教育部人文社科重点研究基地中央财经大学中国精算研究院学术活动

精算论坛第277期讲座

(2025年12月18日)

讲座主题：Quantitative Investing and PriceInformativeness

摘要：We establisha rationalexpectations equilibrium of asset and fund market to examine the effect ofquantitative investing on priceinformativeness (PI). With superior access to price information,quantitative funds bringsmore informed capital to the market, improving PI. However, common errors in processing price information make their price interpretationsimperfectly, injecting systematic noise into the equilibrium, reducing PI. This generates a hump-shaped PI to the level of the institutionalization. Inan equilibriumwith an endogenously determined fund market, lowering price information acquisitioncost motivates more quantitative investing and makes noise information interpretation more correlated among the funds. A low information processing capacity of the funds amplifies the systematic noise, distorting information aggregation and reducing PI, while a high information processing capacity of the funds reduces their imperfect price interpretations, improving PI.

报告人：XuezhongHe

Prof.Xuezhong(Tony) He joined the IBSS Department of Finance as a Professor in Finance in 2022. He had been a Co-Editor of the Journal of Economic Dynamics and Control (an ABDC A* journal) for ten years (2013-2022). He is also a Senior Editor, Department Editor, Associate Editor, and Guest Editor for several other journals in finance and economics. Tony is an internationally recognized expert in asset pricing, financial market modeling, market microstructure, financial economics, and nonlineardynamics in finance and economics. His publications in finance and economics attest his international research profile, including invited contributions to the prestigious Handbook of Financial Markets and Handbook of Computational Economics, numerous keynotes at international conferences, and many competitive Australian and Chinese research grants. Regarding research impact,RePEc(Research Papers in Economics) Ranking puts Tony in the Top 3% in Asia and China. He has published 1 book, 15 book chapters, and more than 60 papers in journals, includingThe Journal of Finance, Management Science, Economic Research Journal (经济研究), Journal of Economic Dynamics and Control, Journal of EconomicBehaviourand Organization, Macroeconomic Dynamics,andJournal of Banking and Finance.His publications have been cited over 3,600 times in Scopus and 6,000 times in Google Scholar.

讲座时间：2025年12月18日（周四）下午13:30-14:30

报告地点：沙河校区学院楼13号215

邀请人：郑敏