應理學院邀請，英國南安普頓大學Houduo Qi(戚厚鐸)教授來我校進行學術交流，并做學術報告。
報告時間：2016年12月5日周一下午2:00—3:00
報告地點：西教五416（理學院）
報告題目：Can You Trust your Correlation Matrix -- a question from finance
報告摘要：
The concept of correlations plays a very important role in risk management in finance and a correlation matrix has to satisfy a set of mathematical properties. However, when the historical data is incomplete due to various market conditions, the sampling correlation matrix often violates those properties. Worse than such a situation is the scenario when correlations have to be humanly set to fence off risks from certain disastrous events (this is also known as correlation stress testing in finance). Therefore, adjusting an invalid correlation matrix to one that is to satisfy those mathematical properties is a problem of paramount importance. An equally important requirement from practice is the speed of such an adjustment. We show that this can be done through optimization. We introduce a fast algorithm that exploits the second-order sparsity to make a linear equation solver fast enough to meet the practical need. The resulting algorithm has now been widely used in finance industry (Based on joint work with Defeng Sun).
報告人簡介：戚厚鐸，1990年本科畢業于北京大學概率統計系，1996年于中國科學院應用數學研究所獲理學博士學位，導師韓繼業研究員。博士畢業后先后在中國科學院計算數學與科學工程計算研究所和澳大利亞新南威爾士大學從事博士后研究工作，2004年起任職于英國南安普頓大學。現任國際SCI期刊Asia-Pacific Journal of Operational Research的Area Editor (Optimization)以及Mathematical Programming Computation的Associate Editor.
