NNCM-95 PRELIMINARY PROGRAMME

Fri Aug 4 19:21:38 EDT 1995

               NNCM 95 - PRELIMINARY PROGRAMME
                 October 11, 12, and 13 1995

      WWW site   http://www.lbs.lon.ac.uk/desci/nncm.htm

This years' Neural Networks in the Capital Markets Conference will be
held in two parts. The Tutorials day offers two tracks. The Finance 
track is a series of 2 two-hour sessions designed to give engineers, 
mathematicians, and neural network practitioners an overview of the 
financial markets, pricing models for derivative securities, and the 
dynamics of price behaviour in high frequency markets. The Statistics 
& Neural Networks track is a series of 2 two-hour sessions designed 
to give finance professionals an overview of nonlinear techniques and 
mathematics that can be applied to data analysis, predictive 
modelling and analysis of financial markets. It will be held at 
London Business School, Sussex Place, London NW1 4SA on Wednesday 11 
October.

The Main conference will offer eight plenary sessions with invited 
speakers and original research contributions on Derivative & Term 
structure models, Equity & Commodity models, Foreign Exchange, 
Corporate Distress & Risk Models, Macroeconomic & Retail Finance 
applications, and two sessions on Advances in Methodology. Overall, 
the Main conference includes over 50 oral and poster paper 
presentations. It will be held on Thursday and Friday October 12 - 13 
at the Langham Hilton, 1 Portland Place, London W1N 4JA, which is a 
short walk from London Business School.

TUTORIAL SESSIONS, Wednesday, October 11, 1995

08:30 - 10:30  Finance Tutorial I

"Pricing Models for Derivative Securities"
Prof. Stewart Hodges
Warwick University, Warwick

11.00 - 13.00  Finance Tutorial  II 

"Price Behavior and Models for High Frequency Data in Finance"
Dr. Michel Dacorogna
Olsen & Associates

14.00 - 16.00  Statistics & Neural Nets Tutorial I

"Statistical Inference & Nonparametric 
Models: Linear Lessons about Nonlinear Prediction"
Prof. Leo Breiman
University of California, Berkeley

16.30 - 18.30  Statistics & Neural Nets Tutorial II

"Neural Networks for Time Series and Trading"
Prof. Andreas Weigend
University of Colorado, Boulder

MAIN CONFERENCE, THURSDAY, October 12, 1995 

08.30- 10.30 Oral Presentations

Derivative & Term Structure Models I
Invited speaker: "Option Pricing and Artificial Neural Networks", 
Prof. Hal White, USCD   

11.00 - 13.00  Oral Presentations

Corporate Distress & Risk Models

13.00 - 15.00  Lunch & Poster Sessions

15.00 - 17.00  Oral Presentations

Foreign Exchange Invited Speaker (to be confirmed)
"High Frequency Data in Financial Models, Issues & Applications"
Prof. Charles Goodhart, LSE

17.30 - 19.30  Oral Presentations

Macroeconomics & Retail Finance

MAIN CONFERENCE, FRIDAY, October 13, 1995 

08.30 - 10.30  Oral  Presentations

Derivative & Term Structure Models II
Invited speaker:
"Validation of Volatility Models" 
Prof. Yaser Abu-Mostafa, Caltech

11.00 - 13.00  Oral Presentations
Advances in Methodology I

13.00 -15.00 Lunch & Poster Sessions

15.00 - 17.00  Oral Presentations

Equities & Commodities
Invited speaker:
"Towards Minimal Risk: Model Selection Strategies for Time Series 
Prediction and Trading Strategies"
Prof. John Moody, Oregon Graduate Institute

17.30 - 19.30 Oral Presentations
Advances in Methodology II

ACCEPTED PAPERS

DERIVATIVE AND TERM STRUCTURE MODELS

Neural Networks for Contingent Claim Pricing via the Galerkin Method
E. Barucci

Futures Trading Using Artificial Neural Networks
H. Pi, & T. Rognavldsson

Modelling the Term Structure of Interbank Interest Rates
B. Dasgupta, & D. Wood

Modelling Non-Linear Cointegration in European Equity Index Futures
A. N. Burgess

Neural Network Pricing of All Ordinaries SPI Options on Futures
P. Lajbcygier

A Comparative Study of Forecasting Models for Foreign Exchange Rates 
Using ANN and Option Prices
G. S. Maddala,M. Qi

Neural Networks in Derivative Securities Pricing Forecasting in 
Brazillian Capital Markets
L. A. R Gaspar,& G. Lacitermacher

Statistical Yield Curve Arbitrage in Eurodollar Futures using Neural 
Networks
A. N. Burgess

EQUITIES AND COMMODITIES

The Use of Neural Networks For Property Investment Forecasting
G. Clarke

The Predictability of Security Returns with Simple Technical Trading 
Rules
R. Gencay

On-Line Learning for Multi-Layered Neural Network: Application to S&P-
500 Prediction
C. E. Pedreira

Applying Neural Networks in Copper Trading:  A Technical Analysis 
Simulation
C. Naylor

The Predictability of Stock Returns with Local Versus Global 
Nonparametric Estimators
R. Gencay

A 'World' Model of Integrated Financial Markets Using Artificial 
Neural Networks
T. Poddig

Stock Price Prediction Using an Integrated pattern Recognition 
Paradigm
D. H Kil

Applications of Artificial Neural Networks in Emerging Financial 
Markets
C. Siriopoulos

Stock Selection Using Recon
G.  H. John, P. Miller, & R. Kerber

An Embedded Fuzzy Knowledge Base for Technical Analysis of Stocks
K. P. Lam

Stock Price Predictions by Recurrent Multilayer Neural Network 
Architectures
D. F. Bassi

Equity Forecasting:  A Case Study in the KLSE Index
J. Yao

Use of Neural Networks and Expert/Knowledgebase Systems for Stock 
Market Analysis, Prediction and Trading
A.  Chartzaniotis

Applying Neural Networks in Copper Trading:  Weekly Transaction ANN 
Model with a Linear Filter
C. Naylor

Short Term Forecasts of Financial Time Series Using Artificial Neural 
Networks
S. Avouyi-Dovi

FOREIGN EXCHANGE

An Artificial Neural Network Based Trade Forecasting System for 
Capital Markets
B G Flower

Applying Neural Networks to Currency Trading - A Case Study
C. Lee

Exchange Rate Forecasting Comparison:  Neural Networks, Symbolic 
Machine Learning and Linear Models
E. Steurer

Identification of FX Arbitrage Opportunities with a Non-Linear 
Multivariate Kalman Filter
P. J. Bolland & J. T. Connor

Predicting Returns on Canadian Exchange Rates with Artificial Neural 
Networks and EGARCH-M Models
A. Episcopos

Genetic Programming of Fuzzy Logic Production Rules with Application 
to Financial Trading
A. Edmonds

Forecasting Foreign Exchange Rates:  Bayesian Model Comparison and 
Non-Gaussian Distributions
S. Butlin,& J. T.Connor

Short-term FX Market Analysis and Prediction
H. Beran

CORPORATE DISTRESS AND RISK MODELS

Neural Networks in Corporate Failure Prediction : The UK Experience
Y. Alici

Corporate Distress Diagnosis - An International Comparison
M. Kerling

Assessing Financial Distress With Probabilistic Neural Networks
E.Tyree, & J.A.Long

Connectivity & Financial Network Shutdown
L. Eisenberg

MACRO-ECONOMICS AND RETAIL FINANCE

Minimising the Cost of Money in Branch Offices
F. Avila

Exploratory Data Analysis by the Self-Organizing Map:  Structures of 
Welfare and Poverty in the World
S. Kaski, T. Kohonen

Commercial Mortgage Default:  A Comparison of the Proportional Hazard 
Modl with Artificial Neural Networks
A. Episcopos

Empirical Regularities and The Forecasting of Industrial production
C. Hafke

Loan Risk Analysis Using Neural Networks
A. N. Burgess

ADVANCES IN METHODOLOGY

Clearning
A. S. Weigend, & H-G. Zimmermann

Ordinal Models for Neural Networks
M. Mathieson

R/S Analysis and Hurst Exponents:  A Critique
J. Moody, & L. Wu

Combination of Buffered Back-Propagation And RPCL-CLP By Mixture of 
Experts Model for Foreign Exchange Rate Forecasting
L. Xu, Y.M. Cheung, & W. M Leung

Prediction with Robustness Towards Outliers, Trends, and Level Shifts
J. T. Connor , D. Martin, & A.  Bruce

Avoiding overfitting by locally matching the noise level of the data
A. S. Weigend, M. Mangeas

Trading Using Committees
J. Moody, S. Rehfuss, L. Wu

Reliable Neural Network Predictions in the Presence of Outliers and 
Non-Constant Variances
D. Ormoneit

An Analysis of Stops and Profit Objectives in Trading Systems
A. Atiya

The Meaning of the Mean
C. Hafke

An Interval Neural Network Architecture for Time Series Prediction
M. Fialho, & C.E.Pedreira

REGISTRATION

To register, complete the registration form and mail to the  sec-
retariat. Please note that attendance is limited and will be allocated
on a "first-come, first-served" basis.

SECRETARIAT:

For further information, please contact the NNCM-95 secretariat:

Ms Busola Oguntula, London Business School
Sussex Place, Regent's Park, London NW1 4SA, UK
e-mail:  boguntula at lbs.lon.ac.uk
phone (+44) (0171) 262 50 50 
fax (+44) (0171) 724 78 75

LOCATION:

The main conference will be held at The Langham Hilton, which is
situated near Regent's Park and is a short walk from Baker Street
Underground Station. Further directions including a map will be
sent to all registries.

PROGRAMME COMMITEE

Dr A. Refenes, London Business School (Chairman)
Dr Y. Abu-Mostafa, Caltech
Dr A. Atiya, Cairo University
Dr N. Biggs, London School of Economics
Dr D. Bunn, London Business School
Dr M. Jabri, University of Sydney
Dr B. LeBaron, University of Wisconsin
Dr A. Lo, MIT Sloan School
Dr J. Moody, Oregon Graduate Institute
Dr C. Pedreira, Catholic University PUC-Rio
Dr M. Steiner, Universitaet Munster
Dr A. Timermann, University of California, San Diego
Dr A. Weigend, University of Colorado
Dr H. White, University of California, San Diego

HOTEL ACCOMMODATION:

Convenient hotels include:

        The Langham Hilton
        1 Portland Place
        London W1N 4JA
        Tel: (+44) (0171) 636 10 00 
        Fax: (+44) (0171) 323 23 40

        Sherlock Holmes Hotel
        108 Baker Street, London NW1 1LB
        Tel: (+44) (0171) 486 61 61 
        Fax: (+44) (0171) 486 08 84

        The White House Hotel
        Albany St., Regent's Park, London NW1
        Tel: (+44) (0171) 387 12 00 
        Fax: (+44) (0171) 388 00 91

--------------------------REGISTRATION FORM --------------------------
--

                        NNCM-95 Registration Form

                    Third International Conference on
                  Neural Networks in the Capital Markets
                          October 12-13 1995

        Name:____________________________________________________

        Affiliation:_____________________________________________

        Mailing Address: ________________________________________

        _________________________________________________________

        Telephone:_______________________________________________

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

        Main Conference (October 12-13):
                                                     (British Pounds)
                Registration fee                               450    

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

                Discounted fee for full-time students          100
                (letter from registrar or faculty advisor
                required)                                             

        Tutorials (October 11):

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

                                                     (British Pounds)
                Morning Session Only                           100

                Afternoon Session Only                         100

                Both Sessions                                  150

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

        TOTAL:  _________                                

        Payment may be made by: (please tick)
        ____ Check payable to London Business School
        ____ VISA         ____Access         ____American Express

        Card Number:___________________________________