Schedule
(Updated as of August 22, 2025)
Important notes:
| 1. | This Workshop will be held in face-to-face mode. |
| 2. | Unauthorized recording of any session is prohibited. |
| 3. | Please obtain the consent from the speaker concerned for any adaptation/sharing of his/her presentation materials. |
| Should you have further enquiries, please feel free to contact the secretariat by email at ias2025fbe@ust.hk. | |
August 25, 2025 (Mon)
Time
Event
| 09:00 - 09:20 |
Registration |
|
| 09:20 - 09:30 |
Opening Remarks Kai Lung HUI (Acting Dean of Business & Management, HKUST) |
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Session 1 Chair: Yingying LI (HKUST) |
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| 09:30 - 10:00 |
Talk #01: Measuring the Cost of Latency in Likelihood Inference for Continuous-Time Models with Latent Variables [Abstract] Yacine AÏT-SAHALIA (Princeton University) [with Chenxu LI and Yuheng ZHENG] |
|
| 10:00 - 10:30 |
Talk #02: Moments by Integrating the Moment-Generating Function [Abstract] Peter Reinhard HANSEN (The University of North Carolina at Chapel Hill) [with Chen TONG] |
|
| 10:30 - 11:00 |
Group Photo & Coffee Break (Lobby, G/F of the IAS) |
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Session 2 Chair: Xiao QIAO (City University of Hong Kong) |
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| 11:00 - 11:30 |
Talk #03: Breaks and Trends in Factor Premia [Abstract] Gavin Guanhao FENG (City University of Hong Kong) [with Liyuan CUI, Jianxin MA and Yinan SU] |
|
| 11:30 - 12:00 |
Talk #04: Tests for Principal Eigenvalues and Eigenvectors [Abstract] Xinghua ZHENG (HKUST) [with Jianqing FAN, Yingying LI and Ningning XIA] |
|
| 12:00 - 13:30 |
Lunch |
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Session 3 Chair: Christina Dan WANG (New York University Shanghai) |
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| 13:30 - 14:00 |
Talk #05: An Anatomy of Asset Returns [Abstract] Roberto RENÒ (ESSEC Business School) [with Shuping SHI] |
|
| 14:00 - 14:30 |
Talk #06: Drift Sign [Abstract] Shuping SHI (Macquarie University) [with Roberto RENÒ] |
|
| 14:30 - 15:00 |
Coffee Break (Lobby, G/F of the IAS) |
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Session 4 Chair: Carsten H. CHONG (HKUST) |
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| 15:00 - 15:40 |
Rapid Fire Poster Presentations |
|
| 15:40 - 16:30 |
Poster Presentation (Lobby, G/F of the IAS) |
|
| 18:00 |
Dinner |
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August 26, 2025 (Tue)
Time
Event
|
Session 5 Chair: Jingyu HE (City University of Hong Kong) |
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| 09:00 - 09:30 |
Talk #07: On Bartlett-type identities [Abstract] Federico BANDI (Johns Hopkins University) [with Davide PIRINO] |
|
| 09:30 - 10:00 |
Talk #08: Off-Policy Evaluation in Reinforcement Learning via a Factor-Embedding MDP [Abstract] Degui LI (The University of Macau) [with Chengchun SHI and Yingying ZHANG] |
|
| 10:00 - 10:30 |
Coffee Break (Lobby, G/F of the IAS) |
|
|
Session 6 Carsten H. CHONG (HKUST) |
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| 10:30 - 11:00 |
Talk #09: Structural Equity Option Pricing: Implications for Credit Risk [Abstract] Nicola FUSARI (Johns Hopkins University) [with Sujan LAMICHHANE] |
|
| 11:00 - 11:40 |
Rapid Fire Poster Presentations |
|
| 11:40 - 12:30 |
Poster Presentations (Lobby, G/F of the IAS) |
|
| 12:30 - 14:00 |
Lunch |
|
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Session 7 Chair: Qiyuan LI (The University of Hong Kong) |
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| 14:00 - 14:30 |
Talk #10: Kernel Density Machines [Abstract] Paul SCHNEIDER (Università della Svizzera italiana) [with Damir FILIPOVIC] |
|
| 14:30 - 15:00 |
Talk #11: Realized Copula of Volatility [Abstract] Zhi LIU (The University of Macau) [with Kim CHRISTENSEN, Wenjing LIU and Yoann POTIRON] |
|
| 15:00 - 15:30 |
Coffee Break (Lobby, G/F of the IAS) |
|
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Session 8 Chair: Jun YU (The University of Macau) |
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| 15:30 - 16:00 |
Talk #12: The Uncertainty of Machine Learning Prediction in Asset Pricing [Abstract] Yuan LIAO (The University of Iowa) [with Xinjie MA, Andreas NEUHIERL and Linda SCHILLING] |
|
| 16:00 - 16:30 |
Talk #13: Towards a Theory of Recurrent Neural Networks for Nonlinear Time Series [Abstract] Dacheng XIU (The University of Chicago) |
|
| 16:30 - 16:40 |
Concluding Remarks |
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