Dr. Alan Hawkes
After studying Mathematics at King's College London, Alan moved to UCL where he completed a PhD on queuing theory applied to road traffic (supervisor M.S. Bartlett), while also lecturing in the Statistics Department (founded by Karl Pearson in 1911). He was then, for five years, Reader in Mathematical Statistics at Durham University before becoming Professor of Statistics at Swansea in 1974 - still there as Honorary Research Professor. He has served on the Council of the Royal Statistical Society and the International Committee of the Biometric Society. Alan's research has mainly been in applied stochastic modeling. In particular, his major work has been pioneering the study of the dynamics of ion channels in biological membranes, in conjunction with David Colquhoun FRS, Professor of Pharmacology at UCL. Ion channels are essential links in the communication system carrying messages around the body, and are important sites of drug action. In 2012, Dr. Maggie Chen persuaded Alan to rekindle his interest in Hawkes Processes, learn something about finance and make a contribution to the research of the finance group in Swansea.
Dr. Chris Adcock
Dr. Chris Adcock, Professor of Quantitative Finance at SOAS – University of London. Previously Professor of Financial Econometrics at the University of Sheffield. Sometime visiting Professor at the Universities of Durham, Southampton and Minho. Research interests are in portfolio selection, asset pricing theory and the development of quantitative techniques for portfolio management. Has acted as advisor to several international investment managers. Founding editor of The European Journal of Finance. He has been as associate editor of several finance journals and Series C and D of the Journals of the Royal Statistical Society. Current research projects are in portfolio performance measurement, portfolio selection, skewness and option returns, with collaborations with universities in the UK, the European Union and China.
Dr. Roy D. Henriksson
Roy D. Henriksson, PhD, is the Chief Investment Officer (CIO) of QMA. He has over 20 years’ experience combining quantitative research with its practical applications in investment portfolios. Prior to joining QMA, Roy was the CIO of Advanced Portfolio Management, where he designed and managed customized, risk-targeted investment portfolios for institutional clients across the globe. Previously, Roy held a variety of senior positions in research, trading and product development at a number of large investment banks. His broad product experience spans equity, fixed income, hedge funds, currencies and commodity derivatives.
Roy has published numerous articles on market-timing skill, portfolio optimization and asset allocation in leading journals. A recipient of the Graham and Dodd Award from The Financial Analysts Journal, he previously held the position of Professor of Finance at the University of California, Berkeley, and served as a Senior Consultant to Wells Fargo Investment Advisors and as an Advisor to the University of California Endowment.
Roy is currently the Co-Chairman of the Liquidity Risk Committee and a member of the advisory board of the International Association for Quantitative Finance (the IAQF). He earned a BS in economics, an MS in management, and a PhD in finance from the Massachusetts Institute of Technology.
Dr. Enrico Scalas
Dr. Enrico Scalas is a Professor of Statistics and Probability at University of Sussex. His research interests include Econophysics, Financial Mathematics, Mathematical Statistics, Monte Carlo simulations, Probability Theory, Statistical Mechanics, Stochastic Processes. Professor Scalas has been working at large experimental facilities (DESY, Hamburg; LURE, Orsay and CERN, Switzerland). He strongly believes in the quantitative effectiveness of probabilistic and statistical methods applied to exciting research fields which have often been the realm of qualitative, even if sophisticated, analyses and researches, including biology, economics, and history. Professor Scalas has established an interdisciplinary research group working both empirically and theoretically on the full spectrum of complex systems.
Dr. Jing (Maggie) Chen - Session Chair & Moderator
Dr Jing (Maggie) Chen is currently a Reader in Financial Mathematics at the School of Mathematics of the University of Cardiff. Her research agenda has focused on modeling the effect of various liquidity measures on trading decisions in different segments of financial markets in both developed countries (e.g., the UK) and emerging economies (e.g., China). Recently, this research has mainly focused on applying Hawkes processes to model jumps in financial markets. The overarching goal of the research agenda has been to obtain more robust and powerful empirically derived measures of liquidity utilising market microstructure theories drawn from the academic finance literature. Her work has appeared in esteemed international scholarly journals including the Pacific Basin Finance Journal, European Journal of Finance, Journal of Economics Behaviour and Organisation and Journal of Forecasting. She holds a BSc in Computer Science from the Lanzhou Jiaotong University, China, MSc in Finance & Investment Management and PhD in Finance from the University of Aberdeen, UK (2011).
Dr. Celso Brunetti
Celso Brunetti is the chief of the Systemic Financial Institutions and Markets section, Division of Research and Statistics, at the Board of Governors of the Federal Reserve System. His current responsibilities include, among other things, conducting policy analysis and economic research on financial stability as it relates to systemically important financial institutions, with a particular focus on non-banks, and the markets in which they operate. His research agenda covers four main topics: (i) Network analysis of financial markets, (ii) linkages between financial markets and the macroeconomy, (iii) market microstructure, and (iv) commodity markets. Before joining the FED, Celso spent his professional career in academia with appointments at Johns Hopkins University, University of Pennsylvania and University of Edinburgh. He received A. B. degree in economics and banking from the Catholic University in Milan, Italy, and a Master of Science degree in economics from Bocconi University in Milan, Italy. In 1999 he completed his PhD in economics at the University of London, the UK.Celso published several papers in academic journals such as the Review of Financial Studies, Journal of Financial and Quantitative Analysis, Econometrics Journal and Journal of Financial Markets.
Dr. Qian Han
Dr. Qian Han is an Associate Professor at the Wang Yanan Institute for Studies in Economics (WISE) of Xiamen University in China since 2010 where he has been teaching international finance, fixed income analysis and advanced financial derivatives analysis. His research interests are in volatility modeling and financial derivatives. Professor Han has made numerous publications in the Journal of Future Markets and Investment Analysis Journal among others. Professor Han holds a Bachelor of Foreign Trade, School of Economics and Management, Harbin Engineering University, a Master of Public Administration (MPA), School of Public Relations, Cornell University and a Ph.D. in Applied Finance, Applied Economics and Management, Cornell University, US, Operations Research.
Dr. Sheung Yin Kevin Mo
Sheung Yin Kevin Mo, PhD, is a Vice President for QMA working within the Research team. In this capacity, he is responsible for alpha and implementation research that may be applicable across markets and strategies. Prior to joining QMA, Kevin was a Financial Engineering Analyst at Northrop Grumman Corporation and a Consultant at both Deloitte Consulting and Accenture. Kevin’s work has been published in Quantitative Finance, the Journal of Business and Economics, Neurocomputing and Environment Systems and Decisions. He earned a BS and an ME in systems engineering from the University of Virginia and a PhD in financial engineering from the Stevens Institute of Technology.
Conference Chair: Dr. Steve Yang
Dr. Steve Yang is an Assistant Professor at the School of Business in Stevens Institute of Technology. He holds a Ph.D. in Systems Engineering from University of Virginia with concentration on Financial Engineering. His current research interests include behavioral finance, algorithmic trading, financial decisions, and agent-based market simulation. Dr. Steve Yang was elected as a Distinguished Visiting Scholar by the U.S. Securities and Exchange Commission in 2016. He also serves as a Research Fellow at the Division of Enforcement at the Commodity Futures Trading Commission. His work has appeared in the Journal of Banking and Finance, Quantitative Finance, Decision Sciences, Expert Systems with Applications, Neurocomputing among others. He also serves a reviewer for a number of top journals, such as Operations Research, Management Science, Quantitative Finance, Neurocomputing, IEEE Systems Journal, Journal of Operational Research Society, etc.
Dr. Steve Yang (Stevens Institute of Technology, USA)
Dr. Jing Chen (Cardiff University, UK)
Dr. Nick Taylor (University of Bristol, UK)
Dr. Qian Han (Xiamen University, China)
Dr. Zhenyu Cui (Stevens Institute of Technology, USA)
Dr. Sheung Yin Kevin Mo (QMA, USA)