The tenth Peking University (PKU)–National University of Singapore (NUS) Annual International Conference on Quantitative Finance and Economics was held at Peking University HSBC Business School (PHBS) from May 16 to 17, 2026. Jointly organized by PHBS, the Risk Management Institute (RMI) of the National University of Singapore (NUS), and the Key Laboratory of Mathematical Economics and Quantitative Finance of the Ministry of Education (PKU), the conference brought together nearly 150 scholars to share the latest research findings in quantitative finance and economics.

PKU-NUS Annual International Conference

From left to right: During the opening ceremony, Young Joon Park, associate dean of PHBS; Chen Yi-Chun, director of the NUS Risk Management Institute; and Zhang Ruixun, deputy director of the Department of Financial Mathematics at Peking University's School of Mathematical Sciences, delivered opening addresses.

Young Joon Park reviewed the PHBS‑NUS collaboration and PHBS’s 2025 achievements, hoping the conference would strengthen scholarly ties and keep pace with research frontiers. Chen Yi-Chun noted the longstanding partnership between Peking University and NUS and encouraged scholars to use the conference platform to enhance research exchanges and project collaboration. Zhang Ruixun introduced recent research activities of the Key Laboratory of Mathematical Economics and Quantitative Finance, reviewed the conference's ten‑year history and called for deeper and broader academic exchanges and cooperation. The opening ceremony was presided over by Peng Xianhua, associate professor at PHBS.

From left to right, top to bottom: Yang Xiaoguang, Sun Yeneng, Li Jia, and Agostino Capponi

The conference invited scholars from the Chinese Academy of Sciences, the National University of Singapore, Singapore Management University, and Columbia University, covering fields such as mathematics, systems science, economics, finance, and operations research, to deliver keynote speeches.

Yang Xiaoguang, deputy director of the Institute of Systems Science, director of the Key Laboratory of Management Decision and Information Systems, and researcher at the Academy of Mathematics and Systems Science, Chinese Academy of Sciences, delivered a keynote titled "Systemic Financial Risk: A Rethinking." He noted that traditional early‑warning methods—relying on historical indicators, stress tests, and probabilistic models—implicitly assume "history repeats itself." However, major systemic risks often emerge in new forms and elude existing indicator systems. He therefore proposed understanding systemic risk through the dynamic evolution of "critical risk factors"—core elements that may grow from small to large, expand from local to systemic, and eventually destabilize the entire system. According to Yang, such critical risk factors typically feature rapid expansion, excess returns, strong aggregation, and a lack of substantive technological progress.

Sun Yeneng, dean of the Faculty of Arts and Social Sciences and professor of mathematics and economics at the National University of Singapore, introduced his paper, “Monotone Perfection,” proposing the concept of perfect monotone equilibrium. This concept incorporates trembling-hand perturbations into monotone equilibrium analysis, requiring robustness to small unintended deviations. He showed that the standard single-crossing condition and quasi-supermodularity in the literature are insufficient to guarantee existence; instead, increasing differences and supermodularity are jointly required. The framework applies to multi-unit auctions, first-price auctions, all-pay auctions, and Bertrand competition, demonstrating its strong applicability to economic models with monotonic strategic structures.

Jia Li, dean of the School of Economics and Lee Kong Chian professor of economics at Singapore Management University, presented a paper titled “Fixed‑k Inference for Explosive Drift.” The paper proposes a new inference framework using a fixed window length for explosive drift in high‑frequency data. Traditional large‑bandwidth asymptotics fail for local test statistics from short windows because their distributions are far from Gaussian. Treating window length k as fixed, local statistics couple with dependent t‑variables, and their maximum converges to a Fréchet (not Gumbel) distribution. The study establishes anti‑clustering conditions for the dependent t‑process, providing the theoretical foundation for overlapping estimation windows.

Agostino Capponi of Columbia University presented a paper titled “When More Data Hurts,” addressing the nonstationarity‑complexity tradeoff in return prediction. Using Fama‑French 17 industry portfolios with macro variables, three factors, and firm characteristics, the study builds linear and nonlinear models trained on windows from 1 to 256 months. The ATOMS method adaptively selects the window and model by pairwise error comparison, balancing bias and variance. Empirical results show out‑of‑sample R⟡ of 4–6%, outperforming cross‑validation, especially during recessions. In asset allocation, ATOMS achieves higher Sharpe ratios, greater cumulative returns, and lower turnover.

Parallel sessions

The conference selected 64 papers for presentation from nearly 200 high-quality submissions, attracting scholars from leading universities in China, the US, Singapore, Canada, and Australia, including the University of Chicago, National University of Singapore, Peking University, and Tsinghua University, among others. Nine faculty members and students from PHBS—Peng Xianhua, Zhu Guozhong, Feng Jian, Dario A. Romero, Wu Fan, Zhao Lingxiao, Lian Lili, Jiung Lee, and Hao Xinlei—presented their latest research findings.

During the conference, a brief but warm 10th anniversary celebration was held. Peng Xianhua, Chen Yi-Chun, and Zhang Ruixun, representing the co-organizers, jointly cut a 10th anniversary cake, expressing their best wishes for the conference’s continued promotion of international academic exchange and cooperation.

The group photo of the participants

The PKU‑NUS International Conference on Quantitative Finance and Economics was jointly initiated by PHBS and NUS. Held annually since 2016, the conference has been successfully held in Beijing, Shenzhen, and Suzhou over the past ten years. It aims to provide a platform for academic and industry exchanges, advance methodologies and techniques in quantitative finance and economics, explore financial regulatory policies, and prevent and manage financial risks.

By Annie Jin, Wang Xuyang, Lian Haoyu, Xing Yaru, and Lei Sijie

Source: PR & Media Office and Research Office