Computational Finance 97: Call for participation
Peter Bolland
pbolland at lbs.ac.uk
Fri Oct 24 09:44:06 EDT 1997
ANNOUNCEMENT AND CALL FOR PARTICIPATION
PRELIMARY PROGRAMME & REGISTRATION FORM
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COMPUTATIONAL FINANCE 1997
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The Fifth International Conference on
NEURAL NETWORKS IN THE CAPITAL MARKETS
Monday-Wednesday, December 15-17, 1997
London Business School,
London, England.
After four years of continuous success and evolution, NNCM has
emerged as a truly multi-disciplinary international conference. Born
out of neurotechnology, NNCM now provides an international focus for
innovative research on the application of a multiplicity of advanced
decision technologies to many areas of financial engineering. It draws
upon theoretical advances in financial economics and robust
methodological developments in the statistical, econometric and
computer sciences. The fifth NNCM conference will be held in London
December 15-17 1997 under the new title COMPUTATIONAL FINANCE 1997 to
reflect its multi-disciplinary nature.
COMPUTATIONAL FINANCE 1997 is a research meeting where original,
high-quality contributions are presented and discussed. In addition, a
day of introductory tutorials (Monday, December 15) will be included
to familiarise participants of different backgrounds with the
financial, and methodological aspects of the field.
Location: The conference will be held at London Business School which
is situated near Regent's Park, London and is a short walk from Baker
Street Underground Station. Further directions including a map will be
sent to all registries.
Registration and Mailing List: if you wish to be added to the mailing
list or register for COMPUTATIONAL FINANCE 1997, please send your
postal address, e-mail address, and fax number to the secretariat.
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Secretariat:
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Ms Deborah King,
London Business School,
Sussex Place, Regent's Park,
London NW1 4SA, UK.
E-mail: boguntula at lbs.ac.uk.
Phone (+44) (0171)-262 50 50,
Fax (+44) (0171) 724 78 75.
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WEB PAGE
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For more information on COMPUTATIONAL FINANCE 1997,
please visit the NNCM web site at London Business School,
homepage
http://www.lbs.lon.ac.uk/desci/nncmhome.html
registration form
http://www.lbs.lon.ac.uk/desci/nncm97reg.html
preliminary programme
http://www.lbs.lon.ac.uk/desci/nncm97prog.html
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Preliminary programme:
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Computational Finance 1997
15-17th December 1997
London Business School
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Tutorials: Monday 15th December
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9.15 - 10.15 Computational Finance: Challenges and Prospects
Dr. Domingo Tavella
Align Risk Analytics
10.45 - 12.45 An Introduction to Yield Curve Models
Dr. Piotr Karazinski
Citibank, UK
14.00 - 15.45 Uncertainty Analysis and Model Identification
Prof. Chris Chatfield
University of Bath, UK
16.15 - 18.00 Structural Time Series Analysis and the Kalman Filter
Prof. Andrew Harvey Cambridge University, UK
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Day One: Tuesday 16th December
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----------------Oral Session 1: Market Dynamics----------------
Invited Talk: Volatility Forecasting and Risk Management
Prof. Francis X. Diebold, (University of Pennsylvania)
Cross bicorrelations in high-frequency exchange rates: testing and
forecasting. C. Brooks (ISMA Centre, University of Reading, UK), M. J.
Hinich (University of Texas)
Volume and return in the stock market: stability analysis and
forecasting implications. J. del Hoyo and J. G. Llorente, (Madrid
University)
The multiplicative statistical mechanics of stock markets
S. Solomon, (Hebrew University, Jerusalem)
Time-varying risk premia from an asset allocation perspective - a GMDH
analysis M. Steiner and S. Schneider, (Augsburg University, Germany)
A data matrix to investigate independence,over-reaction and/or shock
persistence in financial data R. Dacco and S. Satchell, (University of
Cambridge, UK) With discussion by B. LeBaron, (MIT)
------Oral Session 2: Trading and Arbitrage Strategies---------------
Nonlinear equilibrium dynamics and investment strategy evaluation with
cointegration R. N. Markellos, (Loughborough University, UK)
Modelling asset prices using a portfolio of cointegration models
approach A. N. Burgess, (London Business School)
Technical analysis and central bank intervention
C. Neely (Federal Reserve Bank of St. Louis), P. Weller, (University
of Iowa, USA) With discussion by A.Timmerman (UCSD)
Multitask learning in a neural VEC approach for exchange rate
forecasting F. Rauscher, (Daimler Benz Research)
Immediate and future rewards: reinforcement learning for trading
systems and portfolios J. E. Moody, M. Saffell, Y. Liao, L. Wu
(Oregon Graduate Institute, Portland)
An evolutionary bootstrap method for selecting dynamic trading
strategies B. LeBaron, (MIT)
With discussion by A. S. Weigend (Stern Business School, New York
University)
------------------------Poster Session 1----------------------------
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Day Two: Wednesday 17th December
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---Oral Session 3: Volatility Modelling and Option Pricing-------
Invited Talk: Modelling S&P 100 volatility: the information
content of stock returns
Prof. S. Taylor, (Lancaster University, UK)
Forecasting properties of neural network generated volatility
estimates P. Ahmed, (University of North Carolina)
Bootstrapping GARCH(1,1) models
G. Maerker (Institut fur Techno und Wirtschaftsmathematick,
Kaiserslautern, Germany)
Pricing and hedging derivative securities with neural networks and the
homogeneity hint R. Gencay, (University of Windsor, Canada) With
discussion by Y. Abu-Mostafa (CalTech)
Recovering risk aversion from option prices and realised returns
J. Jackwerth and M. Rubinstein, (Haas Business School, University of
California, Berkeley) With discussion by A. Neuberger (London Business
School )
--------Oral Session 4: Term Structure and Factor Models-------------
Kalman filtering of generalised Vasicek term-structure models
S. H. Babbs and K. B. Nowman, (First National Bank of Chicago, London,
UK)
Modelling the term structure of interest rates: a neural network
perspective J. T. Connor and N. Towers, (London Business School)
A non-parametric test for nonlinear cointegration J. Breitung,
(Humboldt University, Berlin) With discussion by H. White (UCSD)
Unconstrained and constrained time-varying factor sensitivities in
equity investment management Y. Bentz and J. T. Connor, (London
Business School)
Discovering structure in finance using independent component analysis
D. Back, (Frontier Research Program, RIKEN, Japan), A. S. Weigend,
(Stern Business School, New York University)
---------------------Poster Session 2--------------------------------
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Posters (oral presentations plus those below)
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Classification of sector allocation in the German stock market, E.
Steurer, (Daimler-Benz Research, Germany)
Are neural network and econometric forecasts good for trading ? The
case of the Italian stock index future, R. Bramante, R. Colombo, G.
Gabbi, (University Bocconi, Milan)
Interest rates structure dynamics: a non-parametric approach, M.
Cottrell, E. Bodt and P. Gregoire (Paris I University)
Modifying the distributional properties of financial ratios to
improve the performance of linear and non-linear discriminant
systems, G. Albanis, J. A. Long and M. Hiscock (City University,
London, UK)
Time series techniques and neural networks: a combined
framework to forecast USD/DEM exchange rate, F Bourgoin, (Millenium
Global Investments Limited, London), A. Vigier (Decalog, Paris)
Credit assessment using evolutionary MLP networks, A. Carvalho,
E.F.M. Filho, A. B. Matias (San Paulo University, Brazil)
Exploring corporate bankruptcy with two-level self-organising map, K.
Kiviluoto, (Helsinki University of Technology, Finland), P. Gergius,
(Kera Ltd, Finland)
Incorporating prior knowledge about financial markets through neural
multi-task learning, K. Bartlmae, S. Gutjahr and G.Nakhaeizadeh
(University of Karlsruhe, Germany)
Predicting time-series with a committee of independent experts based
on fuzzy rules, M. Rast, (Ludwig-Maximilians-Universitat, Munich,
Germany)
Multiscale analysis of time-series based on a neuro-fuzzy chaos
methodology applied to financial data, N. K. Kasabov, R. Kozma,
(University of Otago, N.Z.)
Estimating and forecasting non-stationary financial data with
IIR-filters and CT (composed threshold) models, M. Wildi,
(Switzerland)
Probabilistic neural network for company failure prediction, Z. Yang,
H. James, A. Packer (University of Portsmouth, UK)
An improved parametric density model for risk analysis of FX returns,
J. Utans (London Business School), P. Sondhi (Citibank)
Currency forecasting using recurrent RBF networks optimised by
genetic algorithms, A. Adamopoulos, A. Andreou, et al., (University of
Patras , Greece)
On the market timing ability of neural networks: an empirical study
testing the forecasting performance, T. H. Hann, (Karlsruhe
University, Germany), J. Hofmeister (University of Ulm)
Exchange rate trading using a fast retraining procedure for
generalised RBF networks, D. R. Dersch, B. Flower, and S. J. Pickard
(Crux Cybernetics, Australia)
Prediction of volatility and option prices using an extended Kalman
filter, V. P. Kumar and S. Mukhergee, (MIT)
The ex-ante classification of take-over targets using neural
networks, D. Fairclough, (Buckinghamshire College, UK), J. Hunter
(Brunel University, UK)
Portfolio optimisation with cap weight restrictions, N. Wagner,
(Bayerische Vereinsbank AG, Munich)
Management of a futures portfolio using conditional mean-variance
estimates from wavelet-encoding neural networks, D. L. Toulson and S.
P. Toulson, (Intelligent Financial Systems Ltd., London)
Selecting relative value stocks with nonlinear cointegration, C.
Kollias, (Hughes Financial Analytics), K. Metaxas, (University of
Athens)
Dynamic hedging of property liability portfolios in a multiple
objective framework, G. H. Dash Jnr, R. C. Hanumara, N. Kajiji
(University of Rhode Island, US)
Model complexity versus transparency: an empirical comparison of the
tradeoffs among different trading models, R. Madhavan, V. Dhar and A.
S. Weigend (Stern Business School, New York University)
A constrained hybrid approach to option pricing, P. Lajbcygier
(Monash University, Australia), J. T. Connor (London Business School)
Predicting corporate financial distress using quantitative and
qualitative data: a comparison of traditional and collapsible neural
networks, Q. Booker, R. E. Dorsey, and J. D. Johnson, (University of
Mississipi, USA)
State space ARCH: forecasting volatility with a stochastic
coefficient model, A. Veiga, M. C. Medeiros and C. Fernandes (PUC, Rio
de Janeiro)
Using option prices to recover probability distributions, F.
Gonzales-Miranda (Swedish School of Economics, Helsinki) A. N.
Burgess (London Business School)
Multivariate mutual funds analysis using neural networks, A.
d'Almeida Monteiro, C. E. Pedreira and C. P. Samanez (PUC, Rio de
Janeiro, Brazil)
Cointegration by MCA and modular MCA, L. Xu and W. M. Leung (Chinese
University, Hong Kong)
On the complexity of stock returns, M. A. Kaboudan, (Penn State
University, US)
Modelling volatility using state-space models, J. Timmer (Freiburg
University, Germany), A. S. Weigend (Stern School of Business, New
York University)
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COMPUTATIONAL FINANCE 97
Registration Form
December 15-17, 1997
Name:___________________________________________________
Affiliation:________________________________________________
Mailing Address: __________________________________________
________________________________________________________
Telephone:_______________________________________________
***Please circle the applicable fees and write the total below****
Main Conference (December 16-17):
Registration fee stlg450
Discounted fee for academicians stlg250
(letter on university letterhead required)
Discounted fee for full-time students stlg100
(letter from registrar or faculty advisor
required)
Tutorials (December 15):
You must be registered for the main conference in order to register
for the tutorials.
Morning Session Only stlg100
Afternoon Session Only stlg100
Both Sessions stlg150
Full-time students stlg50
(letter from registrar or faculty advisor required)
TOTAL: stlg
Payment may be made by: (please tick)
* Check payable to London Business School
* VISA *Access *American Express
Card Number:___________________________________
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