Prof. CHEN Kun from the School of Statistics, SWUFE gave a lecture entitled "From Statistical Learning to Financial Big Data Analytics".

Abstract：After the tumultuous period marked by the 2007-2008 Financial Crisis, the financial industry has entered a new era. Quantitative analysis, including statistical models and methods, and algorithms for their development and implementation, are of increasing importance. The onset of this era is “big data revolution”, where various modern statistical learning methods can be applied. In this talk, I will give a brief introduction on sparsity, LASSO and friends. Then two examples are shown to illustrate the application of these regularization methods to financial big data analytics. Finally, using a moderate training real data, these methods are shown effective in improving the performance of traditional financial models, algorithms and estimation methods.