• Jun 15, 2018 Nobel Laureate at SAIF Distinguished Speaker Series Oliver Hart: Maximizing Shar ...
    On May 11th, 2018, Oliver Hart, Nobel Laureate in Economics in 2016 and Professor of Economics at Harvard University arrived at SAIF-CAFR Distinguished SpeakerSeries hosted by Shanghai Advanced Institute of Finance (SAIF), Shanghai Jiao Tong University (SJTU). He shared his insights on corporate governance and maximization of shareholder interests from the perspective of the mandatory functions of an enterprise. Prof. Chun Chang, Executive Dean and Professor of Finance at SAIF; Prof. Hong Yan, Deputy Dean and Professor of Finance at SAIF; and Jun Shao, Chairman of DT Capital, discussed corporate governance and development in the new era of industry-finance integration with Prof. Hart. In his keynote speech, Prof. Hart stated that there is a clear difference between corporate goals and the goals of individuals and governments.Thus, it is necessary to separate the activities that cause damage from those that make profits; government can perfectly internalize the external effects through laws and regulations. In general, shareholders’ interests do not equal the company’s market value, and companies should maximize the former instead of the latter. Regarding management decisions that may have significant social consequences, a company should consult its shareholders. Prof. Hart pointed out, "Although in many cases, a company represents the interests of its shareholders, which need to be maximized, it doesn’t necessarily mean to maximize its market value or profitability.” He also cited a number of examples. For instance, although an electric car is more expensive than an ICE car, many buyers still prefer electric cars, because they are concerned about the environment. Similarly, some people prefer free-range chicken to chicken raised in industrialized farms. Prof. Hart further stressed that in addition to cost effectiveness, many people also attach importance to other factors, such as social interests and the impact of their actions on the community. These consumers might be shareholders of certain companies, who hope that their investments will be good for the social welfare. Therefore, the companies they invest in will engage in “pro-social” behaviors, and be beyond profitability and market value. As a result, he revealed a brand-new perspective, “The money-making and pro-social behaviors of a company are interrelated and interdependent. It is impossible to separate its profitable activities from its social effects. Individuals need to realize social interests and internalize external effects through their behaviors.”
  • May 25, 2018 Leading China's Finance and Management Education - Strategic Collaboration betwe ...
    Shanghai, May 16, 2018—The Shanghai Advanced Institute of Finance (SAIF), a leading educator in modern finance and management in China, today entered into a Memorandum of Understanding (MOU) with the Wharton School (Wharton) of the University of Pennsylva
  • May 17, 2018 CAFR Workshop on Mathematical Finance Held
    May 14, 2018. Shanghai - How can one bridge the gap between academia and industry? And how will mathematics help with the overall improvement of society by solving economic, financial and even energy problems? As a response to these questions, five Canadian scholars in mathematics gathered at the CAFR Workshop on Mathematical Finance and presented their most recent research projects. They were: - Prof. Tom Salisbury, York University; - Prof. Matheus Grasselli, McMaster University; - Nathan Gold, PHD Candidate, York University; - Andrew Day, PHD Candidate, University of Western Ontario; - Prof. Sebastian Jaimungal, University of Toronto. The workshop was initiated and moderated by Prof. Samuel Drapeau from China Academy of Finance Research, Shanghai Jiao Tong University. After a short welcome speech delivered by Prof. Drapeau, Prof. Tom Salisbury shared his co-authored paper: “Uncertain Correlation and Credit Derivatives”. In the paper, he and his coauthors consider a credit derivative involving two stocks whose marginal laws are known, but whose correlation is uncertain. And they attempt to answer the question: how large a spread can there be in price, and what are the best-case or worst-case scenarios? Prof. Salisbury illustrated this numerically in some generality, and discussed particular payoffs for which they could find closed form solutions. The most interesting of these involves rapid switching of correlations and leads to a new characterization of skew Brownian motion. Prof. Tom Salisbury, York University Prof. Grasselli began his presentation of the paper “Banking Networks and the Circuit Theory of Money” with the question “10 years on, what have we learned?” In the paper, he and his authors consider a network of banks with interconnected balance sheets coupled with a macroeconomic model for households, firms, and the government sector. The key feature of the model is that money is created endogenously by the banking sector to satisfy the demand for loans and deposits of the other economic agents. The macroeconomic core model is driven by stochastic consumption, with firms adjusting investment according to realized profits and capacity utilization. Stock-flow consistent between savings of the different sectors in turn give the total amount of external loans and deposits for the banking sector. They then assume that these aggregate quantities are distributed among the banks using a preferential attachment mechanism and study the stability of the resulting network. Crucially, the amplification of shocks within the banking network can, by rationing of available credit, drive the macroeconomic model away from its stable equilibrium and provoke an economic crisis. Prof. Matheus Grasselli, McMaster University While presenting his paper “Change-Point Detection and Forecasting of the U.S. Dollar Index and Equity Markets”, Nathan Gold pointed out that while the commonality of liquidity between foreign exchange and equity markets had recently been studied, less attention had been paid to common structural breaks in both markets. Common structural breaks are suggestive of a dominant common risk factor between these different markets, similar to risk factors found between equity markets. Such structural breaks violate the assumption of stationary return distributions, leaving fixed parametric models unable to generalize over different temporal regions, and voiding forecasts. To study these effects and detect changes in real time, they apply a Bayesian online change-point detection algorithm to determine economic regime changes in the returns of the U.S. Dollar Index and the S\&P 500 from 2005-2015. Using a nonlinear Gaussian process time series model to forecast future observations and detect regime changes, they are able to link worldwide economic and political events to regime changes in both the U.S. Dollar Index and the S\&P 500, and find commonality in periods of high volatility between these markets. Nathan Gold, PHD Candidate, York University Andrew Day’s study “Connection between Flux/Slope Limiter Methods and Simulation Based Approaches for Optimal Control of Energy Storage” focuses on the problem of energy storage, which is a key problem facing society as the human race makes the transition to the new “green” energy economy. Determining optimal control strategies for storage facilities in the face of market-determined prices for electricity requires the numerical solution of partial differential equations (PDEs). In this talk, Day highlighted the various difficulties arising from numerically solving this PDE along with an alternative approach based on the least squares Monte Carlo method. Andrew Day, PHD Candidate, University of Western Ontario According to his presentation, Prof. Sebastian Jaimungal’s paper “Algorithmic Trading with Partial Information: A Mean Field Game Approach” addresses an algorithmic trading problem with collections of heterogeneous agents who aim to perform statistical arbitrage, where all agents filter the latent states of the world, and their trading actions have permanent and temporary price impact. This leads to a large stochastic game with heterogeneous agents. He and his coauthor solve the stochastic game by investigating its mean-field game (MFG) limit, with sub-populations of heterogeneous agents, and, using a convex analysis approach, they show that the solution is characterized by a vector-valued forward-backward stochastic differential equation (FBSDE). They demonstrate that the FBSDE admits a unique solution, obtain it in closed-form, and characterize the optimal behavior of the agents in the MFG equilibrium. Moreover, they prove the MFG equilibrium provides an ϵ-Nash equilibrium for the finite player game. They conclude by illustrating the behavior of agents using the optimal MFG strategy through simulated examples. Prof. Sebastian Jaimungal, University of Toronto Throughout the workshop, the audience showed their great interest in the papers. They posed questions and gave suggestions, which provided new insights for the presenters to make further improvement on their studies. About CAFR China Academy of Financial Research (CAFR) is a research institute affiliated to Shanghai Jiao Tong University. We are devoted to establish a top-notch open financial research platform and think tank to support the financial reform and financial market development in China. CAFR introduces cutting-edge finance theories, methodologies and technologies to studying practical issues in China’s financial system reform and financial market development, and our research team is composed of leading scholars in finance from domestic and abroad. We provide policy advices to government decision makers as well as solutions to financial institutions and corporations. CAFR collaborates with China’s government agencies closely and has been appointed as the academic research partner for the People’s Bank of China, Shanghai Head Office. We have established extensive research network with institutions in academia and financial industry as well. We also host high-end event series for scholars, government officials and industry elites to exchange ideas. Shanghai Finance Forum, one of our event series, has been recognized as an impactful communication platform to discuss the issues in developing Shanghai into an international financial center.
  • Apr 12, 2018 Prof. Hong Chen Listed in the Chinese Most Cited Researchers 2017 by Elsevier
    Recently, Elsevier officially announced the Chinese Most Cited Researchers 2017, which features Prof. Hong Chen at Shanghai Jiao Tong University Shanghai Advanced Institute of Finance (SAIF), who was also included in the list in 2016. This honor demonstrates the powerful capabilities of SAIF faculty in research and knowledge creation. One of the leading scholars in the domain of management science, Prof. Chen has made remarkable academic contributions and is highly recognized in this discipline.
  • Apr 12, 2018 CFA Institute Asia-Pacific Capital Markets Research
    Award Comes to SAIF Facu ...
    At 2017 Auckland Finance Meeting, the paper Smart Beta, Smart Money written by Prof. Yeguang Chi, Assistant Professor of Finance at Shanghai Jiao Tong University Shanghai Advanced Institute of Finance (SAIF), won the honor of 2017 CFA Institute Asia-Pacific Capital Markets Research Award. Carefully analyzing the results and position dynamics of 535 equity funds launched between early 1998 and end 2015 in China, Prof. Chi concludes that while compared to individual investors, Chinese institutional investors represented by mutual funds prefer large cap blue-chip stocks, they continuously beat individual investors and the market thanks to outstanding timing skill. In the article, he also compares the results to the data of US equity funds between 1980 and 2014. In 2016, the paper Private Information in the Chinese Stock Market: Evidence from Mutual Funds and Corporate Insiders, also presented by Prof. Chi, was granted with the 29th Australasian Finance and Banking Conference CFA Institute Research Award.
  • Apr 09, 2018 SAIF Team Won CFA Research Challenge 2017-2018 in Shanghai & Ready for Asia ...
    During the Shanghai Local Final of The CFA Institute Research Challenge 2017-2018 held on December 24th, 2017, the team from Shanghai Advanced Institute of Finance (SAIF) beat 12 other competitors in the Written Report session and entered the final as the
  • Apr 09, 2018 Sparks of Thought on FinTech - 2018 IYLFS Successfully Held
    2018 International Youth Leadership Finance Summit (2018 IYLFS) organized by Shanghai Advanced Institute of Finance (SAIF) Master of Finance (MF) Program rang down its curtain in Shanghai recently.
  • Jan 23, 2018 Prof. Hong Chen (SAIF) Once Again Topped the List of Most Cited Chinese Research ...
    Elsevier recently released the list of the Most Cited Chinese Researchers in 2018. Prof. Hong Chen from Shanghai Advanced Institute of Finance (SAIF) at Shanghai Jiao Tong University (SJTU), once again topped the list in the category of “Decision-making Science". Prof. Chen currently serves as Professor of Management Science at SAIF; his research interests include production and supply chain management, financial services operations and risk management, queuing network theory and applications, and case studies of China's supply chain management best practices. At present, his research focuses on clean energy, in particular, the market and investment of hydrogen energy. Prof. Chen has published numerous research papers in world class operational management journals, including over 60 publications in Operations Research, Management Science, Annals of Probability Mathematics of Operations Research Manufacturing and Service Operations Management, and IEEE Transactions on Automatic Control. He has also written a wide range of teaching cases and articles about supply chain management in China. Prof. Chen served as Chairman of the INFORMS Society on Applied Probability and was selected for China’s Recruitment Program of Global Experts.
  • Dec 20, 2017 Ian Goldin on Risks and Opportunities in the Age of Neo-Renaissance at SAIF·CAF ...
    During SAIF·CAFR Lecture on August 30th, 2017 at Shanghai Jiao Tong University Shanghai Advanced Institute of Finance (SAIF), Prof. Ian Goldin, Professor at Oxford Martin School and former Vice President of World Bank, served as the keynote speaker on the topic of “Risks and Opportunities in the Age of Neo-Renaissance”. Based on his latest bestseller Age of Discovery:Navigating the Risks and Rewards of Our New Renaissance, Prof. Goldin worked with Dr. Chris Kutarna, PhD of Political Science, co-author and Research Fellow at Oxford Martin School, and reviewed the risks and opportunities in the context of globalization in terms of geopolitics, technology and information media. In his lecture, Prof. Goldin claimed that China was expected to retain a growth rate of 6% or above over the next decade and would soon become the largest economy in the world. In the future, 80% of economic growth will derive from developing economies and emerging markets will act as the driving force behind worldwide economic changes, as they play an increasingly important role in the world economy. Prof. Goldin also pointed out that economic changes would gradually eliminate trading and financial barriers. Internet facilitates the spread of thoughts across the world and triggers radical changes in the era. However, as the connections between people grow closer and more complicated, there also comes contagious crises, similar to the case in the age of Renaissance in the 14th to 17th centuries. He sharply noted that the global governance system today wasn’t tailored for the 21st century.
  • Dec 20, 2017 Prof. Tao Zha of SAIF Named as Fellow of Econometric Society
    The Econometric Society officially named Prof. Tao Zha, Distinguished Professor of Economics at Shanghai Jiao Tong University Shanghai Advanced Institute of Finance, as Fellow of Econometric Society on November 17th, 2017. Founded on December 20th, 1930, the Econometric Society is one of the largest and most respected economic societies, which gathers the best economists across the world. 20 new fellows were named in 2017, among which Prof. Zha is the sole Chinese economist. Prof. Zha’s research interest focuses on macroeconomics, financial economics, Chinese economy and econometrics. At present, he serves as Chair Professor of Economics at Emory University and Director of Center for Quantitative Economics Research at Federal Reserve Bank of Atlanta. Three of his articles have been quoted by the Committee of Nobel Prizes in Economic Sciences. He has also won the grants of National Science Foundation and ECB Wim Duisenberg Fund. Prof. Zha has acted as Distinguished Professor at Shanghai Jiao Tong University Shanghai Advanced Institute of Finance (SAIF) and Director of Center for Macro Financial Research at China Academy of Financial Research (CAFR) since 2013. Thanks to his sponsorship, SAIF Center for Macro Financial Research was officially launched in December 2013, which is committed to driving the construction of fundamental data on China’s macroeconomy, analysis on typical facts and modeling characterized by China’s regime.