Stern School of Business, NYU
http://www.stern.nyu.edu/CF99
--> Aug 31, 1998: Deadline for submissions
--> Oct 31, 1998: Program posted on the web
--> Dec 1, 1998: Deadline for early registration
The sixth international conference Computational Finance (CF99) will
be held at NYU's Leonard N. Stern School of Business, sponsored by the
New York University Salomon Center, the Center for Research on Information
Systems and the Department of Statistics and Operations Research.
Computational Finance has emerged as a genuinely cross-disciplinary
research meeting. CF99 is the sixth in a series of conferences that
have been sponsored by the California Institute of Technology and the
London Business School. In the past, this conference was called Neural
Networks in the Capital Markets (NNCM). The expanding set of computational
tools has moved this meeting from its original emphasis on neural
network techniques to a broad spectrum of different methodologies.
With several hundred attendees, this fully refereed conference has
become an international forum where original research in advanced
computational applications in finance is presented and discussed.
CF99 brings together decision-makers and strategists from the
financial industries, with academics from finance, statistics,
economics, information systems and other disciplines. In the last
few years, the conference has seen papers covering many different
computational techniques including: statistical machine learning, Monte
Carlo simulation, data mining, knowledge discovery, bootstrapping,
genetic algorithms, nonparametric methods and information theory.
Applications in many different areas are welcome, including but not
limited to: risk management, asset allocation, dynamic trading and
hedging strategies, forecasting, numerical solutions of derivative PDEs,
option pricing and trading cost control. Studies may cover any major
international financial market including equity, foreign exchange,
bond, commodity and derivatives. The conference emphasizes in-depth
analysis and comparative evaluation with established approaches.
CF99 begins with a full day of tutorials designed to inform the
diverse group of participants on a selection of the latest tools
and research results. The tutorial speakers (on January 6) are:
o Prof. Stephen Figlewski, Stern School of Business, New York University
o Prof. David A. Hsieh, Fuqua School of Business, Duke University
o Prof. Benjamin van Roy, Stanford University
o Prof. Halbert White, University of California, San Diego.
CF99 has two distinguished keynote speakers (on January 7 and 8):
o H. Gifford Fong, President of Gifford Fong Associates
o David E. Shaw, PhD, Chairman and CEO of D. E. Shaw & Co., Inc.
CF99 also features several invited speakers sharing their expertise
from both the academic and applied perspectives, as well as talk and
poster sessions for the accepted papers. A selection of these papers
will appear in a book published by Kluwer in summer 1999.
_______________________________________________________________________
CALL FOR PAPERS
Authors who wish to present papers should submit four copies along
with full contact information, including e-mail addresses, to:
CF99 / Andreas Weigend
Information Systems Department
Leonard N. Stern School of Business
New York University
44 W 4th St., MEC 9-171
New York, NY 10012, USA
The final deadline for receiving the four hardcopies is August 31, 1998.
Full papers are preferred, but extended abstracts clearly stating the
results are acceptable. Only original and relevant research work will
be accepted. Each manuscript will be reviewed anonymously by several
members of the program committee. The program co-chairs will notify
the corresponding authors of the decision by the end of October.
_______________________________________________________________________
REGISTRATION
The registration fees for the conference and tutorials are as follows.
They includes all printed materials, breakfasts, lunches, Thursday dinner,
as well as the conference proceedings (Kluwer Academic Publishers).
Please register by December 1, 1998 in order to avoid late charges of
additional 50%.
Rates for early registration (if everything received by December 1):
Conference only (no tutorials) [i.e., Jan 7 and 8 only]
Standard $600
Academic $300
Student $100
Conference with all tutorials [i.e., Jan 6, 7 and 8]
Standard $900
Academic $400
Student $150
To qualify for the reduced rates, both of the following is required:
1) a university e-mail address of the registrant,
2) a photocopy of the faculty's, postdoc's or student's university card.
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
CF99 REGISTRATION FORM
Name: __________________________________________________________________
Affiliation: ___________________________________________________________
Address: _______________________________________________________________
Address: _______________________________________________________________
City, State, Zip: ______________________________________________________
Phone: __________________________
Fax: __________________________
E-mail: __________________________
Dietary requests (lunches and dinner): _________________________________
Comments: ______________________________________________________________
Attending: Conference only (no tutorials) OR Conference with tutorials
Enclosed is a check (payable to New York University) for USD ______
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
To register, please complete the form above and mail it together with a
check payable to New York University to:
CF99 / Mary Jaffier
New York University Salomon Center
Stern School of Business
44 W 4th St., MEC 9-160
New York, NY 10012, USA
Should you have questions about the registration, please contact
Mary Jaffier at the NYU Salomon Center:
E-mail: mjaffier@stern.nyu.edu
Phone: +1 212 998-0700
Fax: +1 212 995-4220
For registration using a credit card, please e-mail cf99@stern.nyu.edu.
_________________________________________________________________________
ORGANIZATION
General Chair
Y. S. Abu-Mostafa, Caltech
Organizational Chair
A. S. Weigend, NYU Stern
Program Co-chairs
B. LeBaron, University of Wisconsin
A. W. Lo, MIT Sloan
Program Committee:
A. Atiya, Cairo University
J. Cowan, University of Chicago
F. X. Diebold, University of Pennsylvania
R. Gencay, University of Windsor
M. Jabri, Sydney University
J. E. Moody, Oregon Graduate Institute
C. E. Pedreira, Catholic Univ. PUC-Rio
A.-P. N. Refenes, London Business School
M. Steiner, Universitaet Augsburg
D. Tavella, Align Risk Analysis
A. Timmermann, University of California, San Diego
H. White, University of California, San Diego
L. Xu, Chinese University of Hong Kong
Note: The abstracts of the fourth NNCM conference (Nov 1996, Pasadena, CA)
are in http://www.stern.nyu.edu/~aweigend/Books/NNCM96/NNCM96Contents.html
The complete volume "Decision Technologies for Financial Engineering" can
be obtained through http://www.wspc.com.sg/books/compsci/3463.html
_________________________________________________________________________
THE STERN SCHOOL
Founded in 1900, the Stern School has grown into one of the most
highly ranked business schools in the world. A talented and diverse
student body benefits in many ways from Stern's long-standing excellence,
top faculty and its central New York City location. Stern offers
several specializations in computational finance that include a highly
quantitative MBA financial engineering track, an MS in statistics with
specialization in financial engineering, and PhD programs in the
fields of finance, statistics and information systems. Related
conferences, symposia and workshops at Stern in 1999 include
Derivatives: What's New?, Market Risk: Advances and Challenges,
Data Mining in Finance, as well as the two-day seminar in the Salomon
Center's Frontiers in Finance Series in April 1999, Exploiting
Nonlinearities in Financial Data: Methodologies and Applications.