统计与数据科学系系列学术报告之四百六十八期

时间： 2025年5月15日（周四）14:00-15:00

主持人：复旦大学管理学院统计与数据科学系黎德元教授

地点：史带楼304室

报告人：Prof. Ying Chen

National University of Singapore

题目：Neural Tangent Kernel in Implied Volatility Forecasting: A Nonlinear Functional Autoregression Approach

摘要：Forecasting implied volatility across different levels of moneyness and maturity is crucial yet challenging due to the high dimensionality of the Implied Volatility Surface (IVS) and the nonlinearity that characterizes its temporal dependence. We adopt a Nonlinear Functional Autoregressive (NFAR) framework to a sequence of IVS and employ neural networks that admit a Neural Tangent Kernel (NTK) parametrization to capture nonlinear interactions between surfaces. We illustrate the theoretical and numerical advantages of the proposed functional NTK (fNTK) estimator and establish a link to functional kernel regression. Our empirical analysis includes over 6 million European calls and put options from the S\&P 500 Index, covering January 2009 to December 2021. The results confirm the superior forecasting accuracy of the fNTK across different time horizons. When applied to short delta-neutral straddle trading, the fNTK achieves a Sharpe ratio ranging from 1.30 to 1.83 on a weekly to monthly basis, translating to 90% to 675% relative improvement in portfolio returns compared to forecasts based on functional Random Walk model. This is a joint work with Maria Grith and Hannah Lai. https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4547560

个人简介：Dr. Ying Chen is a financial statistician and data scientist, focusing on non-stationary, high-frequency, and large dimensional complex data forecasting. She also works on quantitative fintech, quantitative finance, and quantum computing and algorithms. Dr. Chen is an Associate Professor in the Department of Mathematics, Interim Director of Centre for Quantitative Finance, PI at the Asian Institute of Digital Finance, and a Joint Appointee in the Risk Management Institute at the National University of Singapore. Dr. Chen is a Council Member of the International Statistical Institute (ISI) for the period 2023–2027, Scientific Secretary and Executive Committee member of the International Association for Statistical Computing (IASC), and chairperson-elect of the Asian Regional Section (ARS) of IASC.