Opening of "Tianjin University - Xiamen University, the First Seminar on Modern Finance" in Xiamen

　　From March 19th to 20th, 2016, "Tianjin University - Xiamen University, the first Modern Finance Seminar on Modern Finance" was collaborating held by CoME, Tianjin University and WISE, Xiamen University in Xiamen University. The theme of the seminar is to quantify the finance and financial risks management, a total of 35 faculty and students presented papers at the conference. Professor Chen Guojin of Xiamen University presided over the opening ceremony.

　　On the opening ceremony, Dean of CoME, Tianjin University, Professor Zhang Wei and Professor Hong Yongmiao, from Cornell University and Xiamen University delivered speeches respectively. Dean Zhang believes that the basic function of the seminar is to build academic platform, so he feels very pleased to have this opportunity to exchange ideas. He hoped that the two colleges can work together to build a good platform for academic exchanges, so that faculty and students can gain something at the seminar. Professor Hong Yongmiao said that he hopes to further promote bilateral personnel exchanges between Xiamen University and Tianjin University on Finance and Economics disciplines through the seminar.

　　The seminar lasts for two days; the workshop on Mar. 19th covers eight topics and carries out simultaneously at two venues. The first session of the report relates to "Derivatives Market", "Behavioural Finance", "Asset Pricing" and "Capital Market and Trading Strategies", which successively presided by faculty from Tianjin University, Xiong Xiong, Zhang Yongjie, Li Yuelei and Niu Linlin from Xiamen University. The first speaker is Professor Chen Jian of Xiam en University, his articles focuses on how to pick out information factors can mostly react on volatility plane; then, Professor Zhang Wei conducted in-depth communicate with reporters on microscopic interpretation to prediction. The second speaker is Professor Dai Pingsheng of Xiamen University, the topic of his lecture is a study on the Gini means difference method based on the 50 Shanghai stock index futures hedging, and the study also found that the use of discrete data on Gini mean difference method is superior to the traditional Gini mean difference method. The third speaker is Professor Xiong Xiong of Tianjin University; he reported the thesis on the impact of t+1 spot market trading system for the current period, mainly on the calculation of financial experiment. Using computer modelling techniques, his paper build a simulation financial platform to simulate the real behaviour of financial market and investors’ order flow microscopic features found in t+0 trading system to improve the efficiency of the stock market which discoveries price and market liquidity.

　　The topic of the second session is "Financial Econometrics", which was chaired by Professor Fang Ying of Xiamen University. The first speaker is Professor Wang Guanying from Tianjin University, and his study theme is catastrophe stock put option, he firstly introduced the operating mechanism of catastrophe options, and the innovative point of his thesis is taking the factor of “the desire of people on intensity of disaster reduces over time” into the consideration of catastrophe option pricing. The second speaker was Lv Zhenwei, a PhD student of Tianjin University, whose research is about investors ’sentiment and the IPO market vision, his study concluded that those who purchase more investment sentiment, the issue price is higher on the first day of under-pricing and the long-term fluctuations in stock is greater.

　　The third speaker is Professor Fang Ying of Xiamen University, the topic of her thesis is "A new semi-parametric STAR model in application of predicting exchange rates" she compared this model with other models including the TAR and neural networks to prove the validity of this model.

　　Except keynote speeches, delegates focus on behaviour finance, market volatility, asset pricing, international finance, capital markets and trading strategies, financial information and market risks and other related topics, and conducted discussion on cutting-edge research related to quantity finance and financial risk management.

　　The report on the second venue was held in the afternoon. Professor Yu Fengyan report of Tianjin University gave a speech on Chinese styled relationship underwriting and effectiveness of investors pricing. And then, two students of Xiamen University, Kou Congshan and Wang Yiming made speeches of “Empirical Analysis on the Degree of Openness of China's Capital Project and Currency Crisis based on MS-VAR Model” and“Is RMB Increasingly Important? A Network Approach”. Finally, Lin Zhongguo and Xu Feng from Tianjin University gave reports of “Noise or Information: When Stock Price Synchronicity Meeys Accounting Restatements”and“About the quality of public information on the Shanghai Stock Exchange”. Subsequently, Hong Zhiwu and Liang Jufang from of Xiamen University gave reports on the "Dynamic Nelson-Siegl Model Extensions based on Population Factor and Its Application in the Forex Forecasting", "Tail Risk Aversion, with the Collapse of the Stock and Deep Agio of Index Futures Market ".

　　On March 20th, Professor Chen Haiqiang and Professor Xie Peilin of Xiamen University successively chaired discussions in the themes of "Trade System and Corporate Finance" and "Financial Risks and Contagion". The first reporter on that day gave a speech in the theme of“A Generalised Self-exciting Point with CIR-Type Intensity：Efficient Simulation and Financial Applications”; and the second reporter was the PhD student Guo Bin from Tianjin University, he conducted the empirical analysis using Mkt、SMB、HML、RMW、CMA based on the Chinese market data from “Five-Factor Model Tests in China”. He found that some market does not need a lot of factors to explain the fitting, three-factor model performed better than the five-factor model. The third reporter of Xiamen University is Professor Chen Haiqiang; his speech is in the topic of “Whether Margin Trading System Can Exacerbate Informed Trading? -- An Empirical Study based on Chinese market” the positive perspectives of margin in China are much larger than negative in the Chinese markets, and negative factors are more because of management-level issues. From the study of data, it was found that the margin is a good counter-cyclical adjustment tool, to how to regulate and manage, investors should put more value and less speculators, so that market volatility will be respectively less.

　　After a short break, Professor Lin Juan gave a speech in the theme of “A Sequential Test for the Specification of Predictive Densities”; and the second reporter is Dr. He Feng from Tianjin University, he used the standard regression model demonstrated the abnormal fluctuations in the stock and the Chinese SME shares on the back of the band is influential, the fuse mechanism was temporarily halted is the right decision. The last reporter is Professor Xie Peilin from Xiamen University, he gave a keynote in the theme of“Contagion Behaviour of High-frequency Trading in Futures and Options Markets”, and he proposed that options for the jump is more sensitive, with a jump model to study the options of American options market, assess the option buyer and seller infection influence the situation by jumping option.

　　Finally, Professor Hong Yongmiao of Xiamen University makes a final conclusion for his two-day seminar. He pointed out that this joint seminar greatly achieved the desired results, the two sides have their own strengths and weaknesses, so that the other party can understand deficiencies and gaps through the exchanges, so that colleges, faculties and students are able to reviewed and improved their own deficiencies through this seminar, which are results to be expected for this seminar.