报告题目：Virtual Standard Currency and Virtual Standard True Coin
摘要：In the global ﬁnancial and business world, the wealth that an entity owns usually is composed of various assets or measured by diﬀerent currencies, whose value is dependent on the ﬂuctuation of the foreign exchange rates. The analysis of dynamics associated with the foreign exchange rates is one of the important concerns to market strategists, ﬁnancial planners or risk managers such that a fundamental problem is induced as how to measure the wealth objectively. In this talk, a concept of the virtual standard currency (VSC) is proposed as a methodology to measure the wealth in a currency portfolio objectively. The VSC is regarded as a virtual base currency such that any real foreign exchange rate matrix is approximated by a rank one matrix consisting of two virtual exchange rate vectors. The existence of the VSC is proved through an optimal solution to the basic rank one approximation problem. The evaluation of wealth in a currency portfolio is free from the buying or selling operations in real currencies so that the currency portfolio is kept invariant during the measurement. The VSC can eliminate uncertainties arising from the choice of particular real currency and the interactive eﬀects across diﬀerent kinds of currencies. Using VSC, a virtual standard true coin system (different from Libra) can be formed.
报告人简介：张正军，美国威斯康辛大学统计系教授、副主任，北卡罗来纳大学教堂山分校统计学博士。主要研究方向包括：金融时间序列分析、数字货币和加密货币、极值理论、金融风险的建模和评估、市场系统性风险评估、非线性因果分析、新型极大化机器学习和数值优化等。张教授现为美国统计协会会士、国际数理统计协会财务总监、国际顶级期刊Journal of Business & Economic Statistics副主编、Statistica Sinica副主编、Journal of Econometrics金融工程与风险管理特刊共同主编。在Journal of Econometrics, Journal of Royal Statistical Society Series B, Annals of Statistics, Journal of American Statistical Association 等顶级统计学、经济学期刊发表学术论文70余篇。