Research project displayed in technology exhibitions : Deep Learning for Trading and Risk Management – Prof Wong Hoi Ying
The Faculty of Science’s Associate Dean (Student Affairs) and Department of Statistics Professor Wong Hoi-ying and his research team have developed tools for extracting trading signals and predicting stock movements using deep learning models. Both the accuracy of predictions and profits from trading can outperform traditional models. The team hopes the deep learning models can provide useful information for investors to help them construct portfolios and generate outstanding returns.
Financial transactions nowadays no longer rely solely on economic theory, but also involve a range of other disciplines. A research team led by Professor Wong Hoi-ying, Associate Dean (Student Affairs) in the Faculty of Science and Professor in the Department of Statistics at CUHK, has successfully adopted deep learning models to develop tools for extracting useful trading signals and predicting stock movements. For intraday trading, the research team has developed a novel Deep Limit Order Book (LOB) trading system that takes advantage of tick-time intervals with deep learning and GPU techniques to generate trading signals. The system can also optimise these signals and execute orders to make profits under real trading circumstances. For interday trading, the team also uses numerous inputs to build deep learning models that can predict trading signals. The model can deal with large and high-dimensional data sets using deep learning and GPU techniques, extracting useful information and predicting stock movements. The model also incorporates the “focal loss function” and “fractional Kelly growth criterion under VaR control” for statistical analysis and decision-making.
About Professor Wong Hoi-ying
Professor Wong obtained his B.Sc. with first class honours in mathematical sciences from Hong Kong Baptist University in 1997 and his Ph.D. in mathematics from the Hong Kong University of Science and Technology in 2001. He joined CUHK the same year and was a founding Co-Director of the Quantitative Finance and Risk Management programme and Director of the MSc in Risk Management Science programme. He received the ViceChancellor’s Exemplary Teaching Award twice, in 2015 and 2020, as recognition of his outstanding contribution to teaching.
The Chinese University of Hong Kong will showcase 28 new research projects in the International ICT Expo 2022, the InnoCarnival 2022 and the Hong Kong International Medical and Healthcare Fair 2022. The details are as follows:
International ICT Expo 2022
Date: 13-16 October 2022
Time: 13-15 October (Thur-Sat): 10 am – 6 pm; 16 October (Sun): 10 am – 5 pm
Venue: Hall 1D, Hong Kong Convention and Exhibition Centre
Booth no.: 1D-E24
Official website: https://www.hktdc.com/event/ictexpo/en
Date: 22-30 October 2022
Time: Sat & Sun: 10 am – 6 pm; Mon to Fri: 10 am – 5 pm
Venue: Hong Kong Science Park
Booth no.: D06 (Grand Hall, 1/F, Phase 3, Hong Kong Science Park)
Offline to online interactive game: https://cuhk.iontec.com.hk/innoc2022
Official website: http://innocarnival.hk
Hong Kong International Medical and Healthcare Fair 2022
Date: 09-11 November 2022
Time: 09-10 November (Wed-Thur): 10 am – 6 pm; 11 November (Fri): 10 am – 5 pm
Venue: Hall 3E, Hong Kong Convention and Exhibition Centre
Booth no.: 3E-C01
Official website: https://event.hktdc.com/fair/hkmedicalfair-en