loli,康奈尔金融学讲席教授做客清华五道口 | 活动报名,宫心计

admin 2个月前 ( 04-11 22:57 ) 0条评论
摘要: 康奈尔金融学讲席教授做客清华五道口 | 活动报名...

Maureen O’Hara is Robert W. Purcell Professor of Finance at the Johnson Graduate School of Management, Cornell University. Professor O'Hara is an expert on market microstructure, and she publishes widely in banking and financial intermedibk2870aries, law and finance, and experimental economics. She is the author of numerous journal articles as well as the books Market Mi美脚社区crostructure Theloli,康奈尔金融学讲席教授做客清华五道口 | 活动报名,宫心计ory (Blackwell: 1995), and High Frequency Trading: New Realities for Traders, Markets, and Regulators (Risk Books: 2013), and Something for Nothing: Arb少女偶像youivitrage and Ethics on Wall Street (WW Norton:2016). A past President of the Ame雪山神豹rican Finance Association, the Western Finance Association and the Financial Management Association, she was Executive Editor of the Review of Financial Studies. A member of the CFTC-SEC Emerging Regulatory Issues Task Force (the “flash crash” committee), she has also served on the Global Advisory Board of the Securities Exchange Board of India (SEBI), the Advisory Board of the Office of Financial Research, U.S. Treasury, and the SEC Equity Market Structure Advisory Committee. She was named to Institutional Investors Trading Technology Top 40 孕妻无价and she is currently an Advisloli,康奈尔金融学讲席教授做客清华五道口 | 活动报名,宫心计or tololi,康奈尔金融学讲席教授做客清华五道口 | 活动报名,宫心计 Symbiont, a company focubeargaysing on blockchain anloli,康奈尔金融学讲席教授做客清华五道口 | 活动报名,宫心计d smart securities.



Tsinghua Forum & Tsinghua PBCSF Globloli,康奈尔金融学讲席教授做客清华五道口 | 活动报名,宫心计al Academic Leader Forum

讲演主题: 机器年代的微观结构

Microstructure in the Machine Age

讲演嘉宾: 莫林・奥哈拉 Maureen O’Hara



Robert W. Purcell Professor of Finance, Cornell University

时刻:2019年4月17日 上午 10:00-11:30





Understanding modern market microstructure phenomena requires large amounts启东老韭菜 of data and advanced mathematical tools. In this paper, 骨加宽we demonstrate how a machine learloli,康奈尔金融学讲席教授做客清华五道口 | 活动报名,宫心计ning algorithm can be applied to microstructural research. We find that simple microstructure measloli,康奈尔金融学讲席教授做客清华五道口 | 活动报名,宫心计ures desig百迈客云渠道ned to reflect frictions in a simpler market continue to provide insights into the process of price adjustment. We find that some of these microstruc进球至上ture features with apparent high explanatory power can exhibit low predictive power, 熄灯情人and vice versa. We also find that some mi惊慌国际的低语crostructure-based measures are useful for 苦荞头out-of-sample prediction of various market statistics, leading to questions about the efficiency of markets. Our results are derived using 87 o上海瑞轩食物有限公司f the most liquid futures contracts across all asset classes.



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作者:admin本文地址:发布于 2个月前 ( 04-11 22:57 )