Connectionists: CFP: NIPS*2005 Workshop on Computational Finance

[John Moody]

CALL FOR PARTICIPATION -- NIPS*2005 WORKSHOP 


COMPUTATIONAL FINANCE & MACHINE LEARNING

Friday, December 9, 2005
Westin Resort, Whistler, British Columbia

http://www.icsi.berkeley.edu/~moody/nips2005compfin.htm


WORKSHOP DESCRIPTION

This interdisciplinary workshop will provide a forum for discussion of
research at the intersection of Computational Finance and Machine
Learning. Finance-related papers have occasionally appeared at NIPS
over the years, but this will be the first finance-related workshop
during NIPS's entire 19 year history!

The workshop will bring together a diverse set of researchers from
machine learning, academic finance and the financial industry. 
Emphasis will be on machine learning applications to finance and
problems from finance that are data-driven or require parameter
estimation from data.

The workshop will include invited presentations, a financial industry
panel, contributed talks, a poster session and plenty of time for
lively discussion.

A wide range of topics are of interest, for example:

Financial Applications:
* Financial Time Series & Volatility
* Trading & Arbitrage Strategies
* Optimal Execution, Market Making & Market Microstructure
* Portfolio Management & Asset Allocation
* Stock Selection & Security Analysis
* Risk & Extreme Events
* Behavioral Finance
* Credit Analysis & Credit Risk
* Option Hedging, Exercise & Pricing
* Calibration, e.g. of Term Structure Models
* Multi-Agent Market Simulations

Machine Learning Methods:
* Reinforcement Learning & Dynamic Programming
* Non-Parametric Statistics & Bayesian Learning
* Latent Variable & Hidden State Models
* Evolutionary Algorithms
* Data Mining & Visualization
* Independent Components, Self-Organizing Maps
* Monte Carlo & Resampling 
* Ensembles and Boosting


SUBMISSIONS

We anticipate accepting six to eight 20-minute contributed talks and a
number of posters.  If you would like to present your work, please
submit a 100 to 500 word abstract as soon as possible (no later than
October 14) to my assistant Su'ad Hall at:

MoodyLab at ICSI.Berkeley.Edu

If you wish to submit a full manuscript in addition, that's great. 

Our goal is to put together a coherent and informative program that
has broad appeal to the NIPS and Computational Finance communities.
Abstracts based upon previously published work are welcome. Please
submit early!


DETAILS

Important Dates:
Friday, October 14 - Submission Deadline
Monday, October 31 - Acceptance Notification
Friday, December 9 - The Workshop

NIPS Workshop Registration & Hotel Info:
http://www.nips.cc/Conferences/2005/

Workshop Inquiries:
MoodyLab at ICSI.Berkeley.Edu


ORGANIZERS

John Moody, Algorithms Group
International Computer Science Institute
Berkeley & Portland, USA

Ramo Gencay, Dept. of Economics
Simon Fraser University
Vancouver, Canada

Neil Burgess, Ph.D.
Morgan Stanley
New York, USA