Professor Phillip Yam
The Chinese University of Hong Kong
Financial Data Analytics
Day 1 (Financial Forensics): Benford’s law; Zipf’s law; application of the laws in healthcare management
Day 2 (Time-varying Volatility Matrix and Kelly fraction): ARIMA models; ARCH and GARCH models; optimal trading strategy based on Kelly fraction; calendar effect
Day 3 (PCA and recommender systems): PCA algorithm; mathematics behind PCA as an eigenvalue problem; collaborative filtering of recommender systems
Day 4 (Bayesian learning): Comonotonic-Independence Bayesian classifier (CIBer) and its application in FinTech and InsurTech
Day 5 (Deep learning for finance): Neural Network; backpropagation; MLP; LSTM and its application in financial prediction
Requirements and pre-requesites:
A solid background in probability and statistics, linear algebra, and advanced calculus, preferably at the sophomore level (2nd year). For some parts of the course, some basic knowledge in real and complex analysis would enhance a full understanding of them.
Professor Phillip Yam
The Chinese University of Hong Kong
Phillip Yam received his BSc in Actuarial Science with first class honours and MPhil from the University of Hong Kong. Supported by the two scholarships awarded by the Croucher Foundation (Hong Kong), he obtained an MASt (Master of Advanced Study) degree, Part III of the Mathematical Tripos, with Distinction in Mathematics from University of Cambridge and a DPhil in Mathematics from University of Oxford. During his postgraduate studies, he was awarded with the E.M. Burnett Prize in Mathematics from University of Cambridge, and the junior research fellowship from The Erwin Schrödinger International Institute for Mathematics and Physics of University of Vienna.
Phillip is currently the Co-Director of the Interdisciplinary Major Program in Quantitative Finance and Risk Management Science, and a full Professor at the Department of Statistics of CUHK. He is also Assistant Dean (Education) of CUHK Faculty of Science, and Fellow of the Centre for Promoting Science Education in the Faculty. He got appointed as a research fellow in the Hausdorff Research Institute for Mathematics of University of Bonn and a Visiting Professor in the Department of Statistics of Columbia University in the City of New York. In the coming two academic years, he will be appointed as a Visiting Professor in the Naveen Jindal School of Management at the University of Texas at Dallas. He has about a hundred journal articles in actuarial science and financial mathematics, applied mathematics, engineering, and statistics, and has also been serving in editorial boards of several journals in these fields. Together with Alain Bensoussan and Jens Frehse, he wrote up the first monograph on mean field games and mean field type control theory. His research project with the title “Comonotoneindependence Bayes Classifier (CIBer)” was awarded a Silver Medal in the 48th International Exhibition of Inventions Geneva in 2023.