics of data reconstruction. In stage 2, taking stock index as target, using rectified linear unit (Relu) activation function to train networks to construct investment portfolios. Our results show that (1) there is no significant difference in the performance of different data representation methods; (2) the contribution of communal information to the optimal portfolio descended with the number of selected stocks; (3) the characteristics of different markets obtained by deep learning are different; (4) this model achieves good results for different frequency data.

标题2：Monte Carlo and Quasi-Monte Carlo Methods with Applications in Financial Engineering

报告人：赖永增（加拿大劳瑞尔大学教授）

地点：数学与计算机科学学院4号楼225会议室

时间：2019年05月31日上午10：30

摘要：

The Monte Carlo simulation method is indispensable to deal with high dimensional problems. It is widely used in many fields. The most recent application fields of this method are artificial intelligence and big data. The main drawback of this method is the issue of slow convergence. To accelerate the convergence, variance reduction methods, effective dimension method, quasi-Monte Carlo methods, and their combinations were developed. In this talk, we will introduce various speeding up methods of the Monte Carlo and quasi-Monte Carlo methods with applications to financial engineering. If time permits, I will also introduce applications of the Monte Carlo and quasi-Monte Carlo methods to other areas.

报告人简介：

赖永增是加拿大劳瑞尔大学数学系正教授，于1983年和1988年分别在中山大学获得学士学位和硕士学位，于2000 年在美国克莱蒙研究生院获得博士学位，2000年5月至2002年6月在加拿大滑铁卢大学高级金融研究中心和统计与精算学系做博士后研究员。2002年6月到现在一直在加拿大劳瑞尔大学数学系做教授。主要研究领域包括金融数学（衍生产品的定价与风险管理、金融计算、 投资组合优化、 随机分析在金融和保险中的应用）、微分方程在金融和经济学中的应用、蒙特卡洛和拟蒙特卡洛仿真方法及应用。在Automatica, Journal of Computational Finance, Computers & Operations Research, Insurance Mathematics and Economics, Economic Modeling, Nonlinear Analysis, Computational Statistics & Data Analysis 等国际期刊及会议录上已经发表了40 多篇论文。主持加拿大国家自然科学基金多项，部分合作文章获教育部科研优秀成果三等奖及广东省社科优秀成果一等奖。