Announcement

[MARTIN DUDZIAK]

Announcement

Please Circulate to Faculty and Researchers in Physics, Computer Science, 
Economics, Mathematics, Business Schools

There are some interesting opportunities for university/industry 
collaboration in the area of applying non-linear dynamical systems, 
including but not limited to connectionist networks, to problems in 
financial modeling within the banking sector.

The projects for which I am responsible including modeling of 
fixed-income securities, forecasting of demand deposit accounts, 
improvments to traditional duration/market value models, forecasting 
select futures/commodities, and analysis of interest rate risks.  We are 
somewhat less interested in the traditional stock-price forecasting 
applications for which there has been so much visibility of late and are 
more interested in the use of techniques such as NNs, fuzzy logic, chaos 
models and genetic algorithms for the identification and discrimination 
of useful features and parameters that can be applied to forecasting some 
rather indeterminate quantities. 

Our work is not a short-order task and we are looking for an academic 
partner with whom we might establish a long-term partnership.  There are 
plenty of precedents for good collaborations of this sort on which we 
might model our joint effort.  We envision building a set of tools that 
can be refined in the course of studying one or two particular problems 
from the above set and which as a toolset could be made available for use 
on other problems besides those of interest to those in finance and 
economics.

Our problems are such that they are both real-world, down-to-earth 
applications in need of practical solutions and research-worthy in that 
not too much has been done in some of these topics.  There is good thesis 
material, and good opportunity for breaking new ground.  For instance, I 
see strong parallels between the currency balances and flows that we are 
trying to model and fluid dynamics...  Cellular automata and parallel 
processing are two other methods that could be applied to some of these 
problems - it isn't just a matter of time series prediction (not to 
imply that the latter is trivial).

A prior research track in the financial area is not as critical as an 
ability to work together on some practical problems (but without losing 
the spirit of scientific exploration and innovation).  Being able to 
cooperatively show results and demonstrations of practical success is 
going to be very important.

This is an introductory announcement of interest on our part and I 
welcome responses from individuals and groups that feel they have a 
common interest and something to contribute.  I believe that a highly 
synergetic and mutually rewarding partnership is possible with the right 
team. 

For further information, please contact:

Martin Dudziak
(804) 782-5708
FAX (804) 782-5100
dudziak at vms.cis.pitt.edu