This message contains the program and registration form for CF99.
Please note that the deadline for early registration is December 1.
The sixth international conference Computational Finance 99 will be held
at NYU's Leonard N. Stern School of Business. CF99 is sponsored by the
New York University Salomon Center, the Center for Research on Informa-
tion 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.
>> The website of the conference is http://www.stern.nyu.edu/CF99 <<
The site should contain all the information you need to know about the
conference. The rest of this e-mail includes for your convenience the
program and the registration form. For questions, please see the FAQ
part at the website.
Please register by December 1st, 1998, to avoid late charges.
Yaser S. Abu-Mostafa (Caltech) Blake LeBaron (Brandeis)
Andreas S. Weigend (NYU/Stern) Andrew W. Lo (MIT/Sloan)
[General and Organizational Chairs] [Program Co-Chairs]
________________________________________________________________________
CF99 TUTORIALS (January 6)
The four 2-hour tutorials are designed to inform the diverse group of
participants on a selection of the latest tools and research results:
o Forecasting Volatility
Prof. Stephen Figlewski (Stern School of Business, New York University)
o Hedge Fund Styles
Prof. David A. Hsieh (Fuqua School of Business, Duke University)
o Neuro-Dynamic Programming and Reinforcement Learning for Finance
Prof. Benjamin Van Roy (Stanford University)
o Data Snooping
Prof. Halbert White (University of California, San Diego)
________________________________________________________________________
CF99 PROGRAM (January 7 and 8)
In addition to the program given below (grouped into the categories
Invited Talks, Contributed Talks, Poster Spotlights, and Posters),
CF99 has two distinguished keynote speakers: H. Gifford Fong (President
of Gifford Fong Associates), and David E. Shaw (Chairman and CEO of
D. E. Shaw & Co., Inc.).
Title Author(s)
1. INVITED TALKS _____________________________________________________
(45 minutes each)
Mutual Fund Styles Prof. Stephen Brown, New York
University
Asymptotically optimal stratification Prof. Paul Glasserman,
for pricing path-dependent options Columbia University
Safe and Effective Importance Sampling Prof. Art Owen, Statistics
Department, Stanford University
2. CONTRIBUTED TALKS _________________________________________________
(25 minutes each. Acceptance rate was < 10% of submissions)
What is the spread without rounding? A Clifford A. Ball, Vanderbilt
Monte Carlo Markov chain approach University
Tarun Chordia, Vanderbilt
University
What data should be used to price Mikhail Chernov, Pennsylvania
options? State Univ.
Eric Ghysels, Penn. St. Univ.
Nonparametric testing of ARCH for Peter Christoffersen, IMF
option pricing Jinyon Hahn, University of
Pennsylvania
Does volatility timing matter? Jeff Flemming, Rice
University
Chris Kirby, Rice University
Barbara Ostdiek, Rice
University
Real-time trading models with Ramazan Gencay, University of
heterogeneous expectations and the Windsor, visiting Olsen and
statistical properties of foreign Associates
exchange rates Giuseppe Ballocchi, Olsen and
Associates
Michel Dacorogna, Olsen and
Associates
Richard Olsen, Olsen and
Associates
Olivier Pictet, Olsen and
Associates
Pricing stock options under stochastic George J. Jiang, University
volatility and interest rates with of Groningen
efficient methods of moments Pieter J. van der Sluis,
estimation University of Amsterdam
Option valuation with the genetic Christian Keber, University
programming approach of Vienna
Optimal portfolio choice and the Francis A. Longstaff, UCLA
valuation of illiquid securities
Volatility clustering in financial Thomas Lux, University of
markets: A Micro-simulation of Bonn
interacting agents Michele Marchesi, University
of Cagliari
Minimizing downside risk via John Moody, Oregon Graduate
stochastic dynamic programming Institute
Matthew Saffell, Oregon
Graduate Institute
Exchange rates and fundamentals: Min Qi, Kent State University
evidence from out-of-sample Yangru Wu, Rutgers University
forecasting using neural networks
Dangers of data-driven inference: The Ryan Sullivan, UCSD
case of calendar effects in stock Allan Timmermann, UCSD
returns Halbert White, UCSD
Implementing trading strategies for N. Towers, London Business
forecasting models School
A. N. Burgess, London
Business School
3. POSTER SPOTLIGHTS _________________________________________________
(3 minute presentations hightlighting the selected poster)
A Comparison of different approaches Carl Chiarella, University of
to the calibration of option pricing Technology Sydney
models Mark Craddock, UTS
Nadima El-Hassan, UTS
A computational framework for Les Clewlow, Warwick Business
contingent claim pricing and hedging School
under general processes Russell Grimwood, Warwick
Business School
Trading Mutual funds with Piece-wise Michael de la Maza, Redfire
constant models Capital Management Group
Market force, ecology, and evolution J. Doyne Farmer, Prediction
Company
Value at risk for options: A new H. Gifford Fong, Gifford Fong
analytical approach Associates
Endogenous information selection: David Goldbaum, Rutgers
Fundamentals and technical trading University
rules
The entropic market hypothesis Les Gulko, General Re
Corporation
Neural networks for value at risk Dirk Ormoneit, Stanford University
Ralph Neuneier, Siemens AG
Identifying noise traders: The Carol Osler, Federal Reserve
head-and-shoulders pattern in U.S. Bank of New York
equities
Markov functional interest rate models Phil Hunt, ABN-Amro Bank
Joanne Kennedy, University of
Warwick
Antoon Pelsser, ABN-Amro Bank
Portfolio compression and projection Stathis Tompaidis, University
pursuit of Texas - Austin
Confidence intervals and hypothesis H. D. Vinod, Fordham
testing for the Sharpe and Treynor University
performance measures: A bootstrap Matthew R. Morey, Fordham
approach University
Empirical pricing kernels Joshua V. Rosenberg, NYU
Robert F. Engle, UCSD
Pricing discrete knock-out options Manfred Steiner, University
with tree methods of Augsburg
Martin Wallmeier, University
of Augsburg
Reinhold Hafner, RiskLab
Active portfolio-management with Hans Georg Zimmermann,
neural networks Siemens AG
Ralph Neuneier, Siemens AG
4. POSTERS____________________________________________________________
Portfolio formation and asset Hamid Ahmadi, California
classification with neural networks State University, Sacramento
Laurence Takeuchi, California
State University, Sacramento
Burton F. Schaffer,
California State University,
Sacramento
Change of measure in monte-carlo Filippo Altissimo, Bank of
integration via gibbs sampling Italy
A bayesian approach to estimating Amir F. Atiya, California
mutual fund returns Institute of Technology
Malik Magdon-Ismail,
California Institute of
Technology
Assessing the long-term credit George T. Albanis, City
standing of debt issuers using University, London
dimensionality reduction techniques
based on on neural networks - An
alternative to overfitting
Seasonal volatility in localized Wolfgang Breymann, Olsen and
exchange-traded markets Associates Research Group
Michel M. Dacorogna, Olsen
and Associates Research Group
Ulrich Muller, Olsen and
Associates Research Group
Gilles Zumbach, Olsen and
Associates Research Group
Pseudospectral solution of financial F. O. Bunnin, Imperial
partial differential equations College, London
Y. Ren, Imperial College,
London
Statistical arbitrage models of the A. N. Burgess, London
FTSE 100 Business School
Comparing connectionist and symbolic E. Martineli, University of
models for bankruptcy prediction Sao Paulo
H. Diniz, University of Sao
Paulo
A. de Carvalho, University of
Sao Paulo
S. O. Rezende, University of
Sao Paulo
A. Matias, University of Sao
Paulo
Comparative analysis of artificial Chris Charalambous,
neural network models: Application in University of Cyprus
bankuptcy prediction Andreas Charitou, University
of Cyprus
Froso Kaourou, University of
Cyprus
Estimating the complexity function of Shu-Heng Chen, National
financial time series: an estimation Chengchi University
based on predictive stochastic Ching-Wei Tan, National
complexity Chengchi University
An adaptive evolutionary approach to N. K. Chidambaran, NYU
option pricing via genetic programming C. H. Jevons Lee, Tulane
University
Joaquin R. Trigueros, Tulane
University
Pricing interest rate exotics in Les Clewlow, University of
multi-factor gaussian interest rate Warwick
models Chris Strickland, University
of Warwick
Tracking indices fixed-income Rita Laura D'Ecclesia,
securities for the Italian market Universita di Urbino
Marida Bertocchi, Universita
di Bergamo
Jozsef Abaffy, University of
Economics
Nonparametric estimation of the Jorge Galindo-Flores, Harvard
Black-Scholes Option pricing equation: University
a comparative analysis of statistical
and machine learning methods
Using nonlinear neurogenetic models Zac Harland, Krueger Research
with profit related objective
functions to trade US T-bond futures
Parameter tuning in trading algorithms Thomas Hellstrom, Malardalen
using ASTA University
Kenneth Holmstrom, Malardalen
University
Goodness of fit, stability and data Juan del Hoyo, Universidad
mining Autonoma de Madrid
Guillermo Llorente Alvarez,
Universidad Autonoma de
Madrid
Bank lending policy, credit scoring Tor Jacobson, Sveriges
and value at risk Riksbank
Kasper Roszbach, Stockholm
School of Economics
Higher order forward rate agreements Stefan Jaschke, Humboldt
and the smoothness of the term Universitat
structure
Technical trading creates a prisoner's Shareen Joshi, Santa Fe
dilemma: results from an agent-based Institute
model Jeffrey Parker, Reed College
Mark Bedau, Reed College
Curved principle component analyis of Juan K. Lin, MIT
Asian currencies
Nonparametric testing of the Cornelis K. Los, Nanyan
high-frequency efficiency of the 1997 Technological University
Asian foreign exchange markets
Further study on independent Zhi-bin Lai, The Chinese
components in analysis of financial University of Hong Kong
data Yiu-ming Cheung, The Chinese
University of HK
Lei Xu, The Chinese
University of HK
Estimating variance in the foreign Andrea Beltratti, University
exchange market with high frequency of Turin Claudio Morana,
data Heriot-Watt University
A state-space HJM framework for Nesan N. Nair, University of
modelling the term structure of Natal at Durban
interest rates using Eurodollar
futures prices
A constrained hybrid approach to Paul Lajbcygier, Monash
pricing options University
Jerome Connor, London
Business School
Bootstrap methods and statistical Michael Page, University of
accuracy: The case of South African Cape Town
rights issue and initial public Arthur H. E. Money, Henley
offering markets Management College
Karolina Koztowska,
University of Szczecin
A comparison of option pricing and Wu Ronghui, National
hedging performances of the IT model University of Singapore
versus the Black's model Chang Shih Kang, National
University of Singapore
A support vector machine approach to A. Fan, The University of
bankruptcy prediction: a case study Melbourne
D. Hong, The University of
Melbourne
M. Palaniswami, The
University of Melbourne
C. Tan, The University of
Melbourne
C. Scott, The University of
Melbourne
Clustering analysis procedures and A. M. D. Monteiro, Catholic
international private indebtness University of Rio de Janeiro
D. D. Carneiro, Catholic
University of Rio de Janeiro
C. E. Pedreira, Catholic
University of Rio de Janeiro
Portfolio optimization: a model and Edoardo Amaldi, Cornell
heuristic to capture the trade-off University Jean-Francois
between replication error and the Pusztaszeri, Cornell
number of instrument University
Bank lending policy, credit scoring, Kasper Roszbach, De
and the survival of loans Nederlandsche Bank
An optimal binary predictor for an Dirk W. Rudolph, Institute of
investor in a futures market Agricultural Development in
Central and Eastern Europe
Risk neutral forecasting Spyros Skouras, European
University Institute
Pricing discretely monitored barrier Michael A. Sullivan, Florida
options International University
A simulation algorithm based on Alan Brace, University of New
measure relationships in the lognormal South Wales
market models Marek Musiela, University of
New South Wales
Erik Schlogl, University of
New South Wales
A note on arbitrage asset pricing Manfred Steiner, University
of Augsburg
Sebastian Schneider,
University of Augsburg
Dynamic asset allocation and fixed Carsten Sorensen, Copenhagen
income management Business School
Relative performance of incentive T. S. Raghu, Arizona State
mechanisms in delegated investments: a University
computational study H. R. Rao, SUNY Buffalo
P. K. Sen, SUNY Buffalo
Bayesian network models of portfolio Catherine Shenoy, University
risk and return of Kansas
Prakash P. Shenoy, University
of Kansas
Small transactions cost asymptotics Claudio Albanses, University
and dynamic hedging of Toronto
Stathis Tompaidis, University
of Texas at Austin
Bootstrap predictability of daily Demoosthenes N. Tambakis,
exchange rates in ARMA models City University Business
School, London
A symbolic dynamics approach to Peter Tino, Austrian Research
volatility prediction Institute for Artificial
Intelligence
Christian Schittenkopf,
Austrian Research Institute
for Artificial Intelligence
Georg Dorffner, Austrian
Research Institute for
Artificial Intelligence
Engelbert J. Dockner,
University of Vienna
Optimization of technical trading Raymond Tsang, Monash
strategy using a split search genetic University
algorithm Paul Lajbcygier, Monash
University
A pricing model for American options Bert Menkveld, Erasmus
with stochastic interest rates University
Ton Vorst, Erasmus University
Application of adaptive supervised Kei Keung Hung, The Chinese
learning decision (ASLD) network in University of Hong Kong
stock market Lei Xu, The Chinese
University of Hong Kong
The term structure of interactions of John Moody, Oregon Graduate
foreign exchange rates Institute
Howard Yang, Oregon Graduate
Institute
Moment generating function approach to Theo Dijkstra, University of
pricing interest rate and foreign Groningen
exchange claims Yong Yao, University of
Groningen
________________________________________________________________________
CF99 REGISTRATION INFORMATION
The registration fees (in US Dollars) include all printed materials,
breakfasts, lunches, dinner on Thursday, as well as the conference
proceedings:
Rates for early
registration Conference only Conference with
(received by (no tutorials) all tutorials
December 1, 1998) [Jan 7 and 8] [Jan 6, 7 and 8]
Standard 600 900
Academic 300 400
Student 100 150
The student rate is for full-time students only. Postdocs and full-time
faculty pay the academic rate. To qualify for 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 ID card.
To register, please complete the registration form below. 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 mjaffier@stern.nyu.edu
Please note that the deadline for early registration is December 1, 1998.
After this deadline, all rates will increase by 50%.
________________________________________________________________________
CF99 REGISTRATION FORM
To register, please print this form out complete it 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
Name: ______________________________________________________________________
Affiliation: _______________________________________________________________
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visit the web site of the conference at http://www.stern.nyu.edu/CF99