********************************************************************

                                                     Seminar

             Department of Systems Engineering and Engineering Management
The Chinese University of Hong Kong

------------------------------------------------------------------------------------------

Title	:	Optimal Trend Following Trading Rules
Speaker	:	Prof. Min Dai
		Department of Mathematics
		National University of Singapore
Date	:	Dec. 8th, 2011 (Thursday)
Time	:	4:30 p.m. - 5:30 p.m.
Venue	:	Room 513
		William M.W. Mong Engineering Building
		(Engineering Building Complex Phase 2)
		CUHK

------------------------------------------------------------------------------------------

Abstract:

We are concerned with the optimality of a trend following trading rule. The idea is to catch a bull market at its early stage, ride the trend, and liquidate the position at the first evidence of the subsequent bear market. We characterize the bull and
bear phases of the markets mathematically using the conditional probabilities of the bull market given the up to date stock prices.
We show that the optimal trend following trading rule is determined by a sequence of optimal stopping times that can be obtained by solving the associated Hamilton-Jacobi-Bellman equations. Simulations and empirical experiments are conducted and reported. This work is joint with Qing Zhang and Qiji Zhu.

-------------------------------------------------------------------------------------------

Biography:

Prof Dai Min received his Ph.D. degree from Fudan University in 2000. After spending four years as a post-doc and lecturter at Peking University, he joined the Department of Mathematics, National University of Singapore, in July 2004. His research focuses on mathematical finance, particularly on option pricing and optimal investment with market imperfections. Currently he serves in the Editorial Board of Journal of Economic Dynamics and Control.

************************* ALL ARE WELCOME ************************

Host	:	Prof. Chen Nan
Tel	:	(852) 3943-8237
Email	:	nchen@se.cuhk.edu.hk
Enquiries	:	Prof. Nan Chen or Prof. Sean X. Zhou
	:	Department of Systems Engineering and Engineering Management
		CUHK
Website	:	http://www.se.cuhk.edu.hk/~seem5201
Email	:	seem5201@se.cuhk.edu.hk

********************************************************************