{"id":443,"date":"2019-10-22T12:06:31","date_gmt":"2019-10-22T16:06:31","guid":{"rendered":"https:\/\/ruslangoyenko.com\/2019\/10\/22\/cuhk-derivatives-and-quantitative-investing-conference-2019\/"},"modified":"2026-06-25T14:40:32","modified_gmt":"2026-06-25T18:40:32","slug":"cuhk-derivatives-and-quantitative-investing-conference-2019","status":"publish","type":"post","link":"https:\/\/ruslangoyenko.com\/fr\/2019\/10\/22\/cuhk-derivatives-and-quantitative-investing-conference-2019\/","title":{"rendered":"CUHK Derivatives and Quant Investing conference"},"content":{"rendered":"<div class=\"wpb-content-wrapper\" id=\"wpb-content-root\"><p>[vc_row][vc_column][vc_column_text]<strong>The 2<sup>nd<\/sup> CUHK Derivatives and Quant Investing conference, Hong Kong, October 17, 2019<\/strong><\/p>\n<p>A great initiative by The Chinese University of Hong Kong (CUHK) Business School to bring together academics and industry practitioners to share research outcomes in the areas of derivatives markets and quantitative investing. It puts academic research to another test &#8211; how implementable our findings are. When we find signals in the data to invest on and generate abnormal profits (alphas), sometimes it can be just abnormal profits on the paper, and when you actually start trading, transaction costs, costs of short-selling will make it really difficult to generate abnormal returns. In my paper with Martijn Cremers, Paul Schultz, and Stephen Szaura, \u201cDo Option-Based Measures of Stock Mispricing Find Investment Opportunities or Market Frictions?\u201d we delve directly into it. We find that most of information measures based on equity options data are able to identify stocks which are over-valued. Profiting from these opportunities requires short-selling these stocks. We however find that these stocks are hard-to-borrow with the highest borrowing fees to short-sell. This limits profit opportunities. A few measures are indeed able to identify under-valued stocks and predict positive alphas. We find no obvious market frictions which can prevent investors from gaining these abnormal returns. The practitioner\u2019s audience at CUHK conference confirmed our intuition.<\/p>\n<p>&nbsp;<\/p>\n<p><u>The topics<\/u>:<\/p>\n<ul>\n<li>Options, futures, and volatility risk premia<\/li>\n<li>Innovative trading strategies in stock market<\/li>\n<li>Fixed income quantitative strategies<\/li>\n<li>Climate risk and ESG investing<\/li>\n<li>The application of machine learning in trading practice<\/li>\n<li>Opportunities in emerging markets<\/li>\n<\/ul>\n<p>&nbsp;<\/p>\n<p><u>Speakers and Presentation Topics<\/u>:<\/p>\n<ul>\n<li><strong>Kalok Chan<\/strong>, Dean and Wei Lun Professor of Finance, CUHK Business School, \u201cOpening Remarks\u201d<\/li>\n<li><strong>Joseph Cheng<\/strong>, Chairman and Associate Professor of Finance, Department of Finance, CUHK Business School, \u201cWelcome Address\u201d<\/li>\n<li><strong>Stephen Figlewski<\/strong> (Keynote Speaker), Professor of Finance, New York University; Founding editor of Journal of Derivatives, \u201cExtracting Market Expectations and Risk Premia from Stock Index Options\u201d<\/li>\n<li><strong>Robert Webb<\/strong> (Keynote Speaker), Professor of Finance, University of Virginia; Editor of Journal of Futures Markets, \u201cThe Internationalization of Futures Markets: Lessons from the Past\u201d<\/li>\n<li><strong>Chu Zhan<\/strong>g, Head and Professor of Finance, Department of Finance, HKUST Business School, \u201cThe Derivatives Markets in Hong Kong\u201d<\/li>\n<li><strong>Giorgio Valente<\/strong>, Head of the Hong Kong Institute for Monetary and Financial Research, \u201cLocal Currency Bond Returns in Emerging Economies and the Role of Foreign Investors\u201d<\/li>\n<li><strong>Tse-Chun Lin<\/strong>, Professor of Finance, University of Hong Kong, \u201cRisk-neutral Skewness, Informed Trading, and the Cross-section of Stock Returns\u201d<\/li>\n<li><strong>Grigory Vilkov<\/strong>, Professor of Finance, Frankfurt School of Finance &amp; Management, \u201cCarbon Tail Risk\u201d<\/li>\n<li><strong>Taie Wang<\/strong>, Deputy Head of Research, Global Equity Beta Solutions, State Street Global Advisors Asia, \u201cThematic Indexing, Meet Smart Beta! &#8211; Merging ESG into Factor Portfolios\u201d<\/li>\n<li><strong>Ruslan Goyenko<\/strong>, Associate Professor of Finance, McGill University, \u201cPredicting Long-Run Stock Returns with Options\u201d<\/li>\n<li><strong>Weijian Pan<\/strong>, Head of Quant in Asia Equity Execution Services, Bank of America Merrill Lynch, \u201cThe Application of Machine Learning in Algorithmic Trading\u201d<\/li>\n<li><strong>Wenxi (Griffin) Jiang<\/strong>, Assistant Professor of Finance, CUHK Business School, \u201cMachine Learning and the Cross-section of Stock Returns: International Evidence\u201d<\/li>\n<li><strong>Xintong (Eunice) Zhan<\/strong>, Assistant Professor of Finance and Real Estate, CUHK Business School, \u201cImplied Volatility Changes and Corporate Bond Returns\u201d<\/li>\n<\/ul>\n<p>[\/vc_column_text][vc_empty_space height=\u00a0\u00bb2px\u00a0\u00bb][vc_custom_heading text=\u00a0\u00bbCUHK Organizers\u00a0\u00bb font_container=\u00a0\u00bbtag:h4|text_align:left\u00a0\u00bb use_theme_fonts=\u00a0\u00bbyes\u00a0\u00bb][vc_column_text el_class=\u00a0\u00bbsmallTypo\u00a0\u00bb]<strong>Jie (Jay) Cao<\/strong>, Associate Professor of Finance, CQAsia Board member<br \/>\n<strong>Xintong (Eunice) Zhan<\/strong>, CFA, CAIA, Assistant Professor of Finance and Real Estate[\/vc_column_text][vc_empty_space height=\u00a0\u00bb2px\u00a0\u00bb][vc_custom_heading text=\u00a0\u00bbGallery\u00a0\u00bb font_container=\u00a0\u00bbtag:h4|text_align:left\u00a0\u00bb use_theme_fonts=\u00a0\u00bbyes\u00a0\u00bb][vc_gallery type=\u00a0\u00bbimage_grid\u00a0\u00bb images=\u00a0\u00bb406,408,410,414&Prime;][\/vc_column][\/vc_row][vc_row][vc_column][vc_column_text]Source:\u00a0<a href=\"https:\/\/www.bschool.cuhk.edu.hk\/events\/the-2nd-derivatives-and-quantitative-investing-conference\/\" target=\"_blank\" rel=\"noopener noreferrer\">CUHK Business School<\/a>[\/vc_column_text][\/vc_column][\/vc_row]<\/p>\n<\/div>","protected":false},"excerpt":{"rendered":"<p>[vc_row][vc_column][vc_column_text]The 2nd CUHK Derivatives and Quant Investing conference, Hong Kong, October 17, 2019 A great initiative by The Chinese University of Hong Kong (CUHK) Business School<span class=\"excerpt-hellip\"> [\u2026]<\/span><\/p>\n","protected":false},"author":1,"featured_media":420,"comment_status":"closed","ping_status":"closed","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[2],"tags":[15,16,7,8],"class_list":["post-443","post","type-post","status-publish","format-standard","has-post-thumbnail","hentry","category-non-classifiee","tag-15","tag-16","tag-conference-fr","tag-hong-kong-fr"],"_links":{"self":[{"href":"https:\/\/ruslangoyenko.com\/fr\/wp-json\/wp\/v2\/posts\/443","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/ruslangoyenko.com\/fr\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/ruslangoyenko.com\/fr\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/ruslangoyenko.com\/fr\/wp-json\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"https:\/\/ruslangoyenko.com\/fr\/wp-json\/wp\/v2\/comments?post=443"}],"version-history":[{"count":2,"href":"https:\/\/ruslangoyenko.com\/fr\/wp-json\/wp\/v2\/posts\/443\/revisions"}],"predecessor-version":[{"id":638,"href":"https:\/\/ruslangoyenko.com\/fr\/wp-json\/wp\/v2\/posts\/443\/revisions\/638"}],"wp:featuredmedia":[{"embeddable":true,"href":"https:\/\/ruslangoyenko.com\/fr\/wp-json\/wp\/v2\/media\/420"}],"wp:attachment":[{"href":"https:\/\/ruslangoyenko.com\/fr\/wp-json\/wp\/v2\/media?parent=443"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/ruslangoyenko.com\/fr\/wp-json\/wp\/v2\/categories?post=443"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/ruslangoyenko.com\/fr\/wp-json\/wp\/v2\/tags?post=443"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}