The 2nd CUHK Derivatives and Quantitative Investing Conference

The Department of Finance at The Chinese University of Hong Kong (CUHK) Business School is pleased to present the 2nd Derivatives and Quantitative Investing Conference, which will take place on 17 October 2019 (Thursday) at the CUHK Business School Town Centre.

This is an exciting platform for researchers and practitioners from academia and industry to share the cutting edge research and practice in derivatives markets and quantitative investing. Prof. Stephen Figlewski from New York University, the founding editor of Journal of Derivatives, and Prof. Robert Webb from University of Virginia, the editor of Journal of Futures Markets, will deliver the keynote speech, along with more than a dozen of expert speakers from Hong Kong, the U.S., Canada, and Germany. The topics include:

  • Options, futures, and volatility risk premia
  • Innovative trading strategies in stock market
  • Fixed income quantitative strategies
  • Climate risk and ESG investing
  • The application of machine learning in trading practice
  • Opportunities in emerging markets

Following the success of 2017 CUHK-CQAsia Quantitative Investment Strategies Conference and 2018 1st CUHK Derivatives and Quantitative Investing Conference, this one day event is a superb opportunity to interact and engage with experts and is for aspiring CIOs, heads of research, market makers, portfolio managers, traders, and all investors interested in derivatives and quantitative trading strategies. CUHK Business School’s finance faculty and PhD students are already sharing their work with leading investment banks, hedge funds, and professional organizations across Asia, Europe, and North America such as Morgan Stanley, Deutsche Bank, Bank of America Merrill Lynch, Macquarie Group, Two Sigma, Cubist, CQA/CQAsia, and Inquire Europe, etc. Recently, they have received many competition-based research awards and grants from private sectors at the U.S., Canada, France, Switzerland, Singapore, and Hong Kong, etc.

You are cordially invited to attend this event to learn and benefit from cutting-edge quantitative research, which can be applied to real-world investment management and trading practice. Try not to miss this ground breaking opportunity and register now as seats are very limited.

Registration and General Information

Free of charge but advanced registration is required. Simple lunch will be provided. Since seats are limited, please register online on or before 14 October 2019 (Monday).

Download Conference Agenda

Download Speakers’ Biography

Confirmed Speakers and Presentation Topics

  • Kalok Chan, Dean and Wei Lun Professor of Finance, CUHK Business School, “Opening Remarks”
  • Joseph Cheng, Chairman and Associate Professor of Finance, Department of Finance, CUHK Business School, “Welcome Address”
  • Stephen Figlewski (Keynote Speaker), Professor of Finance, New York University; Founding editor of Journal of Derivatives, “Extracting Market Expectations and Risk Premia from Stock Index Options”
  • Robert Webb (Keynote Speaker), Professor of Finance, University of Virginia; Editor of Journal of Futures Markets, “The Internationalization of Futures Markets: Lessons from the Past
  • Chu Zhang, Head and Professor of Finance, Department of Finance, HKUST Business School, “The Derivatives Markets in Hong Kong”
  • Giorgio Valente, Head of the Hong Kong Institute for Monetary and Financial Research, “Local Currency Bond Returns in Emerging Economies and the Role of Foreign Investors”
  • Tse-Chun Lin, Professor of Finance, University of Hong Kong, “Risk-Neutral Skewness, Informed Trading, and the Cross-section of Stock Returns”
  • Grigory Vilkov, Professor of Finance, Frankfurt School of Finance & Management, “Carbon Tail Risk”
  • Taie Wang, Deputy Head of Research, Global Equity Beta Solutions, State Street Global Advisors Asia, “Thematic Indexing, Meet Smart Beta! – Merging ESG into Factor Portfolios”
  • Ruslan Goyenko, Associate Professor of Finance, McGill University, “Predicting Long-Run Stock Returns with Options”
  • Weijian Pan, Head of Quant in Asia Equity Execution Services, Bank of America Merrill Lynch, “The Application of Machine Learning in Algorithmic Trading”
  • Wenxi (Griffin) JiangAssistant Professor of Finance, CUHK Business School, “Machine Learning and the Cross-Section of Stock Returns: International Evidence”
  • Xintong (Eunice) Zhan, Assistant Professor of Finance and Real Estate, CUHK Business School, “Implied Volatility Changes and Corporate Bond Returns”


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