VFN-L March 1997

vfn-l@fam.tuwien.ac.at

3 participants
4 discussions

None
by Elke PENDL 04 Mar '97

04 Mar '97

VSX WORKSHOPS Einladungen zu den Vortraegen ''Liquidity-Based Competition for Order Flow'' Professor Duane Seppi (Carnegie Mellon University) Freitag, 14. Maerz 1997 von 15:30 - 17:00 im Hoersaal 8 des Betriebswirtschaftlichen Zentrums der Universitaet Wien, Bruenner Strasse 72, 1210 Wien ''Corporate Diversification Strategies & Firm Performance'' Professor John Doukas (Old Dominion University) Montag, 17. Maerz 1997 von 16:00 - 17:30 im Hoersaal 5 des Betriebswirtschaftlichen Zentrums der Universitaet Wien, Bruenner Strasse 72, 1210 Wien =========================================================================

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Re: (Fwd) Mathem. Kolloquium vom 12.03.1997
by Otto Loistl 04 Mar '97

04 Mar '97

--=====================_857523005==_ Content-Type: text/plain; charset="us-ascii" Liebe Frau Ganuersdorfer, Thanks for the invitation to One Factor Markov Model presentation. Attached please find the results of a multifactor markov modell investigating transaction costs of several real exchanges. Best regards Otto Loistl At 15:02 03.03.1997 GMT, you wrote: >------- Forwarded Message Follows ------- >Date: Mon, 03 Mar 1997 12:41:32 +0100 (MET) >From: Institut fuer Mathematik - Sekretariat <sekr(a)nelly.mat.univie.ac.at> >Subject: Mathem. Kolloquium vom 12.03.1997 >To: Undisclosed recipients:;@nelly.mat.univie.ac.at ; > > > > > E I N L A D U N G > > zu einem > > > V O R T R A G > > von > > > F. Delbaen > (ETH Zuerich) > > mit dem Thema > > > "One factor Markov Models in Finance" > > > > >ORT: Inst. fuer Mathematik an der Universitaet Wien, Boltzmanngase 9, > ESI - Hoersaal. > >Zeit: Mittwoch, 12.03.1997, 16 Uhr c.t. > > > > > H. Rindler > W. Schachermayer > > > > > >------------------------------------------------------------------ >Dr. Andrea Gaunersdorfer >Department of Business Administration >University of Vienna Tel.: +43-1-29 1 28-466 >Bruenner Strasse 72 FAX: +43-1-29 1 28-464 >A - 1210 Wien e-mail: gauner(a)finance2.bwl.univie.ac.at >http://www.bwl.univie.ac.at/bwl/fiwi1/members/gauner/gauner.htm > > --=====================_857523005==_

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(Fwd) Mathem. Kolloquium vom 12.03.1997
by Andrea Gaunersdorfer 03 Mar '97

03 Mar '97

------- Forwarded Message Follows ------- >From sekr(a)nelly.mat.univie.ac.at Sun Mar 19 17:27:57 2000 Date: Mon, 03 Mar 1997 12:41:32 +0100 (MET) >From: Institut fuer Mathematik - Sekretariat <sekr(a)nelly.mat.univie.ac.at> Subject: Mathem. Kolloquium vom 12.03.1997 To: Undisclosed recipients:;@nelly.mat.univie.ac.at ; Status: RO X-Status: X-Keywords: X-UID: 246 E I N L A D U N G zu einem V O R T R A G von F. Delbaen (ETH Zuerich) mit dem Thema "One factor Markov Models in Finance" ORT: Inst. fuer Mathematik an der Universitaet Wien, Boltzmanngase 9, ESI - Hoersaal. Zeit: Mittwoch, 12.03.1997, 16 Uhr c.t. H. Rindler W. Schachermayer ------------------------------------------------------------------ Dr. Andrea Gaunersdorfer Department of Business Administration University of Vienna Tel.: +43-1-29 1 28-466 Bruenner Strasse 72 FAX: +43-1-29 1 28-464 A - 1210 Wien e-mail: gauner(a)finance2.bwl.univie.ac.at http://www.bwl.univie.ac.at/bwl/fiwi1/members/gauner/gauner.htm =========================================================================

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(Fwd) CFP Special Issue of JCIF
by Andrea Gaunersdorfer 03 Mar '97

03 Mar '97

------- Forwarded Message Follows ------- >From RBCALDWELL(a)delphi.com Sun Mar 19 17:27:57 2000 >From: RBCALDWELL(a)delphi.com Date: Sat, 01 Mar 1997 08:15:16 -0500 (EST) Subject: CFP Special Issue of JCIF To: snde_l(a)email.rutgers.edu Status: RO X-Status: X-Keywords: X-UID: 244 ******************************************************************* C A L L F O R P A P E R S ******************************************************************* Journal of Computational Intelligence in Finance Call for Papers Special Issue and Competition on "Improving Generalization for Nonlinear Financial Forecasting Models" The Journal of Computational Intelligence in Finance, a peer-reviewed technical journal, published by Finance & Technology Publishing, is seeking papers for review and publication in 1997 on "Improving Generalization for Nonlinear Financial Forecasting Models". For comparison of methods submitted, the target variable series and performance metrics are specified (though not required). As an internationally-recognized independent forum since 1993, the Journal of Computational Intelligence in Finance (formerly NeuroVest Journal) serves as a central forum for the converging, multi-disciplined field of computational intelligence in finance. Papers published in the Journal are eligible for entry in an Annual Essay Award Contest. The Editorial Advisory Board of the Journal selects the best paper for which a cash award is presented each year. EDITORIAL ADVISORY BOARD E. Michael Azoff, Themisto Numerics Ltd. James E. Bowen, CompEngServ Ltd. Richard J. Bauer, Jr., St. Mary's University James F. Derry, Mgmt. Engineering Productivity Systems Ypke Hiemstra, Vrije Universiteit Yuval Lirov, Lehman Brothers Zoran Obradovic, Washington State University David B. Skalak, University of Massachusetts Stephen Slade, Stern Bus. Sch., New York University Leon Sterling, University of Melbourne Manoel F. Tenorio, University of Purdue Halbert White, University of California at San Diego SPECIAL TOPIC Improving Generalization for Nonlinear Financial Forecasting Models PUBLICATION DATE November 1997 PAPER SUBMISSION DEADLINE June 30, 1997 MOTIVATION The critical issue in applying neural networks and other data-driven forecasting systems is generalization, the performance on data not used for training. The key to generalization behavior is model complexity. Too simple a model cannot approximate the true relationship, and overly complex models adjust to the noise in the data. Nearly all financial applications of nonparametric models (such as neural networks and genetic algorithms) vary model complexity by adjusting the number of parameters. This special issue intends to highlight other methods to improve generalization, in particular regularization (e.g., neural network weight decay and smoothing) and techniques for combining models. Of particular interest are nonlinear methods including neural networks, genetic algorithms, nearest neighbor networks, polynomial networks, fuzzy logic, and hybrids. Nearly all studies apply cross-validation to select the best model. Alternatives to cross-validation include 'analytical' selection rules such as Akaike's Information Criterion, Schwartz's Information Criterion, and a number of others. Of particular interest are the statistical properties (i.e., bias and variance) of model selection methods in estimating out-of-sample performance. DATA, TARGET VARIABLES and PERFORMANCE METRICS Data: daily prices of a financial time series (see below) Target Variable: the relative difference in percent (RDP) between today's closing price and the price five (5) days ahead Performance Metrics: MSE (target). nRMSE and DS (to be used in the analysis). Participants are encouraged to use the forecast data, target variable and performance metrics specified for this special issue, which are available on the Web to those who submit a satisfactory abstract (including brief biography) as outlined below. Participants are not be restricted regarding the data used as inputs to their predictors. Especially interesting original methods using other forecast data, target variables and performance metrics will also be considered. The forecast series is derived from daily closing prices for a financial time series. The target variable is the relative difference in percent (RDP) between today's closing price and the closing price five (5) days ahead. The date, the underlying price series and the target variable series are all provided in the downloadable data file. The target metric is the MSE. Also, authors' analysis should include the normalized RMSE (RMSE normalized using the standard deviation of actual RDP values), and Directional Symmetry (percentage of correctly predicted directions with respect to the target variable). The forecast data provided is separated into in-sample (10 years of daily data) and out-of-sample (2 years of daily data) sets. Participants are not restricted regarding the data used as input to their predictors. However, all data used should be disclosed in the paper presentaton, including the details of all techniques and formulas used to pre-process the data. Details on the predictor and the methods used for improving generalization should be presented in the paper. FORECAST HORIZON AND RE-TRAINING Participants should test performance of their predictors over the entire two-year out-of-sample dataset. Of interest are results of analyses and performance of predictors over the entire two-year prediction period: (1) without re-training and (2) with re-training (optional). The results from (1) and (2) can be useful for estimating the limits of the forecasting horizon for the prediction methods presented. For additional details on the forecast data, target variable and performance metrics, see: http://ourworld.compuserve.com/homepages/ftpub/call.htm Suggested references for the topic include: 1) Abu-Mostafa, J.S. [1990] "Learning from hints in neural networks", Journal of Complexity, 6, June, pp. 192. 2) Bishop C.M. [1995] Neural Networks for Pattern Recognition, Oxford University Press. 3) Caldwell, R.B. (editor) [1997] Nonlinear Financial Forecasting: Proceedings of the First INFFC, Finance & Technology Publishing. 4) Elder, John F. and Mark T. Finn [1991] "Creating `Optimally Complex` Models for Forecasting," Financial Analysts Journal, Jan/Feb, pp. 73-79. 5) Swanson, N.R. and H. White [1995] "A Model Selection Approach to Assessing the Information in the Term Structure Using Linear Models and Artificial Neural Networks", Journal of Business and Economic Statistics 13. ABSTRACTS Submit 150 to 300 word abstract including full name(s) and affiliation(s) of the author(s), complete mailing address, email address and telephone numbers of all authors. Authors should provide a brief biographic sketch of themselves. Send to either the postal or email addresses below: Post: Editors JCIF P.O. Box 764 Haymarket, VA 20168 USA E-mail: 72672.261(a)compuserve.com PAPERS Submit three copies of each paper. Papers should be double- spaced, single-sided. Authors should provide a brief biographic sketch of themselves. Each copy submitted should include a page that contains the title of the paper, the full name(s) and affiliation(s) of the author(s), complete mailing address, email address and telephone numbers of all authors, and a 150 to 300 word abstract. The Journal reserves the right to edit all material to meet space requirements and to make grammatical and typographical corrections. The final text should be 4000 to 5000 words in length, containing no more than about 10 references, and be provided as follows: (1) Hardcopy: printed and double-spaced, with notations for the location of graphics, mathematical equations, given thereon, as necessary, (2) Softcopy: The preferred media format is IBM PC 3.5", 1.44MB. The preferred file format is Word 6/95/97 for Windows 3.1/95. Other acceptable software files (in the IBM PC format) are the following: Word/DOS 3.0 or later Word/Mac 4.0 or later Word/Win 2.0 through 7 WordPerfect 5.1 or later (for DOS or Windows 3.1/95). Any standard ASCII text file format using the preferred media format, including bracketed notations for the locations of symbols, equations or other non-ASCII characters. Tex and LaTex may be used for the development and generation of the hardcopy version of the paper, provided that a softcopy version is also submitted in any standard ASCII text file format using the preferred media format, including bracketed notations for citations and for the locations of symbols, equations or other non-ASCII characters. GRAPHICS The preferred graphics format is a Windows compatible format (.pcx, .bmp, .wmf). For other graphics formats, submit high-quality, camera-ready hardcopy. TEXT CITATIONS AND REFERENCES Papers should be limited to about 10 references. Encouraged are references to peer-reviewed journals as well as to books. Conference proceedings/compendiums are discouraged. Text citations must use the following format: last name(s) of author(s), publication date and suffix (as necessary) in brackets. Example: Watkins and McCoy [1993a] References must be listed alphabetically by the last name of the first author according to the following formats: Journal Article: authors' names, publication date and suffix (as necessary) in brackets, article title (in double quotations), periodical title (in italics), volume and number, pages cited. Book: authors' names, publication date and suffix (as necessary) in brackets, book title (in italics), publisher, publisher location, pages cited. Chapter in Book: authors' names, publication date and suffix (as necessary) in brackets, chapter title (in double quotations), editors' names, book title (in italics), publisher, location, pages cited. Send all manuscripts to the following postal address: Editors JCIF P.O. Box 764 Haymarket, VA 20168 USA *********************************************************************** C A L L F O R P A P E R S *********************************************************************** ------------------------------------------------------------------ Dr. Andrea Gaunersdorfer Department of Business Administration University of Vienna Tel.: +43-1-29 1 28-466 Bruenner Strasse 72 FAX: +43-1-29 1 28-464 A - 1210 Wien e-mail: gauner(a)finance2.bwl.univie.ac.at http://www.bwl.univie.ac.at/bwl/fiwi1/members/gauner/gauner.htm =========================================================================

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VFN-L March 1997