学术报告报告主题：Teaching Economics to the Machines
报 告 人：刘彦初 教授
报告时间：2024年10月15日（星期二）下午16:30-17:30
报告地点：37号楼3A01
邀 请 人：何志坚 教授
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数学学院
2024年10月11日
报告摘要：
Structural models in economics can offer appealing insights but often suffer from a poor fit with the data. In contrast, machine learning models offer rich flexibility but tend to suffer from over-fitting. We propose a novel framework that incorporates useful economic restrictions from a structural model into a machine learning model through transfer learning. The core idea is to first construct a neural-network representation of the structural model, and then update the network using information from real data. In an example application to option pricing, our hybrid model significantly outperforms both the structural model and a conventional deep-learning model. The out-performance of the hybrid model is more significant when the sample size of real data is limited or under volatile market conditions. [This is a joint work with Hui Chen (MIT Sloan), Yuhan Cheng (Shandong University) and Ke Tang (Tsinghua University).]
报告人介绍：
刘彦初博士现就职于中山大学岭南学院，担任副院长，金融学教授，博士生导师。香港中文大学金融工程学博士、博士后，中国科学技术大学理学硕士与理学学士。主要研究兴趣为金融工程与数字金融，以及相关应用。在上述研究领域取得多项成果，并发表于《管理科学学报》、《Operations Research》、《INFORMS Journal on Computing》、《Journal of Futures Markets》、《Journal of Economic Dynamics and Control》、《Quantitative Finance》、《European Journal of Operational Research》、《Insurance: Mathematics and Economics》等国内外主流学术期刊。主持国家自然科学基金，中国期货业协会研究课题，广州期货交易所对外合作课题，郑州商品交易所期货及衍生品研究所对外合作课题，中国金融期货交易所年度计划课题等科研基金。担任中国运筹学会金融工程与金融风险管理分会常务理事。