讲座简介：
Social interactions are well documented in financial markets, )n particularwhen facing information uncertainty. This paper develops a simple evolutionarymodel of asset pricing and population dynamics to incorporate social interactionsamong investors with heterogeneous beliefs on information uncertainty.We show that social interactions can lead to mis-pricing and existence of multiplesteady state equilibria, generating two different volatility regimes, bi-modaldistribution in population dynamics, and stochastic volatility. As a result, thestochastic switching between two different volatility regimes and the persistentdominance of the populations with different beliefs explain volatility clustering,time series momentum in the short-run and reversal in the long-run.
主讲人简介：
Tony He has been a Professor in Finance at University of Technology Sydney (UTS) since 2010. He has been a co-editor of Journal of Economic Dynamics and Control (an ABDC A* journal) since 2013.
Prof. Tony He received his PhD in Finance in 2001 from UTS and PhD in Applied Mathematics in 1995 from Flinders University, the two fundamental disciplines that underpin his areas of teaching and research.
Tony is an internationally recognized expert in financial market modelling and nonlinear dynamics in finance and economics. His research interests cover a broad area of theoretical asset pricing and financial market modelling with heterogeneous beliefs, adaptive learning, and social interaction, and empirical testing on various financial market anomalies and stylized facts such as volatility clustering, profitability of optimal trading, and return predictability. His international research profile is attested by his more than 40 publications in the field of finance and economics, invited contributions to the prestigious Handbook of Financial Markets and Handbook of Computational Economics, numerous keynote talks in the international conferences, and a number of competitively national and international research grants. As a mathematician in his earlier career, Tony has established an international reputation in the field of the theory and application of nonlinear dynamical systems and published more than 40 papers in this area. He has organized and served as committee member of international workshops and conferences. He has also served as associate editor and reviewer of a number of journals in finance, economics and mathematics.
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管理学院
2016年11月15日
