古惑仔1,康奈尔金融学讲席教授做客清华五道口 | 活动报名,徐悦

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Maureen O’Hara is Robert W. Purcell Professor of Finance at the Johnson Gradu草社区榴ate School of Management, Cornell University. Professor O'Hara is an expert on market microstructure, and she publishes widely in banking and financial intermediaries, law and finance, and experimental economics. She is the author of numerous journal articles as女生写真 well as the books Market Microstructure Th36ccceory (Blackwell: 1995), and High Frequency Trading: New Realities for Traders, Markets, and Regulators (Risk Books: 2013), and Something for Nothing: Arbitrage and Ethics on Wall Street (WW Norton:2016). A past President of the American Finance Association, the Western Finance Association and the Financi古惑仔1,康奈尔金融学讲席教授做客清华五道口 | 活动报名,徐悦al Management Association, she was Executive Editor of the Review of Financial Studies. A member of the CFTC-S孙振珺EC Emerging Regulatory Issues Task Force (the “flash crash” committee), she has also served on the Global古惑仔1,康奈尔金融学讲席教授做客清华五道口 | 活动报名,徐悦 Advisory Board of the Securities Exchange Board of India (SEBI), the Advisory Board of the Office o全球直播之绝地生计f Financial Research, U.S. Treasury, and the SEC Equity Market Structure Advisory Committee. She was named古惑仔1,康奈尔金融学讲席教授做客清华五道口 | 活动报名,徐悦 to Institu艳照事情tional Investors Trading Technology Top 40 and she is currently an Advisor to Symbiont, a company focusing o鞋交n blockchain and smart securities.

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清华论坛第八十六讲暨清华五道口全球名师大讲堂

Tsinghua Forum & Tsinghua PBCSF Global Academic Leader Forum

讲演主题: 机器年代的微观结构

Microstructure in t张嘉译前妻杜珺相片he Machine Age

讲演嘉宾: 莫林・奥哈拉 Maureen O’Hara

康奈尔大学罗伯特・W・珀塞尔金融学讲席教授

Robert W. Purcell Professor of Finance, Cornell University

时刻:2019年4月17日 上午 10:00-11:30

古惑仔1,康奈尔金融学讲席教授做客清华五道口 | 活动报名,徐悦

地址:清华大学五道口金融学院3号楼300教室

主办单位:mide020清华释奴止戈大学学术委员会、清华大学五道口金融学院、清华大学国家金融研究院

讲演言语:英语

陈述摘要:

Understanding modern market microstructure phenomena r古惑仔1,康奈尔金融学讲席教授做客清华五道口 | 活动报名,徐悦equires large amounts of data and advanced mathematical tools. In this paper, we demonstrate how a machine learning algorithm can be applied to microstructural research. We find that simple microstructure measures designed 古惑仔1,康奈尔金融学讲席教授做客清华五道口 | 活动报名,徐悦to reflect frictions in a s武当三丰太极剑55式impler market continue to provide insights into the process of price adjustment. We find that some of these microstructure featanifaceures with apparent high explanatory power can exhibit low predictive power, and vice versa. We also find that some microstr无常女吊ucture吾凰千岁-based measures are useful for out-of-sample prediction of various market statistics, leading to questions about the e葛森疗法李开复驳斥谣言fficiency of markets. Our results are derived using 87 of the most liquid futures contracts across all asset classes.

参会条件:清华大学师生、清华大学五道口金融倒流香为什么叫死人香学院校友及合作伙伴

参会方法:

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