演讲主题：Investment Decisions and Falling Cost of Data Analytics

主 讲 人：周超博士（新加坡国立大学)

主 持 人:  孙宪明

时   间：2019年10月17日（星期四）10:00—11:30

地   点：文泉楼南106实验室

演讲摘要：We model a risk-averse decision maker who optimizes the size of an investment, leverage used in the investment, and the level of information on the investment through costly data analytics. We show that borrowing-constrained or highly risk-averse investors have low demand for data analytics. We also show that the demand of data analytics is highest for investment opportunities with high expected returns, and the demand is lumpy for opportunities with low expected returns even without analytics fixed cost. Furthermore, the falling marginal cost of data analytics raises investors’ leverage, which leads to higher losses during crises.

演讲者简介: 周超博士，2012年获得法国巴黎综合理工大学博士学位，拥有巴黎综合理工大学工程师文凭，现为新加坡国立大学量化金融中心研究员。他的主要研究方向为量化金融、金融数学与随机控制，在The Annals of Probability, The Annals of Applied Probability, Mathematical Finance等顶级学术期刊发表论文十余篇，主持国家自然科学基金（中国）、教育部科学基金（新加坡）等科研项目多项。