Prof. LAM Kin
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B.A. Mathematics, Hong Kong University
Ph.D. Mathematics, University of Wisconsin,Madison, Wisconsin

Head / Chair Professor
Department of Finance & Decision Sciences
Hong Kong Baptist University
Kowloon Tong, Hong Kong

Office: WLB 903 Shaw Campus
Tel.: (852) 2339-7556
Fax.: (852) 2339-5585
E-mail: lamkin@hkbu.edu.hk


 Research Interest

(A) Statistics

1. Statistical ranking and selection.

2. Probabilistic modelling of

(a) data base management system

(b) information retrieval system

(c) self-organising system.

3. The teaching of statistics and probability and the popularisation of their usages.

 

(B) Finance

1. Investment Theory

2. Modelling of price movements in financial market

3. Financial derivatives and Investment strategies

 

Refereed Publication

(A) Statistics

  1. C.K. Leung and K. Lam (August 1975) "A note on the geometric representation of the correlation coefficients", The American Statistician, 19, pp.128-30.

  2. K. Lam and W.K. Chiu (1976) "On the probability of correctly selecting the best of several normal populations", Biometrika, 63 (2), pp.410-11.

  3. W.K. Chiu and K. Lam (November 1976) "More sampling can be less informative", The American Statistician, 34, pp.203-4.

  4. C.T. Yu, M.K. Siu and K. Lam, "On a partitioning problem", Association for Computing Machinery, Transactions on Database Systems, 3 (3), September 1978, pp.299-309.

  5. C.T. Yu, M.K. Siu, K. Lam and M. Ozsoyoglu, "Performance analysis of three related assignment problems". Proceedings of the Association for Computing Machinery, SIGMOD (Special Interest Group on Management of Data). International Conference on Management of Data, May 1979, pp.82-92.

  6. K. Lam and C.T. Yu, "An approximation algorithm for a file-allocation problem in a hierarchical distributed system". Proceedings of the Association for Computing Machinery, SIGMOD (Special Interest Group on Management of Data), International Conference on Management of Data, May 1980, pp.125-32.

  7. C.T. Yu and K. Lam, "An approach to probabilistic retrieval". Proceedings of the Association for Computing Machinery, SIGIR (Special Interest Group on Information Retrieval). International Conference on Information Retrieval, May, June, 1981, pp.46-55.

  8. C.T. Yu, M.K. Siu, K. Lam and F. Tai (November 1981) "Adaptive clustering schemes: General framework", IEEE COMPSAC, pp.81-89.

  9. K. Lam and K. L. Mehra (1981) "A note on some results of Tamhane", The Journal of the Royal Statistical Society, Series B, 43 (3), pp.368-369.

  10. K. Lam, M.K. Siu and C.T. Yu (1981) "A generalised counter-scheme", Theoretical Computer Science, Journal of the European Assoc. for Theoretical Computer Science, 16, pp.271-278.

  11. K. Lam and M.K. Siu (1981) "Skulls and surface areas", Int. J. Math. Educ. Sci. Techn., 12 (6), pp.733-735.

  12. C.T. Yu, K. Lam and G. Salton (January 1982) "Term weighting in information retrieval using term precision model", Journal of the Association for Computing Machinery, 29 (1), pp.152-170.

  13. C.T. Yu, K. Lam, C.C. Cheng and S.K. Chang. "Promising approach to distributed query processing", Berkeley Workshop On Distributed Data Management & Computer Networks, February 16-19, 1982, pp.363-390.

  14. K. Lam and C.T. Yu (September 1982) "A clustered search algorithm incorporating arbitrary term dependencies", Association for Computing Machinery, Transactions on Database Systems, 7 (3), pp.500-508.

  15. K. Lam (August 1983) "Probabilistic modelling - from physics to computer science", The American Statistician, 37 (3), pp.213-215.

  16. C.T. Yu, M.K. Siu, K. Lam and C.H. Chen, "Adaptive file allocation in star computer networks", Proceedings of the Twentieth International Computer Software and Applications Conference IEEE Computer Society, November 1983, pp.537-546. (Note: This paper is selected as one of the best papers for that year's IEEE COMPSAC papers.)

  17. K. Lam, M.Y. Leung and M.K. Siu (June 1982) "A problem on processors", Chinese Journal of Mathematics, 10 (1), pp.9-13.

  18. C.T. Yu, C. Buckley, K. Lam and G. Salton (October 1983) "A generalised term dependence model in information retrieval", Information Technology, pp.129-154.

  19. C.T. Yu, M.K. Siu, K. Lam and C.H. Chen (1983) "File allocation in distributed database with interaction between files", Proceedings of the Ninth International Conference On Very Large Data Bases, November, pp.248-259.

  20. K. Lam, M.Y. Leung and M.K. Siu (June 1984) "Self-organising file with dependent access", Journal of Applied Probability, 21, pp.343-359.

  21. C.T. Yu, Z.M. Ozsoyoglu and K. Lam (December 1984) "Optimisation of distributed tree queries", Journal of Computer and System Sciences, 29 (3), pp.409-445.

  22. K. Lam (December 1984) "Comparison of self-organising linear search rules", Journal of Applied Probability, 21, pp.763-776.

  23. S.P. Chow, K.Y. Fung, K. Lam and A. Ma (1984) "Long-term results after Colles' fracture - a computerised statistical analysis study", Journal of the Western Pacific Orthopaedic Association, Vol. XXI (2), pp.37-46.

  24. C.T. Yu, C.M. Suen, K. Lam and M.K. Siu (June 1985) "Adaptive record clustering", ACM Transactions on Database Systems, 10 (2), pp.180-204.

  25. K. Lam (1985) "Probability of correctly selecting the most probable multinomial event", The Frontiers of Modern Statistical Inference Procedures. American Sciences Press Inc., pp.397-404.

  26. K. Lam (1986) "A new procedure of selecting good populations", Biometrika, 73 (1), pp.201-206.

  27. K. Lam (1988) "An improved two-stage selection procedure", Communications in Statistics, Simulation & Computation, 17 (3), pp.55-62.

  28. K. Lam (1989) "The multiple comparison of ranked parameters", Communications in Statistics, Theory and Methods, 18 (4), pp.1217-1237.

  29. H.J. Chen and K. Lam (1989) "Single-stage interval estimation of the largest normal mean under heteroscedasticity", Communications in Statistics, Theory and Methods, 18 (10), pp.3703-18.

  30. K. Lam and C.K. Ng (1990) "Two-stage procedures for comparing several exponential populations with a control when the scale parameters are unknown and unequal", Sequential Analysis, 9 (2), pp.151-164.

  31. H.J. Chen and K. Lam (1991) "Percentage points of a studentized range statistic arising from non-identical normal random variables", Communications in Statistics, Simulation and Computation, 20(4), pp.995-1047.

  32. P.L.H. Yu and K. Lam (1991) "Tightness of some confidence and predictive intervals related to selection", Communications in Statistics, Theory and Methods, 20(4), pp.1401-1408.

  33. C.K. Ng, K. Lam and H.J. Chen (1992) "Multiple comparison of exponential location parameters with the best under type II consoring", American Journal of Mathematics and Management Sciences, 12.

  34. K. Lam, "Subset selection of normal populations under heteroscedasticity", The Frontiers of Modern Statistical Inference Procedures, 2, American Sciences Press, 1992, pp.307-346.

  35. K. Lam and R. Cowan (1992) "Stochastic reversibility in self-organising systems", Stochastic Models, 8(2), 325-336.

  36. J.J. Bau, H.J. Chen and K. Lam (1993) "On using Hartley's statistic to test the hypothesis of not much difference among normal variances", J. Statist. Comput. Simul., 45, pp.41-60.

  37. H.J. Chen, M. Xiong and K. Lam (1993) "Range tests for the dispersion of several location parameters", Journal of Statistical Planning and Inference, 36, pp.15-25.

  38. P.L.H. Yu and K. Lam (1994) "A predictive approach for the selection of a fixed number of good treatments", Commun. Statist. - Theory & Meth., 23(9), 2469-2492.

  39. K. Lam, B.K. Sinha and Z. Wu (1994) "Estimation of parameters in a two-parameter exponential distribution using ranked set sample", Ann. Statist. Math., Vol. 46, No.4, 723-736.

  40. K. Lam, B.K. Sinha and Z. Wu (1995) "Estimation of location, scale and quantities of a logistic distribution using a ranked set sample", Contribution to Order Statistics, Essays in honour of H. A. David, edited by Nagaraja, Sen and Morrison.

  41. Philip L.H. Yu and K. Lam (1996) "Likelihood ratio test for the spacing between two adjacent location parameters", Statistics and Probability Letters, 26, pp. 43-49.

  42. Philip L.H. Yu and K. Lam (1996) "Analysis of duplicate bridge tournament data", Scandinavian Journal of Statistics, Vol. 23, pp.1-13.

  43. P.L.H. Yu and K. Lam (1997) "How to predict election winners from a poll", Journal of Applied Statistics, Vol. 24, No. 1, pp.11-23.

  44. K.S. Chong and K. Lam (1997) "Cost comparison of a spectrum of self-organising rules", Journal of Applied Probability, 34, pp.583-592.

  45. Philip L.H. Yu and K. Lam (Sept 1997) "Regression estimator in ranked set sampling", Biometrics, Vol. 53, pp.1070-1080.

  46. K.S. Chong and K. Lam (1998) "Applying POS(i) rules to communication problems", Journal of Applied Probability, 35, pp.762-769.

  47. K.S. Chong and K. Lam (1999) "A generalized Abel’s partial summation formula and its application in self-organizing systems", Stochastic Models, Vol. 15(4), 779-790.

    48.  

    Submitted for publication

  48. Philip L.H. Yu and K. Lam, "B.L.U.E. estimation under ranked set sampling", submitted for publication.

  

 

(B) Finance

  1. K. Lam, W.K. Li and P.S. Wong (December 1990) "Price changes and trading volume relationship in the Hong Kong Securities market", Asian Pacific Journal of Management, 7, pp.25-42.

  2. K. Lam, H.M.K. Mok and I.Y.K. Cheung (October 1990) "The predictability and the stationarity of beta coefficients of Hong Kong Securities", Securities Industry Review, 16 (2), pp.1-12.

  3. K. Lam (1990) "Workings effect revisited - fitting univariate time series to stock price data", OMEGA, International Journal of Management Science, 18(3), pp.337-38.

  4. K. Lam (1991) "Commentary on predicting future volatility", The Review of Futures Markets, 10(3), pp.515-517.

  5. M.K. Mok, K. Lam and I. Cheung (January 1992) "Family control and return covariation in Hong Kong's common stocks", Journal of Business Finance & Accounting, 19(2), pp.277-293.

  6. K. Lam and P.L.H. Yu (1992) "Hedging performance of the Hang Seng Index Futures Contract", The Review of Futures Markets, 11(3), 447-466.

  7. M.K.P. So, K. Lam and W.K. Li (April 1993) "In search of chaos in some Hong Kong stock prices", Securities Industry Review, 19(1), pp.79-96.

  8. K. Lam, H.M.K. Mok, I. Cheung and H.C. Yam (1994) "Family groupings on performance of portfolio selection in the Hong Kong stock market", Journal of Banking and Finance, 18 725-742.

  9. W.K. Li and K. Lam (1995) "Modelling the asymmetry in stock returns by a threshold ARCH model", Journal of Royal Statistical Society, Series D, Vol. 44, No. 3, pp.333-341.

  10. Jack S.K. Chang, K. Lam and Kie-ann Wong (1996) "On the effectiveness of the Hang Seng Index Futures Contracts in Hedging the Shanghai B-Shares", The Chinese Securities Market, World Publisher, pp.300-306.

  11. M.K.P. So, K. Lam and W.K. Li (March 1997) "An empirical study of volatility in seven southeast Asian stock markets using ARV models", Journal of Business Finance & Accounting, 24(2), pp.261-275.

  12. M.K.P. So, W.K. Li and K. Lam (July 1997) "Multivariate modelling of the autoregressive random variance process", Journal of Time Series Analysis, Vol. 18, No. 4, pp.429-446.

  13. K. Lam and H.C. Yam (1997) "CUSUM Techniques for technical trading in financial markets," Financial Engineering and the Japanese Markets, 4: pp.257-274.

  14. K. Lam, Xiang-sun Zhang and Wei Li (1997) "Optimizing the ex-post trading profits in a financial market", OR Transactions, Vol. 1, No. 1, pp.1-13.

  15. D.F.S. Choi and K. Lam (1998) "Intraday and interday volatility patterns in HSIF contracts," Advances in Pacific Basin Financial Markets, Vol. 4, pp. 93-115.

  16. M.K.P. So, K. Lam and W.K. Li, (April, 1998) "A Stochastic volatility model with Markov switching", Journal of Business & Economic Statistics, Vol. 16, No. 2, pp. 244-253.

  17. L. Cheng, J. Fung and K. Lam, (1998) "An examination of the determinants of stock price effects of US-Chinese joint venture announcements", International Business Review, 7, pp. 151-161.

  18. M.K.P. So, K. Lam and W.K. Li, (1999) "Forecasting exchange rate volatility using autoregressive random variance model", Applied Financial Economics, 9, pp. 583-591.

  19. K. Lam and K.C. Lam, (2000) "Forecasting for the generation of trading signals in financial markets", Journal of Forecasting, 19, pp. 39-52.

  20. D. Mok, K. Lam and W. Li, (2000) "Using daily high/low time to test for intraday random walk in two index futures markets", Review of Quantitative finance and Accounting, Vol. 14, No. 4, pp. 381-397.

  21. W. Li and K. Lam, (2000) "Optimal market timing strategies for ARMA(1,1) return processes", Advances in Investment Analysis and Portfolio Management, Vol. 7, pp. 163-190.

  22. A.K.W. Fung, D.M.Y. Mok and K. Lam, (2000) "Intraday price reversals for index futures in the US and Hong Kong", Journal of Banking and Finance, 24, pp. 1179-1201.

  23. J.W.C. Kwan, K. Lam, M.K.P. So and P. Yu, (2000) "Forecasting and trading strategies based on a price trend models" Journal of Forecasting, 19, pp. 485-498.

  24. K. Lam and E. Chang and M.C. Lee, "An empirical test of the variance gamma option pricing model", to appear in Pacific Basin Finance Journal.

    25.  

    Submitted for publication

  25. B. Mak and K. Lam, "Will narrower tick size increase market turnover?", submitted for publication.

 

Unrefereed Publications

(A) Statistics

  1. K. Lam (with P.H. Cheung, M.K. Siu, and N.Y. Wong), "An appraisal of the teaching of statistics in secondary schools of Hong Kong," Proceedings of the Second International Conference on Teaching Statistics, 1986, 241-244.

  2. K. Lam (with S.M. Shen and K.Y. Li), Statistical competition for secondary school students - a Hong Kong experience. Proceedings of the Third International Conference on Teaching Statistics, 1991, 1, 214-218.

  3. K. Lam, A series of short articles published in Wen Wei Po on the popular use of Statistics, 1991.

  4. K. Lam, M.Y. Leung and M.K. Siu, "Self-organising files", UMAP module, 612, 30 pages, 1982.

  5. P.H. Cheung, K. Lam, M.K. Siu and N.Y. Wong, "An appraisal of the teaching of statistics in secondary schools of Hong Kong", Proceedings of the Second International Conference on Teaching Statistics, 1986, pp.241-248.

  6. K. Lam, "Evaluation of a new system of selecting respondents in a door to door survey," 108 pages including appendices, Nov. 1992. A contract research sponsored by Survey Research Hong Kong.

  7. K. Lam, "A study on the SRH brandy retail audit," 85 pages including appendices, A contract research sponsored by Survey Research Hong Kong.

 

(B) Finance

  1. K. Lam (with M.K. Mok and I. Cheung), "The Predictability and the stationary of bita coefficients of Hong Kong Securities", Proceedings of the Third Annual International Symposium on Pacific-Asian Business, 115-117.

  2. K. Lam (with M.K. Mok and I. Cheung), Family control and price-comovements in Hong Kong Common Stocks, Proceedings of the Third Annual Pacific-Basin Finance Conference, 1991, 58-59.

  3. K. Lam (with M.K. Mok and I. Cheung), Portfolio selection in the Hong Kong stock market based on family grouping, Proceedings of the Fourth Annual Pacific-Basic Finance Conference, 1992.

  4. K. Lam, "A statistical test of the week efficiency of the Hong Kong stock market", Hong Kong Economic Journal, 132, pp.14-18, March 1988.

  5. H. Mok, K. Lam and Y.K. Cheung, "The unique structure of stock returns in Hong Kong", feature article in Securities Bulletin, March 1989, 35, pp.5-14.

  6. H. Mok, K. Lam and Y.K. Cheung, "An exploration on risk and return of Hong Kong stocks", feature article in Securities Bulletin, Feb. 1990, pp.1-18.

  7. 林建，蔡訓生，「恒指期貨的即市波動性」，信報，一九九七年五月五日，第十七頁。

  8. 林建，莫雯瑛，「移動平均線話滄桑（之一）」，信報，一九九七年五月十九日，第十五頁。（香港證券學會季刊轉載此文）

  9. 林建，莫雯瑛，「技術分析新天地－期指買賣（移動平均線話滄桑之二）」，信報，一九九七年五月二十六日。

  10. 林建，麥萃才，「股票價位改變與股票成交量的研究」，香港證券學會季刊，一九九七年，第二十一至二十頁。

  11. 蘇家培，林建，李偉強，「恒指的歷史波幅」，信報，一九九七年九月三日，第二十頁。

  12. 蘇家培，林建，李偉強，「標準普500的歷史波幅」，信報，一九九七年九月十日，第十五頁。

  13. 林建，麥萃才，「恒指期貨淡倉獲利知多少（之一）」，信報，一九九七年十二月。

  14. 林建，麥萃才，「股災指淡倉利潤有數得計（恒指期貨淡倉獲利知多少之二）」，信報，一九九七年十二月。

  15. 林建，麥萃才，「誰是十月港股跌市的大贏家」，信報，一九九八年一月七日，第十五頁。

  16. 林建，李瑋，「環伺技術分析者的五大殺手（之一）」，信報，一九九八年二月十一日，第十八頁。

  17. 林建，李瑋，「技術分析者必須好好備戰（環伺技術分析者的五大殺手之二）」，信報，一九九八年二月十六日，第三十三頁。

  18. 林生生，林建，「從厄爾尼諾現象看天氣與股價的關係」，信報，一九九八年四月二十二日，第十五頁。

  19. 林生生，林建，「香港天氣與股票價格」，信報月刊，一九九八年六月，第二百五十五期，第一百零八至一百一十一頁。

  20. 李茂展，林建，「跌價補償即熊市差價期權」，信報，一九九八年九月三十日。

  21. 雷韻心，林建，「備兌證發行會影響正股走勢嗎？」，信報月刊，一九九九年三月，第二百六十四期，第一百一十六至一百一十九頁。

  22. 林建，黃志堅，「盈富派息能否一如理想」，信報月刊，二零零零年四月，第二百七十七期，第一百零四至一百零五頁。

  23. 林建，黃志堅，「必須及時編製預托證券港股指數」，信報月刊，二零零一年十月，第二百九十五期，第一百零四至一百零六頁。

 

Books Published

  1. M.K. Siu and K. Lam, "Kaleidoscope of Probability". Oct. 1982, 122 pages. Published by the Wide Angle Publication Company.

  2. Task Force under the Family Planning Association, "Family Life Education of In-school Youths in Hong Kong", 169 pages, published by the Family Planning Association of Hong Kong, January, 1983.

    3. Note: I was the chairman of the Task Force.

  3. Task Force under the Family Planning Association "Family Planning Knowledge, Attitude and Practice in Hong Kong 1987", 144 pages, published by the Family Planning Association of Hong Kong, 1987.

Note: I was the chairman of the Task Force.