报告人：Kostas Savvidis

报告题目：INTRODUCTION TO MATHEMATICAL METHODS FOR HEDGE FUND MANAGEMENT

报告时间：2005年12月28日下午2：00开始

报告地点：数学中心203室

报告人介绍:Kostas Savvidis is a researcher working in the field of Mathematical Finance and also is a hedge fund manager. He has formerly worked on String Theory, and obtained his PhD in 1999 from Princeton University in the then newly developing subject of D-branes and AdS/CFT correspondence.

   In the years since my graduation from Princeton University Ph.D.program, I  continued working on the general subject of Strings. While at the Niels Bohr Institute in Copenhagen I constructed new solutions in supersymmetric Yang-Mills quantum mechanics which are called "rotating ellipsoidal D0-brane system." These have an interpretation as purely gravitational objects, without matter, held together entirely by their own force of gravity. At Perimeter Institute in Canada I worked on more diverse subjects, from inventing an exotic non-commutative field theory, to solving a model of quantum strings in a model with torsionful fluxes.

    In the past year I turned my long-time interest in Mathematical
Finance into my profession. I am currently finishing up work on the
statistical estimation of sports ratings, improving on a classical
problem solved by Elo. This has applications in various applied areas outside of sports, for example for rating university programs, and also measuring the strength of preferences in financial markets. The second subject I am working on is volatility forecasting. A model with very satisfactory empirical results has been developed and the theoretical foundation for these surprising findings is currently studied. Now I am using these and other models for exploitation of certain financial market anomalies in the management of my hedge fund,Histion 飛帆夥伴 LLC.

报告内容:Financial markets are an increasingly important conduit of global trade and commerce. The growth of worldwide markets in equity stocks, financial futures, commodities and exotic derivatives is astonishing. Operating in these markets are diverse groups of institutions with widely different objectives. One of the types of institutions is the secretive "hedge funds" whose primary objective is the exponential growth of capital through speculative positions in all possible market instruments.

  In these lectures I will attempt to summarize the basic ideas and
general strategies that are employed in the exploitation of market
anomalies, while demystifying the mathematical foundations and methods of scientific verification of research in those strategies. The
lectures are aimed at the general mathematical audience, and will
touch on the well known connections to branches of mathematics such as probability, control and optimization and also less well known connections to information theory, geometry and even number theory.