时间：2023年11月3日（星期五）下午15:00-17:00

地点：金融学院博文楼508会议室

报告题目：Forecasting Chinese stock market volatility with multi-source information

【内容简介】

In this paper, we propose a new volatility model incorporating multi-source information to model and forecast the Chinese stock market volatility. Our empirical results suggest that the proposed model outperforms competing models in terms of both empirical return fit and out-of-sample volatility forecast. Moreover, we show that for a risk-averse investor, incorporating the multi-source information into a volatility-timing strategy yields substantial economic benefits.

【主讲人简介】

赵安，安徽财经大学金融学院硕士研究生，研究方向为金融工程与风险管理。主持安徽财经大学研究生创新基金项目1项；在Finance Research Letters、North American Journal of Economics and Finance等SSCI期刊发表学术论文多篇。

报告题目：Moran Process Stochastic Evolutionary Game Model for Cooperative Innovation Strategies in Green Technology

【内容简介】

The innovation paradigm of enterprises in the digital economy era has shifted from closed to cooperative innovation between enterprises and external subjects. This study examines enterprise green technology cooperative innovation through a stochastic evolution game perspective and introduces the digitalization level, green finance, and technological knowledge complementarity. Based on Moran process, we construct a game model of enterprise green technology cooperative innovation to describe the decision-making interaction mechanism among the main subjects. We discovered that when the synergy benefit is greater than a certain multiplier cost, it helps the fixation of cooperative strategies. As synergy benefit increases, fixation and exit times shorten and prolong, respectively. Compared to low green finance, the probability of the fixation of a separate innovation strategy under high green finance reduces, fixation time prolongs continuously, and exit time of the cooperative strategy also prolongs. Furthermore, through numerical simulation, the digitalization level, green finance, and technological knowledge complementarity have a synergistic effect on the impact of cooperative innovation strategies, strengthening the sustainability stability of green technology cooperative innovation. This study considers the factors influencing green technology cooperative innovation from a multidimensional perspective. It also provides new ideas for theoretical research on cooperative innovation, offers lessons on how to build innovation consortia.

【主讲人简介】

贾梦雨，安徽财经大学金融学院硕士研究生，研究方向为环境经济、绿色金融和企业创新。先后主持安徽省新时代研究生教育质量项目——省级研究生学术创新项目和安徽财经大学研究生创新基金项目，参与国家社会科学基金重大项目、安徽省高校科研计划项目（优秀青年科研项目）等多个国家级和省部级项目；在《中国工业经济》、Journal of Environmental Management、Renewable Energy等国内外重要期刊发表学术论文多篇。