报告题目：Foreign exchange market modelling and an on-line portfolio selection algorithm（外汇市场基于矩阵值的建模以及投资组合优化算法）

报告人：英国斯旺西（Swansea)大学 任盼盼博士

报告时间：9月9日下午4点-5点

地点：1518

摘要：We introduce a matrix-valued time series model for foreign exchange market. We then formulate trading matrices, foreign exchange options and return options (matrices), as well as on-line portfolio strategies. Moreover, we attempt to predict returns of portfolios by developing a cross rate method. This leads us to construct an on-line portfolio selection algorithm for this model. At the end, we prove the protability and the universality of our algorithm.