FINTECH THRUST SEMINAR |Empirical and Theoretical Research on Financial Market Modeling and Simulation
Supporting the below United Nations Sustainable Development Goals:支持以下聯合國可持續發展目標：支持以下联合国可持续发展目标：
Empirical and Theoretical Research on Financial Market Modeling and Simulation
Abstract:
This report empirically analyzes the Chinese A-share market's microstructure features, including the inverse relationship between bid–ask spreads and their duration, as well as the price-impact function. By combining high-frequency data with machine learning, it uncovers the patterns of liquidity. Building on “financial wind-tunnel” studies, the report then develops dynamic models for market forecasting and risk assessment.
Dr. Sun Dongning is currently a research fellow and a doctoral supervisor at Peng Cheng Laboratory. He received his master's degree in Mechanics from Peking University, Ph.D. in Biomedical Engineering from Columbia University, and a postdoctoral fellowship in Biomedical Engineering from Johns Hopkins University. He has worked in the financial industry for many years, including Swiss Re-Insurance Company (Senior Researcher), Citibank (Senior Vice President), UBS Group AG (Director), Deutsche Bank AG (Executive Director), and Ping An Fund Company Ltd. (Head of Derivatives and Quantitative Investment). Dr. Sun is currently a visiting professor of Shenzhen Finance Institute at The Chinese University of Hong Kong, Shenzhen, and a distinguished financial policy research expert at Tsinghua PBCSF. He also serves as a senior advisory expert at the China Development Institute in Shenzhen and holds leadership roles in several professional organizations, including standing committee member of the CCF Digital Finance Conference, executive director of the China Quantitative Investment Club, and the committee member of the Financial Technology Branch of the China Society for Industrial and Applied Mathematics.