報告題目：Adaptive testing for alphas in high-dimensional factor pricing models
報 告 人：夏強 教授
所在單位：華南農業大學
報告時間：2023年5月12日 星期五 13:30-14:30
報告地點：騰訊會議147655560
校内聯系人：朱複康 zhufk@126.com
摘要：This paper proposes a new procedure to validate the multi-factor pricing theory by testing the presence of alpha in linear factor pricing models with a large number of assets. Because the market's inefficient pricing is likely to occur to a small fraction of exceptional assets, we develop a testing procedure that is particularly powerful against sparse signals. Based on the high-dimensional Gaussian approximation theory, we propose a simulation-based approach to approximate the limiting null distribution of the test. Our numerical studies show that the new procedure can deliver a reasonable size and achieve substantial power improvement compared to the existing tests under sparse alternatives, and especially for weak signals.
報告人簡介：夏強，教授，博士生導師，現為華南農業大學數學與信息學院、軟件學院副院長。主要從事時間序列分析和高維數據分析的研究，已經在Journal of Business & Economic Statistics、mBio、Statistica Sinica、Journal of Time Series Analysis、中國科學《數學》等國内外學術期刊上發表30餘篇，出版專著2部。近年來主持國家自然科學基金重大研究計劃培育項目，國家自然科學基金面上項目，國家社科基金青年項目各1項。目前擔任美國數學評論評論員；廣東省統計學會常務理事；廣東省現場統計學會副理事長。
