-------- forwarded message ---------
Date: Wed, 4 Jul 2001 21:04:35 +0800
From: Chia-Hsuan Yeh <spock(a)MS17.URL.COM.TW>
Subject: Call for papers,
The Second International Workshop on Computational
Intelligence in Economics and Finance (CIEF'2002)
The Second International Workshop on Computational Intelligence in
Economics and Finance (CIEF'2002)
Research Triangle Park, North Carolina, U.S.A.
March 8-13, 2002
http://www.ee.duke.edu/JCIS/
Keynote Speech:
Agent-Based Computational Economics: The Computational Study of Evolving
Decentralized Economies
Leigh Tesfatsion
Department of Economics
Iowa State University
Ames, IA 50011-1070, U.S.A.
TBA
Jasmina Arifovic
Department of Economics
Simon Fraser University
Buranby, BC V5A 1S6, Canada
Call for Papers
The Second International Workshop on Computational Intelligence in
Economics and Finance (CIEF'2002) will be held as a part of the Sixth
Joint Conference on Information Science. Computational intelligence,
usually known as a collection of techniques, including artificial
neural networks, fuzzy logic, evolutionary algorithms, etc., is one
of the most important tools in computational economics and finance.
Over the last decade, computational intelligence has been widely used
in various economical and financial modelling, prediction, and analysis.
The most noticeable application of computational intelligence is in
financial data mining.
In addition to financial data mining, computational intelligence has
also been intensively used in the research area known as agent-based
computational economics where global regularities arise from the bottom
up, through repeated local interactions of autonomous agents.
Computational intelligence provides a tool to model these autonomous
agents and their interactions. Issues addressed include the replication
of laboratory results with human subjects, equilibrium selection, the
emergence of the representative agent, rational expectations, markets
and money, simulations of artificial stock markets and other social
processes.
We see now a need to bring together people with different backgrounds
who share the same interests in their closely related studies. This
conference serves this purpose.
Topics of Interest:
Application Areas: Application areas may include, but are not limited to:
Agent-Based Computational Economics
Artificial Stock Markets
Simulation of Social Processes
Evolutionary Game and Industrial Organization
Financial Engineering
Financial Data Mining
Trading Strategies
Hedging Strategies
Portfolio Management
Derivative Pricing
Term Structure Models
Financial Time Series Forecasting and Analysis
Techniques:
Artificial Neural Networks
Fuzzy Logic
Evolutionary Strategies
Evolutionary Programming
Genetic Algorithms
Genetic Programming
Statistical Classifiers
Cluster Analysis
Decision Trees
Inductive Logic Programming
Self-Organized Map
Reinforcement Learning
Wavelet
Rough Sets
Support Vector Machine
Hybrid Systems
Paper Submission
Papers describing new techniques and/or novel applications are solicited.
All papers should be no more than 4 pages of 10-point font, double column,
single-spaced text, with figures and tables included. Papers should
be sent to:
Shu-Heng Chen
AI-ECON Research Center
Department of Economics
National Chengchi University
Taipei, Taiwan 11623
chchen(a)nccu.edu.tw
While hard copies are acceptable, electronic submissions via PS or PDF
files are highly encouraged. Authors who use electronic submissions
should sent a separate email in plain text to indicate this.
All submissions must be received by the 30th of September, 20001.
Contributed papers will be reviewed by the program committee. The
authors will be informed about the decision of the review process by
the 5th of November 2001. All accepted papers will be published in
the conference proceedings.
Important Dates
September 30, 2001 - Deadline for submission of papers
November 5, 2001 - Paper acceptance letters to be sent out to authors
November 5, 2001 - Deadline for invited sessions and exhibition proposals
December 3, 2001 - Deadline for early registration with discounted fee
December 3, 2001 - Publication fee ($180) due for each paper (regular
and invited) to be included
in proceedings. This amount is included in full
registration fee.
December 3, 2001 - Deadline for submission of revised camera ready
copies of accepted papers
March 8-14, 2002 - JCIS 2002 Conference
General Chair:
Professor Paul P. Wang
Dept of Electrical & Computer Engineering
P.O. 90291
Duke University
Durham, NC 27708 - 0291
U.S.A
email: ppw(a)ee.duke.edu
Conference Chairs
Professor Shu-Heng Chen
AI-ECON Research Center
Department of Economics
National Chengchi University
Taipei, Taiwan 11623
R.O.C.
tel: +886-2-29387308
fax: +886-2-27386874
e-mail: chchen(a)nccu.edu.tw
http://www.aiecon.org/
Professor Xin Yao
School of Computer Science
The University of Birmingham
Edgbaston, Birmingham B15 2TT
U.K.
tel: +44 121 414 3747
Fax: +44 121 414 4281
e-mail: x.yao(a)cs.bham.ac.uk
http://www.cs.bham.ac.uk/~xin
Program Chair
Assistant Prof. Chia-Hsuan Yeh
Department of Information Management
I-Shou University
Kaohsiung County, Taiwan 84008
R.O.C.
tel & fax: 886-7-3552758
e-mail: spockyeh(a)ms38.hinet.net
http://econo.nccu.edu.tw/~spock/
Program Committee
Peter Angeline (Natural Selection, Inc, USA)
Kohen Bertels (University of Namur, Beligum)
Shiddhartha Bhattacharyya (University of Illinois at Chicago, USA)
Jane Binner (Nottingham University, UK)
Lai-Wan Chan (The Chinese University of Hong Kong, HK)
Paul Darwen (University of Queensland, Australia)
Herbert Dawid (University of Vienna, Austria)
John Duffy (University of Pittsburgh, USA)
Hitoshi Iba (University of Tokyo, Japan)
Lakhmi Jain (University of South Australia, Australia)
Mahmoud Kaboudan (Penn State University, USA)
Taisei Kaizoji (International Christian University, Japan)
Kin Keung Lai (City University of Hong Kong, Hong Kong)
Ana Marostica (University of Buenos Aires, Argentina)
Michele Marchesi (University of Cagliari, Italy)
Robert Marks (Australian Graduate School of Management, Australian)
Zbigniew Michalewicz (University of North Carolina at Charlotte, USA)
Nikolay Nikolaev (University of London, UK)
Akira Namatame (National Defence Academy, Japan)
Pavel Osmera (Technical University Brno, Czech Republic)
Thomas Riechmann (University of Hannover, Germany)
Hiroshi Sato (National Defence Academy, Japan)
Stephen Smith (Algometrics, UK)
KY Szeto (HK University of Science and Technology, Hong Kong)
Leigh Tesfatsion (Iowa State University, USA)
Nicholas Vriend (University of London, UK)
Lei Xu (Chinese University of Hong Kong, Hong Kong)
Byoung-Tak Zhang (Seoul National University, South Korea)
Zijian Zheng (Deakin University, Australia)
Gilles Zumbach (Olsen & Associates, Switzerland)
FYI, a call for papers for the "International Journal of Intelligent
Systems in Accounting Finance & Management". -- VFN-L administrator
---------- Forwarded message ----------
Date: Wed, 04 Jul 2001 15:57:44 +0200
From: Christian Haefke <christian.haefke(a)econ.upf.es>
Subject: Special issue on Computational Finance
Call For Papers
Special Issue on Computational Finance
Guest Editor: Christian Haefke
Papers are sought that address the use and application of computing and
algorithms for solving finance problems.
Papers on statistics and econometrics that potentially can be used in
finance and involve computer-intensive methods are equally welcome.
Topics of the special issue include, but are not limited to:
Option Pricing
Risk
Volatility
Tactical Asset Allocation
Interest Rate Modelling
Exchange Rate Modelling
Resampling Methods
Nonparametric Methods
Density Estimation
Extreme Value Statistics
Important Dates
===============
Deadline of submissions: 01 December 2001
Submission of Papers
====================
All papers submitted must contain original unpublished work that is
not being submitted for publication elsewhere. Instructions to authors
and information about the International Journal of Intelligent Systems
in Accounting Finance and Management can be found at
http://www.interscience.wiley.com/jpages/1055-615X/
Electronic submission is encouraged. Please e-mail a postscript or PDF
file of your manuscript together with a plain text cover letter to
mailto:christian.haefke@econ.upf.es
Authors unable to submit electronically may send four copies of their
manuscript to the guest editor.
Further information can be obtained by contacting the special issue
editor at the following address:
Christian Haefke
Department of Economics and Business
Universitat Pompeu Fabra
Ramon Trias Fargas 25-27
E-08005 Barcelona, Spain
http://www.econ.upf.es/~chaefke
---------- Forwarded message ----------
Date: Fri, 29 Jun 2001 11:29:34 -0500
From: Bachelier Congress 2002 <bfs2002(a)mail.ma.utexas.edu>
Subject: BACHELIER CONGRESS - CALL FOR PAPERS
B A C H E L I E R F I N A N C E S O C I E T Y
2 N D W O R L D C O N G R E S S
CRETE, GREECE : JUNE 12-15, 2002
-----------------------------
C A L L F O R P A P E R S
The Bachelier Finance Society was founded in 1996 by a group of
researchers in Mathematical Finance to serve as a platform where
academics and practitioners can meet and exchange ideas spanning across
Mathematics, Finance, Economics, Econometrics and Insurance. To achieve
this goal, the BFS organizes every two years an International Congress.
The scientific program of the 2002 BFS Congress consists of plenary
talks and contributed papers. The invited plenary talks will give an
overview of the latest important developments in the field. They will
also present new ideas, directions and methodologies from Finance,
Economics, Econometrics and Mathematics and, discuss pressing problems
in the Finance and Insurance industries. The contributed papers will
complement the plenary talks with recent results and advances.
The overall scope is to create a unique interdisciplinary forum for
discussion of new concepts, incite stronger interaction across the
fields, and, at the same time, define new directions for the future
development of Mathematical Finance.
P L E N A R Y S P E A K E R S
Y. Ait-Sahalia (Princeton), K.J. Arrow* (Stanford), N. El Karoui
(Ecole Polytechnique), V. Kaminski (Enron), I. Karatzas (Columbia),
P.-L. Lions (Paris IX), M. Musiela (BNP Paribas), M. O' Hara (Cornell),
K. Singleton (Stanford), W. Zame (UCLA) (* not yet confirmed)
S C I E N T I F I C C O M M I T T E E
G. Constantinides (Chicago), M.H.A. Davis (Imperial College),
F. Delbaen (ETH), D. Duffie (Stanford), H. Foellmer (Humboldt),
M. Jeanblanc (Evry), E. Platen (UTS), T. Zariphopoulou (UT-Austin)
SUBMISSIONS: Participants are encouraged to submit a research paper.
Submissions can be either a completed paper or an extended summary (two
to four pages long).
The deadline for submissions is November 30, 2001. Instructions
regarding submissions will be posted on the web site of the Congress.
LOCATION: Crete, the largest greek island, offers a unique combination
of natural beauty, historical sites and vibrant life. A land with a
distinct character is one of the most magnificent places in Greece.
The Congress will take place at the Capsis Beach Hotel and Sofitel Capsis
Palace Conference Center (www.capsis.gr) on the peninsula of Agia
Pelagia, a picturesque site on the northern shore of Crete near
Heraklion. A block of rooms at special rates will be available for
the conference participants. Information regarding registration, hotel
reservations, transfers as well as the planned cultural and social events
will be posted in the upcoming months.
FINANCIAL SUPPORT: Depending on the availability of funds, limited
financial support will be provided to students and young researchers. The
application material will be posted on the web site of the Congress.
WEB SITE: http://www.ma.utexas.edu/Bachelier2002
Sehr geehrte Damen und Herren,
Das Seminar "Finanzmathematik" hat vorige Woche seinen Abschluss
gefunden: Wir moechten uns nochmals bei allen Vortragenden sehr
herzlich bedanken fuer Ihr Engagement und Ihre Bereitschaft, einen
Einblick in die "finanzmathematischen Praxis" zu geben; danke auch
an die vielen Zuhoerer fuer Ihr Interesse an unseren Veranstaltungen.
Die Vortragsunterlagen, soweit vorhanden, finden Sie unter
http://www.mat.univie.ac.at/~mfulmek/sess01.html
Wir wuenschen Ihnen einen schoenen und erholsamen Sommer,
Mit besten Gruessen,
Markus Fulmek
-------------------------------------------------
Wissenschaftlicher Verein Modernes Risk Management
WWW: http://keen.esi.ac.at/~amrm/
Institut fuer Mathematik Universitaet Wien
Strudlhofgasse 4 A-1090 Wien
Kontakt: Dr.Markus Fulmek amrm(a)keen.esi.ac.at
Sehr geehrte Damen und Herren,
Im Rahmen des Seminars "Finanzmathematik" haelt Herr
Dr. Peter Schaller (Bank Austria) einen Vortrag zum Thema
"Jenseits der gemeinsamen Normalverteilung:
Zeitreihen von Veraenderungen von Geld- und
Kapitalmarktzinsen"
Zeit: Mittwoch, 20. Juni 2001, 19 Uhr
Ort: Hoersaal 1
Institut fuer Mathematik
Strudlhofgasse 4
1090 Wien
Mit besten Gruessen,
Markus Fulmek
-------------------------------------------------
Wissenschaftlicher Verein Modernes Risk Management
WWW: http://keen.esi.ac.at/~amrm/
Institut fuer Mathematik Universitaet Wien
Strudlhofgasse 4 A-1090 Wien
Kontakt: Dr.Markus Fulmek amrm(a)keen.esi.ac.at
___ ___ _______ _______ _____
| | || ___|| | | ______ | |_
| | || ___|| ||______|| |
\_____/ |___| |__|____| |_______|
Vienna Finance Newsletter <vfn-l(a)fam.tuwien.ac.at>
On June 19, 2001, The Vienna Finance Newsletter is celebrating 6 years
of being and serving and mailing. Read more about the grounding of its
birthday in the posting 'Vienna Finance Newsletter hat Geburtstag' (in
German only, sorry) at
http://www.fam.tuwien.ac.at/pipermail/vfn-l/2000q2/000707.html
We are pleased to announce the following 'birthday lecture':
Martin T. Barlow (University of British Columbia)
A diffusion model for electricity spot prices
Tue, June 19, 2001, 16:30-18:00
University of Technology, Wiedner Hauptstr. 8-10/107
Freihaus, green tower, 6th floor, Seminarraum 107
Abstract:
Electricity is now a traded commodity in a number of regions.
Starting from a simple supply/demand model for electricity, we obtain
a model for spot prices which captures some of the features of real
prices, including 'price spikes'. We estimate the parameters in the
model for the Alberta and California markets, and compare this model
with some others used for spot prices.
Martin T. Barlow (University of British Columbia)
http://www.math.ubc.ca/people/faculty/barlow/barlow.html
Your VFN-L administrator will be there, too, hopefully with coffee,
some birthday cookies and spikeless electricity.
Yours administratively,
-- Andreas Schamanek
vfn-l administrator
---------------------------------------------------------------------
ANDREAS SCHAMANEK <schamanek(a)gmx.net> T: +43-1 58801-10555, F: -10598
Admin @ Dept. of Statistics and Decision Support * Univ. of Vienna
Admin @ Dept. of Financial and Actuarial Mathematics * TU Vienna
Liebe Kolleginnen, liebe Kollegen,
ich darf Sie auf die folgende Ausschreibung am Institut für Finanzierung
und Finanzmärkte, Ordinariat für Betriebliche Finanzierung, aufmerksam
machen.
Mit besten Grüßen
Stefan Bogner
XXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXX
A U S S C H R E I B U N G
Am INSTITUT für Finanzierung und Finanzmärkte der Wirtschaftsuniversität
Wien, Ordinariat für Betriebliche Finanzierung (Prof. Bogner), ist ab 1.
September 2001 1 Universitätsassistent/innen/enposten zu besetzen.
Aufgabengebiet:
Mitarbeit im organisatorisch-administrativen Bereich, Entwicklung und
Abhaltung von Lehrveranstaltungen und Mitarbeit an Forschungsprojekten.
Gesetzliche Aufnahmebedingungen:
Abgeschlossenes Studium der Sozial- und Wirtschaftswissenschaften
Zusätzlich erwünschte Kenntnisse:
- Studienrichtung Betriebswirtschaftslehre/Handelswissenschaften mit
spezieller Fachrichtung 'Finanzierung'
- Vertiefende Kenntnisse auf dem Gebiet der betrieblichen Finanzierung und
der EDV-Anwendung
Schriftliche Bewerbungen mit Lebenslauf und Angabe über den Studienerfolg
(ohne Originalzeugnisse) sind an die PERSONALABTEILUNG der
Wirtschaftsuniversität Wien, Augasse 2 - 6, 1090 Wien zu richten.
Ende der Bewerbungsfrist: 27. Juni 2001
Die Wirtschaftsuniversität Wien hat sich eine Erhöhung des Frauenanteils am
wissenschaftlichen Personal zum Ziel gesetzt. Deshalb werden nachdrücklich
Frauen aufgefordert, sich zu bewerben.
Alle Bewerberinnen, welche die gesetzlichen Aufnahme- und
Ernennungserfordernisse sowie die im Ausschreibungstext zusätzlich
gewünschten Kriterien erfüllen, werden zu einem Aufnahmegespräch eingeladen.
An der Wirtschaftsuniversität Wien ist ein Arbeitskreis für
Gleichbehandlungsfragen eingerichtet. Auskunft über Funktion und Mitglieder
des Arbeitskreises für Gleichbehandlungsfragen gibt die Personalabteilung.
Es wird darauf hingewiesen, dass Frauen bei gleicher Qualifikation bevorzugt
aufgenommen werden.
Die Bewerber und Bewerberinnen haben keinen Anspruch auf Abgeltung
aufgelaufener Reise- und Aufenthaltskosten, die aus Anlass des
Aufnahmeverfahrens entstanden sind.
XXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXX
--
------------------------------------------------------
Stefan Bogner
Ordinarius für betriebliche Finanzierung
am Institut für Finanzierung und Finanzmärkte
an der Wirtschaftsuniversität Wien
A-1090 Wien, Austria
Tel: 01/31336/4242 Fax: 01/31336/736
e-mail: Stefan.Bogner(a)wu-wien.ac.at
------------------------------------------------------
Sehr geehrte Damen und Herren,
Im Rahmen des Seminars "Finanzmathematik" haelt Herr
Mag. Georg Wachberger (ERSTE Bank) einen Vortrag zum Thema
"Einsatz quantitativer Methoden im Aktienhandel -
statistical equity arbitrage"
Zeit: Mittwoch, 13. Juni 2001, 19 Uhr
Ort: Hoersaal 1
Institut fuer Mathematik
Strudlhofgasse 4
1090 Wien
Mit besten Gruessen,
Markus Fulmek
-------------------------------------------------
Wissenschaftlicher Verein Modernes Risk Management
WWW: http://keen.esi.ac.at/~amrm/
Institut fuer Mathematik Universitaet Wien
Strudlhofgasse 4 A-1090 Wien
Kontakt: Dr.Markus Fulmek amrm(a)keen.esi.ac.at
Sehr geehrte Damen und Herren,
Im Rahmen des Seminars "Finanzmathematik" haelt Herr
Prof.Dr. Alois Geyer (WU Wien) einen Vortrag zum Thema
"Methoden der univariaten Zeitreihenanalyse (ARIMA-Modelle)
und multivariaten Zeitreihenanalyse
(Vector-AR, Cointegration)."
Zeit: Mittwoch, 6. Juni 2001, 19 Uhr
Ort: Hoersaal 1
Institut fuer Mathematik
Strudlhofgasse 4
1090 Wien
Mit besten Gruessen,
Markus Fulmek
Abstract:
In diesem Vortrag werden einige Methoden der univariaten Zeitreihenanalyse
(ARIMA-Modelle) und multivariaten Zeitreihenanalyse (Vector-AR,
Cointegration) vorgestellt. Anhand praktischer Beispiele werden die
Grundidee der Methoden und die Vorgangsweise bei der Modellierung
demonstriert.
-------------------------------------------------
Wissenschaftlicher Verein Modernes Risk Management
WWW: http://keen.esi.ac.at/~amrm/
Institut fuer Mathematik Universitaet Wien
Strudlhofgasse 4 A-1090 Wien
Kontakt: Dr.Markus Fulmek amrm(a)keen.esi.ac.at
Sehr geehrte Damen und Herren,
Im Rahmen des Seminars "Finanzmathematik" halten Herr
Dr. Andreas Weingessel (ERSTE Bank) und Herr Markus Rossmiller (ERSTE
Bank)
einen Vortrag zum Thema
"Messung operationaler Risiken in der Erste Bank"
Zeit: Mittwoch, 30. Mai 2001, 19 Uhr
Ort: Hoersaal 1
Institut fuer Mathematik
Strudlhofgasse 4
1090 Wien
Mit besten Gruessen,
Markus Fulmek
Abstract:
Waehrend bereits seit einiger Zeit in Banken Markt- und Kreditrisiken
mittels statistischer Methoden (z.B.: Value-at-Risk) gemessen und
gesteuert werden, steckt die Betrachtung operationaler Risiken noch in den
Kinderschuhen. Grosze Finanzskandale der letzten Zeit (z.B.: Barings,
Orange County, Bank Burgenland) zeigen die inhaerente Gefahr, die von
diesen Risiken ausgeht. Im neuen Basler Konsultationspapier werden
operationale Risiken zudem erstmals explizit erwaehnt und
unterlegungspflichtig.
Als eine der ersten europaeischen Banken hat die Erste Bank vor ca. einem
Jahr ein Projekt zur Messung operationaler Risiken initiiert. In unserem
Vortrag geben wir einen kurzen Ueberblick ueber Probleme und
Loesungsansaetze in diesem aufstrebenden Gebiet des Risikomanagements.
-------------------------------------------------
Wissenschaftlicher Verein Modernes Risk Management
WWW: http://keen.esi.ac.at/~amrm/
Institut fuer Mathematik Universitaet Wien
Strudlhofgasse 4 A-1090 Wien
Kontakt: Dr.Markus Fulmek amrm(a)keen.esi.ac.at