讲座主题：Mixture Models in Finance: Theory and Applications 系列讲座

　　主讲人：Dinghai Xu，PhD, Associate Professor，University of Waterloo

　　邀请部门：金融学系、金融工程研究所

　　讲座概要：

　　The workshop series provide an introduction of mixture models in the area of finance, with a special focus on the applications in financial time-series modelling.

　　A distributional assumption of returns on financial assets is known to play an important role in both financial modeling and its applications. Mixture distributions assume great flexibility, and thus have been popularly used in various financial models, such as autoregressive moving average models, autoregressive conditional heteroscedasticity models, etc. As a note, any continuous distribution can be approximated arbitrarily well by an appropriate Gaussian mixture. The workshop series will discuss some fundamental statistical properties of Gaussian mixture with the Moment Generating Function (or Characteristic Function). Several popular estimation procedures will also be reviewed in the class of minimum-distance estimators. Some recent development (papers) in mixture financial models will be introduced.

　　讲座内容：

　　1. Research methodology; 2. Distribution theory; 3. Estimation procedures; 4. Mixture modeling in financial time series models; 5. Portfolio optimization and forecasting. 6. The recent works.

　　推荐读物：

　　Textbooks:

　　1、Everitt, B. S. and Hand, D. J. , Finite Mixture Distributions, Chapman and Hall.

　　2、Titterington, D. M. , Smith, A. F. M. and Makov, U. E. Statistical Analysis of Finite of Mixture Distributions, John Willey & Son Ltd.

　　Papers:

　　1、Chausse, P. and D. Xu, GMM Estimation of a Stochastic Volatility Model with Realized Volatility: A Monte Carlo Study", Forthcoming in Econometric Reviews, 2017.

　　2、Engle, R. F. (1982), Autoregressive Conditional Heteroskedasticity with Estimates of the Variance of United Kingdom inflation, Econometrica, 50, 987-1007.

　　3、Kon, S. J. (1984), Models of Stock Returns: Finance, 39, 147-165.

　　4、Xu, D. and J. Knight, Continuous Empirical Characteristic Function Estimation of Mixtures of Normal Parameters, Econometric Reviews. 2011. Vol 30 (1), 25-30.

　　5、Xu, D., J. Knight and T. Wirjanto, Asymmetric Stochastic Conditional Duration Model -- A Mixture-of-Normal Approach, Journal of Financial Econometrics. 2011. Vol 9(3), 469-488.

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