Event
ISR Systems Seminar: Jian-Qiang Hu, "Stock Index Futures: Their Effects on Stock Markets"
Tuesday, February 2, 2010
11:30 a.m.
1146 A.V. Williams Building
Regina King
301 405 6615
rking12@umd.edu
ISR Systems Seminar
Stock Index Futures: Their Effects on Stock Markets
Jian-Qiang Hu, Ph.D.
Department of Management Science
School of Management
Fudan University
Host
Professor Michael Fu (BGMT/ISR)
Abstract
The Chinese stock market governing body has been considering introducing stock index futures into Chinese markets. In this talk, we present our recent work on the effects of stock index futures on stock markets. Our work is quite different from most of the previous works on stock index futures which have mainly focused on the issues related to their use in arbitraging and hedging against the underlying stocks they represent. In our study, we use the mean-variance model of capital equilibrium. We first show that introducing stock index futures is equivalent to allowing short sales for the underlying stocks included in the stock index futures. We then propose an effective algorithm to obtain the equilibrium stock prices based on the mean-variance model, and study the effects of the stock index futures on stock prices under various conditions and present our numerical findings. We will also discuss several possible extensions of our work. (This is a joint work with Prof. Yifan Xu and Ms. BaiMei Yang)
Biography
J.Q. Hu is a Professor with the Department of Management Science, School of Management, Fudan University. Prof. Hu received his B.S. degree in applied mathematics from Fudan University, China, and M.S. and Ph.D. degrees in applied mathematics from Harvard University. He was an Associate Professor with the Department of Mechanical Engineering and the Division of Systems Engineering at Boston University before joining Fudan University.
His research interests include discrete-event stochastic systems, simulation, queueing network theory, stochastic control theory, with applications towards supply chain management, risk management in financial markets and derivatives, communication networks, and flexible manufacturing and production systems. He has published over 80 research papers and is a co-author (with M.C. Fu) of the book, Conditional Monte Carlo: Gradient Estimation and Optimization Applications (Kluwer Academic Publishers, 1997), which won the 1998 Outstanding Simulation Publication Award from INFORMS College on Simulation. He is an associate editor of Automatica and a managing editor of OR Transactions, and was a past associate editor of Operation Research and IIE Transaction on Design and Manufacturing.
