Neural Networks in the Capital Markets Workshop

[John Moody]

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       --- Registration Package and Preliminary Program ---


                            NNCM-94


                  Second International Workshop

             NEURAL NETWORKS in the CAPITAL MARKETS


             Thursday-Friday, November 17-18, 1994
         with tutorials on Wednesday, November 16, 1994

       The Ritz-Carlton Hotel, Pasadena, California, U.S.A.
         Sponsored by Caltech and London Business School


Neural networks have now been applied to a number of live systems
in the capital markets, and in many cases have demonstrated better
performance than competing approaches. Because of the overwhelming
interest in the first NNCM workshop held in London in November
1993, the second annual NNCM workshop will be held November 17-18,
1994, in Pasadena, California. This is a research meeting where
original, high-quality contributions to the field are presented and
discussed. In addition, a day of introductory tutorials (Wednesday,
November 16) will be included to familiarize audiences of different
backgrounds with the financial aspects, and the mathematical
aspects, of the field.


--Invited Speakers:

The workshop will feature invited talks by four internationally
recognized researchers:

         Dr. Andrew Lo, MIT Sloan School
         Dr. Paul Refenes, London Business School
         Dr. Robert Shiller, Yale University
         Dr. Hal White, UC San Diego


--Contributed Papers:

NNCM-94 will have 4 oral sessions and 2 poster sessions with more
than 40 contributed papers presented by academicians and
practitioners from both the neural networks side and the capital
markets side. Each paper has been refereed by 4 experts in the field.
The areas of the accepted papers include: Stock and bond valuation
and trading, asset allocation and portfolio management, real trading
using neural networks, foreign exchange rate prediction, option
pricing, univariate time series analysis, neural network methodology,
statistical analysis and hints, theory of forecasting, and neural
network modeling.


--Tutorials:

Before the main program, there will be a day of tutorials on
Wednesday, November 16, 1994. The morning session will focus on
the financial side and the afternoon session will focus on the
mathematical side.

                      -Morning Session-

         Dynamics of Trading and Market Microstructure
         Dr. Larry Harris, University of Southern California

         Empirical Research on Market Inefficiencies
         Dr. Blake LeBaron, University of Wisconsin

                     -Afternoon Session-

         Neural Networks, Time Series, and Finance
         Dr. John Moody, Oregon Graduate Institute

         Statistical Inference for Neural Networks
         Dr. Brian Ripley, Oxford University

We are very pleased to have tutors of such caliber help bring new
audiences from different backgrounds up to speed in this hybrid area.


--Schedule Outline:

Wednesday, November 16:  8:00-12:15   Tutorials I & II
                         1:30-5:45    Tutorials III & IV

Thursday, November 17:   8:30-11:30   Oral Session I
                        11:30-2:00    Luncheon & Poster Session I
                         2:00-5:00    Oral Session II

Friday, November 18:     8:30-11:30   Oral Session III
                        11:30-2:00    Luncheon & Poster Session II
                         2:00-5:00    Oral Session IV


--Location:

The workshop will be held at the Ritz-Carlton Huntington Hotel in
Pasadena, within two miles from the Caltech campus. One of the most
beautiful hotels in the U.S., the Ritz is a 35-minute drive from
Los Angeles International Airport (LAX) with nonstop flights from
most major cities in North America, Europe, the Far East, Australia,
and South America.

Home of Caltech, Pasadena has recently become a major dining/hangout
center for Southern California with the growth of its `Old Town',
built along the styles of the 1950's. Among the cultural attractions
of Pasadena are the Norton Simon Museum, the Huntington Library/
Gallery/Gardens, and a number of theaters including the Ambassador
Theater.


--Organizing Committee:

        Dr. Y. Abu-Mostafa, California Institute of Technology 

        Dr. A. Atiya, Cairo University
        Dr. N. Biggs, London School of Economics 

        Dr. D. Bunn, London Business School 

        Dr. B. LeBaron, University of Wisconsin
        Dr. A. Lo, MIT Sloan School
        Dr. J. Moody, Oregon Graduate Institute 

        Dr. A. Refenes, London Business School 

        Dr. M. Steiner, Universitaet Munster 

        Dr. A. Timmermann, Birkbeck College, London
        Dr. A. Weigend, University of Colorado
        Dr. H. White, University of California, San Diego


--Registration and Hotel Reservation:

Registration is done by mail on a first-come, first-served basis
(last year we had to return the checks to more than 50 people for
lack of space). To ensure your place at the workshop, please send
the enclosed registration form and payment as soon as possible to

  Ms. Lucinda Acosta, Caltech 116-81, Pasadena, CA 91125, U.S.A.

Please make checks payable to Caltech. Hotel reservations are made
by contacting the Ritz-Carlton Hotel directly. Their phone number is
(818) 568-3900 and fax number is (818) 792-6613. Please mention that
you are with NNCM-94 in order to get the (very) special rate that we
negotiated. The rate is $79+taxes ($99 with $20 credited by NNCM-94
upon registration) per room (single or double occupancy) per night.
Please make the hotel reservation IMMEDIATELY as the rate is based
on availability.


--Secretariat:

For further information, please contact the NNCM-94 secretariat

Ms. Lucinda Acosta, Caltech 116-81, Pasadena, CA 91125, U.S.A.
e-mail: lucinda at sunoptics.caltech.edu , phone (818) 395-4843,
fax (818) 568-8437


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                   -- NNCM-94 Registration Form --


   Title:---------   Name:------------------------------------

   Mailing Address:-------------------------------------------

   -----------------------------------------------------------

   e-mail:---------------------------- fax:-------------------

********Please circle the applicable fees and write the total********

--Main Conference (November 17-18):

          Registration fee                            $500

          Discounted fee for academicians             $250
          (letter on university letterhead required)

          Discounted fee for full-time students       $125
          (letter from registrar or faculty advisor required)

--Tutorials (November 16):

  You must be registered for the main conference in order to
  register for the tutorials.

          Morning Session Only                        $100

          Afternoon Session Only                      $100

          Both Sessions                               $150

          Full-time students                          $50
          (letter from registrar or faculty advisor required)


  TOTAL: $--------   Please include payment (check or money order in
  US currency). PLEASE MAKE CHECK PAYABLE TO CALTECH.

--Hotel Reservation:

Please contact the Ritz-Carlton Huntington Hotel in Pasadena directly. The
phone number is (818) 568-3900 and the fax number is (818) 792-6613. Ask
for the NNCM-94 rate. We have negotiated an (incredible) rate of $79+taxes
($99 with $20 credited by NNCM-94 upon registration) per room (single or
double occupancy) per night, based on availability. 


********Please mail your completed registration form and payment to********
   Ms. Lucinda Acosta, Caltech 116-81, Pasadena, CA 91125, U.S.A.