Department of Management Sciences
College of Business - City University of Hong Kong AACSB International EQUIS - European Quality Improvement System

Dr. Guanhao Feng wins AQR Insight Award

Dr. Guanhao Feng wins AQR Insight Award

28 August 2018

 

Dr Guanhao (Gavin) Feng, Assistant Professor of the Department of Management Sciences, won the 2018 AQR Insight Award for the paper “Taming the Factor Zoo”, written with Professor Stefano Giglio of Yale University and Professor Dacheng Xiu of the University of Chicago.

The AQR Insight Award, sponsored by AQR Capital Management, recognises exceptional academic papers that offer original, intelligent approaches to issues in the investment world. Every year, top academics from around the world are invited to submit unpublished papers for review. This year, two papers including “Taming the Factor Zoo” tied for first place, and the recipients would share a US$100,000 prize.

In “Taming the Factor Zoo”, Dr Feng and the co-authors proposed a new methodology based on machine learning and model selection techniques, which allows researchers to test and evaluate if a new factor better explains the cross-section of asset prices when combined with existing factors. The authors then apply the model to a variety of recently proposed factors and determine that with a few exceptions — including profitability and investment — the new factors are redundant, failing to offer greater explanatory power.

“This paper deals with one of the most vexing and topical problems in empirical finance — how to judge whether results are ‘real’ or just the output of concerted data mining,” AQR's co-founder Cliff Asness says. “This is a topic anyone serious about factor investing has worried about.”

The 2nd International Conference on Econometrics and Statistics (EcoSta 2018)

The 2nd International Conference on Econometrics and Statistics (EcoSta 2018)

8 June 2018

The Department of Management Sciences, the International networks of Computational and Financial Econometrics (CFEnetwork) and the Computational and Methodological Statistics (CMStatistics) co-hosted the 2nd International Conference on Econometrics and Statistics (EcoSta 2018) on 19-21 June, 2018.   Prof Alan Wan from MS was the co-chair of the conference.

Over 650 participants from all over the world attended the conference.  There were about 140 sessions, including three keynote talks delivered by Prof Jane-Ling Wang (University of California, Davis), Prof Yongmiao Hong (Cornell University) and Prof Mark Steel (Warwick University).  The opening speech was delivered by Prof Houmin Yan, Dean of the College of Business.  The following were the topics of the keynote talks:

 

Keynote Talk 1:  
Functional mixed effects models for longitudinal functional responses by Pro Jane-Ling Wang

Keynote Talk 2: 
Selection of an optimal rolling window in time varying predictive regression by Prof Yongmiao Hong

Keynote Talk 3: 
On choosing mixture components via non-local priors by Prof Mark Steel

Other renowned speakers at the conference included Prof Yingying Fan (University of Southern California), Prof Richard Gerlach (University of Sydney), Prof Alain Hecq (Maastricht University), Prof Robert Kohn (University of New South Wales), Prof W.K. Li (University of Hong Kong), Prof Jinchi Lv (University of Southern California), Prof Geoff McLachlan (University of Queensland), Prof Michael Smith (University of Melbourne), Prof Refik Soyer (George Washington University), Prof Huixia Judy Wang (George Washington University) and Prof L. Zhu (Hong Kong Baptist University). 

Sessions of the conference covered all major areas of Econometrics and Statistics, including Bayesian inference, big data, biostatistics, financial econometrics, high-dimensional data, machine learning theory, nonparametric statistics, social network analysis, survival analysis and others.  

There will be a special issue of the Journal Econometrics and Statistics dedicated to this conference, to be edited by Prof Jean Marie Dufour (McGill University), Prof Alain Hecq (Maastricht University) and Prof Alan Wan (City University of Hong Kong).

For more information please visit the conference website http://cmstatistics.org/EcoSta2018/.

2018 Beijing-HK University Student Big Data Modelling Competition

2018 Beijing-HK University Student Big Data Modelling Competition

5 June 2018

2018 Beijing-HK University Student Big Data Modelling Competition

MS Department organized the study tour to Beijing from May 31 to June 5, 2018. Forty students from both the MS Department and the Faculty of Statistics (Renmin University of China) form groups to enter the competition analysing KKBOX data. Congratulations to the winners!!
冠軍隊: 陳家哲, 鐘欣然, 謝貝妮, 梁鐁允, 岑芷婷
亞軍隊: 鄭和明, 蔣羽鎮, 陳星皓, 卓奕佳, 黃曉桐
季軍隊: 高林航, 李卜諾, 薛浩晴, 譚澤成, 王咏珊