CUHK Derivatives and Quantitative Investing Conference

On 26 October 2018, the CUHK Derivatives and Quantitative Investing Conference gathered over 130 speakers and participants from Hong Kong, China, Singapore, Canada, the U.S., and the U.K. to explore cutting edge research and practice in derivatives markets and the application of derivatives in quantitative investing.

Organised by the Department of Finance at The Chinese University of Hong Kong (CUHK) Business School, the conference participants were welcomed by the School Dean Prof. Kalok Chan. Department Chairman Prof. Joseph Cheng further introduced the department’s strengths in both academic research and education. They keynote speech was delivered by Prof. Neil Pearson from University of Illinois at Urbana-Champaign. In the one-day conference, 11 speakers from leading universities and business schools, government authority, asset management firms and FinTech startups were invited to share their research and expertise with participants.

“We are honoured to have three finance department heads/chairmen from CUHK, HKUST and HKU to participate in this conference,” said Prof. Jay Cao, the conference organiser and also the coordinator of CUHK Finance Ph.D. programme. “Hong Kong is a financial centre and derivatives market is a very important component. This event is a great opportunity for CUHK finance group, together with researchers from sister universities, to contribute to our finance industry and the society, and strengthen the position of Hong Kong as a global finance centre.”

A number of participants are CUHK alumni working on derivatives at companies such as JP Morgan, Citi, BoAML, etc. “CUHK Department of Finance has nurtured many young talent for Hong Kong Financial industry including the derivatives sector,” said Prof. Ying-foon Chow, Director of Quantitative Finance Programme, where the programme is celebrating its 20th anniversary.

The topics included:

  • “Understanding Returns to Short Selling Using Option-Implied Stock Borrowing Fees” by Prof. Neil Pearson (Keynote Speaker), Professor of Finance, University of Illinois at Urbana-Champaign
  • “Quantitative Trading Opportunities in Equity Option Market” by Prof. Jie (Jay) Cao, Associate Professor of Department of Finance, CUHK Business School
  • “Free (Almost) Variance Insurance” by Dr. Yan Xu, Associate Professor of Finance, University of Hong Kong
  • “The Cross-Section of Idiosyncratic Variance Risk Premiums” by Prof. Christian Dorion, Associate Professor of Finance, HEC-Montreal; Scientific Coordinator of the Canadian Derivatives Institute
  • “Why Do Option Prices Predict Stock Returns? The Role of Price Pressure in the Stock Market” by Prof. Luis Goncalves-Pinto, Assistant Professor of Department of Finance, CUHK Business School
  • “Center of Volume Mass: Does Aggregate Option Market Activity Predict Stock Returns?” by Dr. Jianfeng (Jeff) Hu, Assistant Professor of Finance, Singapore Management University; Academic Consultant, Heritage Capital Management
  •  “Innovative Asset Allocation and the Application of Derivatives” by Dr. Peng Fei, Chief Investment Officer, Wanwei Asset Management Ltd.
  •  “The Relative Index Level and Index-Options Pricing” by Prof. Chu Zhang, Head and Professor of Finance, Department of Finance, HKUST Business School
  • “Dynamics of Market Anomalies and Measurement Errors of Risk-Free Interest Rate” by Dr. Cho-hoi Hui, Head of Market Research, Hong Kong Monetary Authority
  •  “Price Discovery between Volatility Market and Credit market” by Mr. Jean-Paul Brasier, Head of Market Risk, Segantii Capital Management Ltd.
  • “Systematic Volatility Strategies” by Mr. Pierre Trecourt, Co-Founder, PremiaLab Ltd.

Download Conference Agenda

DQIC 2018 (1)
(From left) Prof. Chu Zhang, Head of Finance Department of HKUST; Prof. Joseph Cheng, Chairman of Department of Finance, CUHK; Prof. Dragon Tang, Head of Finance Area, HKU
DQIC 2018 (2)
(From left) Prof. Kalok Chan, Dean of CHK Business School; Prof. Neil Pearson, Keynote Speaker; Prof. Jay Cao, Conference Organiser
DQIC 2018 (4)
DQIC 2018 (5)