时间：2020年11月20日（星期五）上午9:00-11:00

地点：广东外语外贸大学南校区院系楼401金融学院会议室

主办：广东外语外贸大学金融学院

主题一：MHieR-encoder: Modelling the high-frequency changes across stocks

主讲人简介：付志能，华南理工大学管理科学与工程博士，研究方向为金融工程与风险管理

内容简介：

Temporal dependency and mutual impact are two major aspects of the qualitative analysis of stock prices. Modelling the dynamic and complex nature of both the timeline and the mutual impact network is a challenging task for stock price prediction. Furthermore, if we want to capture the high-frequency changes of stock price, the time series will become extremely long, leading to a practical challenge in terms of modelling. To address these challenges, this paper proposes a novel memory-based hierarchical recurrent neural encoder (MHieR-encoder) to embed the time series of stock price into a new representation that preserves i) the sequential dependency of the time series and ii) the proximity relationships across stocks in the impact network. The hierarchical structure of the proposed model can easily capture the long-range dependence from an extremely long time series, including in terms of high-frequency prices. Moreover, to capture the dynamic mutual impact across stocks, the intermediate results of the impact network will be stored in the memory module to support further exploration at the training stage. The method is validated using an extremely long time series composed of the one-minute prices derived from the all the Chinese stocks in the past five years. Compared with using the baselines, using the embedding outcomes generated by our MHieR-encoder can significantly improve the accuracy to 53.1% in a three-class prediction: rising, falling and flat.

主题二：Climate Risks and Market Predictability

主讲人简介：丁宇刚，北京大学风险管理与保险学博士，研究领域为气候金融学、保险经济学、农业经济学、环境与可持续发展

内容简介：

文章用来自于卫星地图的土壤湿度数据，研究了股票市场是否有效刻画了气候风险信息。首先，文章分析了气候风险对食品行业未来利润变化率的影响，即土壤湿度是否可以有效预测下一期食品行业利润变化率。回归结果发现，土壤湿度每增加1%，意味着食品行业未来1年的利润率变化会上升0.11%。接着，文章检验了股票价格是否有效刻画了气候风险的信息，即分析土壤湿度是否可以有效预测下一期食品行业股票收益率。文章发现，土壤湿度每增加1%，意味着食品行业未来1年的收益率会上升2%。股票收益率的可预测性说明，股票市场未能有效刻画气候风险信息。文章建议，需要提高企业关于气候风险的披露水平，以提高资本市场反映气候风险信息的有效性。