时间：4月21日 12:05-13:30

地点：博远楼第三报告厅

主题：Modelling Market fluctuations under Investor Sentiment with a Hawkes-Contact Process

主要内容：

We present a new Hawkes-Contact model that combines a Hawkes process and a finite range contact process in order to model the stock price movements, especially under the impact of news and other information flows that could lead to contagious effects. To fully capture the underlying price process, we take the Hawkes process to track the full pathway of historical prices on their future movements and the contact process to capture the impact from news/investment sentiment. We compare this full model to a univariate Hawkes process that works as a benchmark model through analyzing their statistical properties using both simulated returns and the real five-minute returns of the crude oil index (Wind CZCE-TA). The statistical results show that the real returns’ distribution is often far from normal but the simulated returns through the Hawkes or Hawke-contact model can achieve close fit to the real returns and exhibit similar statistical properties. More importantly, the Hawkes-Contact model performs better than the simple Hawkes model in capturing characteristics in the return movements, which indicates that the price evolution is also driven by the news announcements and sentiment created after them.

主讲人简介：

张军欢，北京航空航天大学经济管理学院副教授。英国伦敦国王学院计算机科学（计算金融学）博士，美国佐治亚大学人工智能博士后。主要研究方向为人工智能和区块链在金融和经济领域的交叉应用，如金融科技，市场机制与监管科技，算法交易，行为与计算金融，区块链金融等。曾受邀访问美国芝加哥大学Booth商学院，范德堡大学经济系，美国乔治梅森大学经济系。主持国家级课题多项，包括国家重点研发计划项目课题、国家自然科学基金青年项目等；研究成果发表在European Journal of Finance, Quantitative Finance, Review of Quantitative Finance and Accounting等国际期刊。