10-21【Xiaolin Li】新楼308 研究生教育创新计划高水平学术前沿讲座

发布者:徐明巧发布时间:2025-10-16浏览次数:53


TitleFrom Black-Scholes Equation to James Simmons' Renaissance TechnologiesEntropy and the Driving Energy

 

SpeakerXiaolin Li, Stony Brook University

 

Time2025.10.21 16:00-17:00

 

Location新楼308

 

Abstract

Fischer Black, Myron Scholes, and Robert Merton developed the Black-Scholes model for option pricing—a groundbreaking contribution that earned Scholes and Merton the Nobel Prize in Economics in 1997. The model is built on the assumption that stock prices follow a log-normal Markov process, with the risk-free interest rate acting as the drift term. However, the work of James Simons and his firm, Renaissance Technologies, has demonstrated that certain minority market behaviors exhibit a degree of statistical predictability. In this talk, I present my own study on this topic. I will trace the development from the binomial options pricing model to the Black-Scholes equation, highlighting the mathematical and financial significance of its solution. I will then introduce a set of low-entropy market groups that deviate from the standard Markovian assumptions, and explain how these anomalies can be exploited in stock trading and portfolio optimization. Finally, I will show how computational learning techniques can be used to detect and capitalize on these non-random patterns.