金融經(jīng)濟(jì)學(xué)科研項(xiàng)目：經(jīng)濟(jì)數(shù)據(jù)與金融市場(chǎng)趨勢(shì)的預(yù)測(cè)研究——基于動(dòng)態(tài)統(tǒng)計(jì)建模和時(shí)間序列數(shù)據(jù)模型

導(dǎo)師學(xué)校介紹

麻省理工學(xué)院（MIT）創(chuàng)立于1861年，是世界著名私立研究型大學(xué)，在2020年U.S.News世界大學(xué)排名中綜排位列第二。學(xué)校孕育了90位諾貝爾獎(jiǎng)得主、59位美國(guó)國(guó)家科學(xué)獎(jiǎng)?wù)芦@得者，以及75位麥克阿瑟獎(jiǎng)獲得者。

導(dǎo)師詳細(xì)介紹

導(dǎo)師昵稱

Peter

導(dǎo)師級(jí)別

終身教職

導(dǎo)師學(xué)校

麻省理工學(xué)院(MIT)

Peter導(dǎo)師以優(yōu)異成績(jī)獲得哈佛大學(xué)(Harvard University)應(yīng)用數(shù)學(xué)學(xué)士學(xué)位，并當(dāng)選為Phi Beta Kappa Alpha Chapter的成員。后續(xù)他攻讀統(tǒng)計(jì)學(xué)碩士學(xué)位，并獲得了倫敦大學(xué)帝國(guó)理工學(xué)院(University of London)的碩士學(xué)位和文憑，以及加州大學(xué)伯克利分校(University of California Berkeley)的博士學(xué)位。在哈佛大學(xué)擔(dān)任統(tǒng)計(jì)學(xué)教授期間，他獲得了美國(guó)國(guó)家科學(xué)基金會(huì)的博士后數(shù)學(xué)科學(xué)研究獎(jiǎng)學(xué)金。隨后，他成為麻省理工學(xué)院斯隆管理學(xué)院(MIT Sloan School of Management)的教授，并晉升為管理科學(xué)終身教授。從1990年到1998年，他還擔(dān)任麻省理工學(xué)院斯隆管理學(xué)院(MIT Sloan School of Management)的首席研究科學(xué)家，在經(jīng)濟(jì)和管理科學(xué)計(jì)算研究中心(CCREMS)和國(guó)際金融服務(wù)研究中心(IFSRC)進(jìn)行研究。他是風(fēng)險(xiǎn)管理項(xiàng)目組的積極成員，并開(kāi)發(fā)了納入行業(yè)標(biāo)準(zhǔn)RiskMetrics方法論的分析方法。2013年，他加入MIT數(shù)學(xué)系，擔(dān)任金融數(shù)學(xué)和統(tǒng)計(jì)講師。2014年在北京交通大學(xué)全球暑期學(xué)校任教期間，被聘為計(jì)算機(jī)與信息技術(shù)學(xué)院特聘教授。

自1992年以來(lái)，他一直通過(guò)他的公司Kempthorne analytics,Inc.為各種機(jī)構(gòu)提供金融和統(tǒng)計(jì)分析咨詢服務(wù)。過(guò)去的客戶包括花旗銀行(Citibank)、Colonial/Liberty Funds、美國(guó)運(yùn)通(American Express)、巴黎國(guó)家銀行(Banque Nationale de Paris)、佳能(Canon)、富達(dá)管理與研究(Fidelity Management and Research)、Mathsoft/Corporation、默克(Merck)、RXR、山德士(Sandoz)和普林斯頓品牌計(jì)量經(jīng)濟(jì)學(xué)(Princeton Brand Econometrics)。項(xiàng)目活動(dòng)包括:股票市場(chǎng)的資產(chǎn)選擇建模、風(fēng)險(xiǎn)管理的統(tǒng)計(jì)分析、風(fēng)險(xiǎn)管理軟件的集成設(shè)計(jì)和實(shí)現(xiàn)、衍生品定價(jià)的金融分析、災(zāi)難性風(fēng)險(xiǎn)分析——風(fēng)險(xiǎn)暴露建模和保險(xiǎn)定價(jià)方案、用于做市的股票市場(chǎng)交易數(shù)據(jù)微觀結(jié)構(gòu)建模以及交易系統(tǒng)的設(shè)計(jì)、開(kāi)發(fā)、實(shí)現(xiàn)。

自1995年以來(lái)，他一直擔(dān)任投資經(jīng)理，利用先進(jìn)的統(tǒng)計(jì)分析來(lái)管理各種投資項(xiàng)目。從2010年到2012年，他在IKOS,CIF Ltd擔(dān)任投資組合經(jīng)理和高級(jí)研究員，IKOS,CIF Ltd是一家完全系統(tǒng)化的量化對(duì)沖基金，管理著21億美元(美元)的全球股票、期貨和貨幣投資組合。作為投資組合經(jīng)理，管理和增強(qiáng)股票投資組合的實(shí)時(shí)構(gòu)建過(guò)程，包括alpha模型評(píng)估和開(kāi)發(fā)、執(zhí)行分析和投資組合優(yōu)化;他還進(jìn)行了期貨和貨幣投資組合的風(fēng)險(xiǎn)建模和管理。作為高級(jí)研究員，他擔(dān)任研究指導(dǎo)委員會(huì)主席，管理和指導(dǎo)研究人員，并協(xié)調(diào)IKOS/牛津大學(xué)博士實(shí)習(xí)生計(jì)劃。他于1995年聯(lián)合創(chuàng)立了Chronos Asset Management，并于1996年聯(lián)合創(chuàng)立了Summa Capital Management。作為這兩家投資管理公司的負(fù)責(zé)人，他運(yùn)用自己專有的分析方法開(kāi)發(fā)統(tǒng)計(jì)交易模型和交易系統(tǒng)，并監(jiān)督交易操作。

Kempthorne Analytics目前在馬薩諸塞州注冊(cè)為投資顧問(wèn)，為零售客戶管理系統(tǒng)定量投資項(xiàng)目。Peter導(dǎo)師持有Series 3和Series 65許可證，并在the National Futures Association是注冊(cè)商品交易顧問(wèn)。

他活躍于John Bertram House Inc.(1998-2010)和Lynn Home for Young Women,Inc.(2005-2010)的董事會(huì)。他曾擔(dān)任兩家非營(yíng)利公司的財(cái)務(wù)主管，并擔(dān)任監(jiān)督信托資產(chǎn)管理的財(cái)務(wù)委員會(huì)主席。

Peter received his A.B.magna cum laude degree in applied mathematics from Harvard University and was elected to the Alpha Chapter of Phi Beta Kappa.He pursued graduate studies in statistics receiving the M.Sc.degree and the Diploma of Imperial College award from the University of London,and a Ph.D.from the University of California Berkeley.While an Assistant Professor of Statistics at Harvard,he was awarded a Postdoctoral Mathematical Sciences Research Fellowship by the National Science Foundation.He then joined the faculty of MIT at the Sloan School of Management as a visiting Assistant Professor and was promoted to Associate Professor of Management Science.From 1990 to 1998,he also served as a Principal Research Scientist at the MIT Sloan School of Management conducting research at the Center for Computational Research in Economics and Management Science(CCREMS)and at the International Financial Services Research Center(IFSRC).He was an active member of the Risk Management Working Group and developed analytics incorporated in the industry-standard RiskMetrics methodology.In 2013 Peter joined the MIT mathematics department as a lecturer in financial mathematics and statistics.His course""Topics in Mathematics with Applications to Finance""is published and available on the MIT Open Courseware website.In 2014,while teaching in the Global Summer School of Beijing Jiaotong University,he was appointed Distinguished Visiting Professor in the School of Computer and Information Technology.

Peter has been providing consulting services in financial and statistical analytics to a wide range of institutions through his company since 1992.Past clients include Citibank,Colonial/Liberty Funds,American Express,Banque Nationale de Paris,Canon,Fidelity Management and Research,Mathsoft/Insightful Corporation,Merck,RXR,Sandoz,and Princeton Brand Econometrics.Project activities include:asset selection modeling for equity markets,statistical analytics for risk management,integrated design and implementation of risk management software,financial analytics for derivatives pricing,catastrophic risk analytics-exposure modeling and pricing insurance programs,stock market microstructure modeling of transaction data for market making;and trading system design,development,and implementation.

Since 1995,Peter has been an investment manager,exploiting advanced statistical analytics to manage a variety of investment programs.From 2010-2012 he was portfolio manager and senior researcher at IKOS,CIF Ltd,a fully systematic,quantitative hedge fund managing$2.1B(USD)in global portfolios of equities,futures,and currencies.As portfolio manager he managed and enhanced real-time construction processes of equities portfolios,including alpha model evaluation and development,executions analysis and portfolio optimization;and he conducted risk modeling and management of futures and currency portfolios.As senior researcher he chaired the Research Steering Committee,managed and mentored researchers,and coordinated the IKOS/Oxford Univ.PhD intern program.He co-founded Chronos Asset Management in 1995 and Summa Capital Management in 1996.As a principal of both investment management companies,he applied his proprietary analytic methods to develop statistical trading models and trading systems and supervised trading operations.

Kempthorne Analytics is currently registered as an investment adviser in Massachusetts and manages systematic quantitative investment programs for retail clients.Peter holds the Series 3 and Series 65 licenses and is registered with the National Futures Association as a Commodity Trading Adviser.

Peter was active on the boards of John Bertram House Inc.(1998-2010)and the Lynn Home for Young Women,Inc.(2005-2010).He served as Treasurer for both non-profit corporations and chaired the finance committees that oversaw the management of trust assets.

適合人群

方向：金融商科

專業(yè)：經(jīng)濟(jì)學(xué)

適合專業(yè)：商業(yè)分析，金融學(xué)，經(jīng)濟(jì)學(xué)，金融市場(chǎng)，計(jì)量經(jīng)濟(jì)學(xué)，數(shù)據(jù)科學(xué)，數(shù)據(jù)分析，統(tǒng)計(jì)學(xué)，發(fā)展經(jīng)濟(jì)學(xué)，經(jīng)濟(jì)數(shù)學(xué)，股票投資，宏觀經(jīng)濟(jì)學(xué)

項(xiàng)目?jī)r(jià)格：33800/19800

項(xiàng)目周期：7周在線小組科研+5周論文輔導(dǎo)

是否建議高中生學(xué)習(xí)：是

是否建議大學(xué)生學(xué)習(xí)：是

語(yǔ)言：英文

難度：中級(jí)/高級(jí)難度

建議具備的基礎(chǔ)：數(shù)學(xué)、金融經(jīng)濟(jì)學(xué)、宏觀經(jīng)濟(jì)學(xué)、計(jì)量經(jīng)濟(jì)學(xué)、金融數(shù)據(jù)分析、股票投資、商業(yè)分析等專業(yè)或希望修讀相關(guān)專業(yè)的學(xué)生；學(xué)生需具備隨機(jī)變量、概率論等相關(guān)知識(shí)并熟練掌握R語(yǔ)言

科研項(xiàng)目產(chǎn)出

7周在線小組科研學(xué)習(xí)+5周論文輔導(dǎo)學(xué)習(xí)共125課時(shí)

學(xué)術(shù)報(bào)告

優(yōu)秀學(xué)員獲主導(dǎo)師Reference Letter

EI/CPCI/Scopus/ProQuest/Crossref/EBSCO或同等級(jí)別索引國(guó)際會(huì)議全文投遞與發(fā)表指導(dǎo)（可用于申請(qǐng)）

結(jié)業(yè)證書(shū)

成績(jī)單

項(xiàng)目介紹

Introduction to fundamental methods and models of time series analysis with applications in economics,finance,and public health.Important models of trend and seasonality are developed and applied,using multi-stage exponential smoothing.Box-Jenkins models for stationary time series(auto-regressions,moving averages)are covered including methods for estimation,order selection,and forecasting.Real-world time series data are collected from the internet and analyzed with the methods covered in the program.

本項(xiàng)目將向?qū)W生介紹時(shí)間序列分析的基本方法和模型，以及在經(jīng)濟(jì)學(xué)、金融學(xué)和公共衛(wèi)生領(lǐng)域的應(yīng)用。利用多階段指數(shù)平滑，重要的趨勢(shì)和季節(jié)性模型得到了更好的發(fā)展和應(yīng)用。項(xiàng)目中介紹了用于固定時(shí)間序列（自回歸、移動(dòng)平均線）的Box-Jenkins模型，包括估計(jì)、順序選擇和預(yù)測(cè)方法。學(xué)生們將從互聯(lián)網(wǎng)上收集現(xiàn)實(shí)世界的時(shí)間序列數(shù)據(jù)，并使用項(xiàng)目中涵蓋的方法進(jìn)行分析。

項(xiàng)目背景

時(shí)間序列是指將某種現(xiàn)象某一個(gè)統(tǒng)計(jì)指標(biāo)在不同時(shí)間上的各個(gè)數(shù)值，按時(shí)間先后順序排列而形成的序列。時(shí)間序列法是一種定量預(yù)測(cè)方法，亦稱簡(jiǎn)單外延方法，在統(tǒng)計(jì)學(xué)中作為一種常用的預(yù)測(cè)手段被廣泛應(yīng)用。時(shí)間序列分析在第二次世界大戰(zhàn)前應(yīng)用于經(jīng)濟(jì)預(yù)測(cè)。二次大戰(zhàn)中和戰(zhàn)后，在軍事科學(xué)、空間科學(xué)、氣象預(yù)報(bào)和工業(yè)自動(dòng)化等部門(mén)的應(yīng)用更加廣泛。時(shí)間序列分析(Time series analysis)是一種動(dòng)態(tài)數(shù)據(jù)處理的統(tǒng)計(jì)方法。該方法基于隨機(jī)過(guò)程理論和數(shù)理統(tǒng)計(jì)學(xué)方法，研究隨機(jī)數(shù)據(jù)序列所遵從的統(tǒng)計(jì)規(guī)律，以用于解決實(shí)際問(wèn)題。時(shí)間序列構(gòu)成要素是：現(xiàn)象所屬的時(shí)間，反映現(xiàn)象發(fā)展水平的指標(biāo)數(shù)值。

項(xiàng)目大綱介紹

時(shí)間序列分析導(dǎo)論 Introduction to Time Series Analysis

時(shí)間序列模型;金融時(shí)間序列 Simple Time Series Models;financial time series

預(yù)估噪聲序列的時(shí)間序列相關(guān)性檢驗(yàn)固定的流程 Testing estimated noise sequences for time series dependence;stationary processes

回歸(AR)、移動(dòng)平均(MA)和ARMA模型；模型選擇和預(yù)測(cè) 

Auto-regression(AR),moving average(MA),and ARMA models；model selection and forecasting

學(xué)術(shù)研討1  Final Project Phase I

學(xué)術(shù)研討2  Final Project Phase II

項(xiàng)目回顧和成果展示 Program Review and Presentation

論文輔導(dǎo) Project Deliverables Tutoring

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