NNCM-95 PROGRAMME SCHEDULE AND FINAL ANNOUNCEMENT

NNCM-95 PROGRAMME SCHEDULE AND FINAL ANNOUNCEMENT Third International Conference On NEURAL NETWORKS IN THE CAPITAL MARKETS Thursday-Friday, October 12-13, 1995 with tutorials on Wednesday, October 11, 1995. London Neural networks are now emerging as a major modelling methodology in financial engineering. Because of the overwhelming interest in the NNCM workshops held in London in 1993 and Pasadena in 1994, the third annual NNCM conference will be held on October 12-13, 1995, in London. NNCM*95 will take a critical look at state of the art neural network applications in finance. This is a research meeting where original, high-quality contribu- tions to the field are presented and discussed. In addition, a day of introductory tutorials (Wednesday, October 11) will be included to familiarise audiences of different backgrounds with financial engineering, neural networks, and the mathematical aspects of the field. NNCM'95 PROGRAMME SCHEDULE TUTORIALS, Wednesday, 11th October London Business School Sussex Place Regents Park. London NW1 4SA Tel: (+44)(0)(171) 262 50 50 REGISTRATION 08.00 - 08.30 Tutorial Sessions, Chair, Prof. John Moody, OGI FINANCE TUTORIAL I 08.30 - 10.30 Pricing Models for Derivative Securities Prof. Stewart Hodges, Warwick University, Warwick BREAK FINANCE TUTORIAL II 11.00 - 13.00 Price Behaviour and Models for High Frequency Data in Finance Dr Michael Dacorogna Olsen & Associates, Zurich LUNCH STATISTICS & NEURAL NETWORKS TUTORIAL I 14.00 - 16.00 Statistical Inference & Nonparametric Models: Linear Lessons About Nonlinear Prediction Prof. Leo Breiman, University of California, Berkeley BREAK STATISTICS & NEURAL NETWORKS TUTORIAL - II 16.30 - 18.30 Neural Networks for Time Series & Trading Prof. Andreas Weigend University of Colorado, Boulder MAIN CONFERENCE PROGRAMME, 12th & 13th October Langham Hilton 1 Portland Place London NW1N 4JA Tel: (++44)(0)(171) 636 1000 Thursday October 12th REGISTRATION 08.00 - 8.45 Derivative & Term Structure Models - I Chair A-P. N. Refenes, LBS 08.45 - 10.30 * Option Pricing and Artificial Neural Networks, Invited Speaker: Prof. Hal White * Neural Networks for Contigent Claim Pricing via the Galerkin Method, E. Barucci * Futures Trading Using Artificial Neural Networks, H. Pi * Modelling The Term Structure of Interbank Interest Rates, B. Dasgupta BREAK Advances in Methodology I Chair H. Hubbes, Dresner Bank 11.00 - 12.30 * Clearning, A. Weigend * Ordinal Models for Neural Networks, M. Mathieson * Combination of Buffered Backpropagation and RPCL-CLP by Mixture of Experts, L. Xu * Improved Estimates for the R/S and Hurst Exponents, J. Moody LUNCH AND POSTER PRESENTATIONS 12.30 - 14.30 Foreign Exchange Chair P. Smith, Mars Group 14.30 - 16.30 * High Frequency Data in Financial Markets: Issues & Applications, Invited Speaker Prof. Charles Goodhart * ANN Based Trade Forecasting System for Capital Markets, B. Flower * Applying Neural Networks to Currency Trading: A Case Study, C. Lee * Exchange Rate Forecasting Comparison: Neural Networks, Symbolic Machine Learning and Linear Models, E. Steurer * Identification of FX Arbitrage Opportunities with a Non-linear Kalman Filter, P. Bolland and J. Connor BREAK 17.00 - 18.30 Corporate Distress & Risk Models Chair M. Javaid, Hermes Investement Management * Neural Networks in Corporate Failure Prediction: The UK Experience, Y. Alici * Corporate Distress Diagnosis - An International Comparison, M. Kerling * Assessing Financial Distress with Probabilistic Neural Networks, E. Tyree Friday October 13th 08.00 - 8.45 REGISTRATION 08.45 - 10.30 Derivative & Term Structure Models - II Chair Hal White, UCSD * Validation of Volatility Models, Invited Speaker: Prof. Yaser Abu-Mostafa * Modelling Non-linear Cointegration in European Equity Index Futures, A. Burgess * Neural Network Pricing of All Ordinaries SPI Options on Futures, P. Lajbcygier * Option Pricing: An Artificial Neural Network Approach, G. Maddala BREAK 11.00 - 12.30 Advances in Methodology I Chair A. Weigend, Univ. Colorado * Prediction with Robustness Towards Outliers, Trends and Level Shifts, D. Martin * Reliable NN Predictions with Outliers and Non-Constant Variances, D. Ormoneit * An Analysis of Stops and Profit Objectives in Trading Systems, A. Atiya * Predicting Stock Market Averages to Enhance Profitable Trading Strategies, C. Hafke C. Helmenstein 12.30 - 14.30 LUNCH AND POSTER PRESENTATIONS 14.30 - 17.00 Equities & Commodities Chair Prof. D. Bunn, LBS * Towards Minimal Risk: Model selection Strategies For Time Series Prediction & Trading, Invited Speaker Prof. John Moody * The Predictability of Security Returns with Simple Trading Rules, R. Gencay * The Use of Neural Networks For Property Investment Forecasting, G. Clarke * On-Line Learning for Multi-layer Neural Networks: Application to S&P-500, C. Pedreira * Modelling The Performance of Investment Strategies, Y. Bentz * Applying NNs in Copper Trading: Neural Networks with a Linear Filter, C. Naylor CLOSE OF CONFERENCE For further information visit the NNCM'95 web site: http://www.lbs.lon.ac.uk/desci/nncm.thm or contact the NNCM-95 secretariat: Ms Busola Oguntula, London Business School Sussex Place, Regent's Park, London NW1 4SA, UK e-mail: boguntula(a)lbs.lon.ac.uk phone (+44) (0171) 262 50 50 fax (+44) (0171) 724 78 75 Registration To register, complete the registration form and mail to the sec- retariat. Please note that attendance is limited and will be allocated on a "first-come, first-served" basis. Location The main conference will be held at The Langham Hilton, which is situated near Regent's Park and is a short walk from Baker Street Underground Station. Further directions including a map will be sent to all registries. Convenient hotels include: The Langham Hilton 1 Portland Place London W1N 4JA Tel: (+44) (0171) 636 10 00 Fax: (+44) (0171) 323 23 40 Sherlock Holmes Hotel 108 Baker Street, London NW1 1LB Tel: (+44) (0171) 486 61 61 Fax: (+44) (0171) 486 08 84 The White House Hotel Albany St., Regent's Park, London NW1 Tel: (+44) (0171) 387 12 00 Fax: (+44) (0171) 388 00 91 Programme Commitee Dr A. Refenes, London Business School (Chairman) Dr Y. Abu-Mostafa, Caltech Dr A. Atiya, Cairo University Dr N. Biggs, London School of Economics Dr D. Bunn, London Business School Dr M. Jabri, University of Sydney Dr B. LeBaron, University of Wisconsin Dr A. Lo, MIT Sloan School Dr J. Moody, Oregon Graduate Institute Dr C. Pedreira, Catholic University PUC-Rio Dr M. Steiner, Universitaet Munster Dr A. Timermann, University of California, San Diego Dr A. Weigend, University of Colorado Dr H. White, University of California, San Diego --------------------------Registration Form -------------------------- NNCM-95 Registration Form Third International Conference on Neural Networks in the Capital Markets October 12-13 1995 Name:____________________________________________________ Affiliation:_____________________________________________ Mailing Address: ________________________________________ _________________________________________________________ Telephone:_______________________________________________ ****Please circle the applicable fees and write the total below**** Main Conference (October 12-13): (British Pounds) Registration fee 450 Discounted fee for academicians 250 (letter on university letterhead required) Discounted fee for full-time students 100 (letter from registrar or faculty advisor required) Tutorials (October 11): You must be registered for the main conference in order to register for the tutorials. (British Pounds) Morning Session Only 100 Afternoon Session Only 100 Both Sessions 150 Full-time students 50 (letter from registrar or faculty advisor required) TOTAL: _________ Payment may be made by: (please tick) ____ Check payable to London Business School ____ VISA ____Access ____American Express Card Number:___________________________________ ******************************************************************************* The poster sessions are split by subject between the two days of the conference. The following timetable details the time and poster number for each of the presenters. Thursday 12/10/95 13.00-15.00 Poster Session 1 Derivatives, Foreign Exchange, Methodology,Macroeconomics. Friday 13/10/95 13.00-15.00 Poster Session 2 Equities, Advances in Methodology Poster Session 1 Thursday 13.00-15.00 Poster No. (1) 117 NeuralNetworks in Derivative Securities Pricing Forecasting in Brazillian Capital Markets, L. A. R Gaspar & G. Lacitermacher Poster No. (2) 135 Statistical Yield Curve Arbitrage in Eurodollar Futures using Neural Networks, A. N. Burgess Poster No. (3)) 084 Predicting Returns on Canadian Exchange Rates with Artificial Neural Networks and EGARCH-M Models, A. Episcopos Poster No. (4) 115 Forecasting Foreign Exchange Rates: Bayesian Model Comparison and Non-Gaussian Distributions, S. Butlin & J. T.Connor Poster No. (5) 139 Short-term FX Market Analysis and Prediction, H. Beran Poster No. (6) 133 Loan Risk Analysis Using Neural Networks, A. N. Burgess Poster No. (7) 106 Exploratory Data Analysis by the Self-Organizing Map: Structures of Welfare and Poverty in the World, S. Kaski & T. Kohonen Poster No. (8) 116 Commercial Mortgage Default: A Comparison of the Proportional Hazard Modl with Artificial Neural Networks, A. Episcopos Poster No. (9) 094 Minimising the Cost of Money in Branch Offices, F. Avila Poster No. (10) 129 Empirical Regularities and The Forecasting of Industrial production, T.Soni, H.Otruba, M.Natter, C. Hafke Poster No. (11) 147 Short Term Forecasts of Financial Time Series Using Artificial Neural Networks, S. Avouyi-Dovi Poster Session 2 Friday 13.00-15.00 Poster No. (1) 089 The Predictability of Stock Returns with Local Versus Global Nonparametric Estimators, R. Gencay Poster No. (2) 099 Stock Price Prediction Using an Integrated pattern Recognition Paradigm, D. H Kil Poster No. (3) 108 Applications of Artificial Neural Networks in Emerging Financial Markets, C. Siriopoulos Poster No. (4) 112 Stock Selection Using Recon, G. H. John, P. Miller & R. Kerber Poster No. (5) 121 An Embedded Fuzzy Knowledge Base for Technical Analysis of Stocks, K. P. Lam Poster No. (6) 124 Stock Price Predictions by Recurrent Multilayer Neural Network Architectures, D. F. Bassi Poster No. (7) 138 Equity Forecasting: A Case Study in the KLSE Index, J. Yao Poster No. (8) 140 Use of Neural Networks and Expert/Knowledgebase Systems for Stock Market Analysis, Prediction and Trading, A. Chartzaniotis Poster No. (9) 095 Genetic Programming of Fuzzy Logic Production Rules with Application to Financial Trading, A. Edmonds Poster No. (10) 086 Connectivity & Financial Network Shutdown, L. Eisenberg Poster No. (11) 104 Avoiding overfitting by locally matching the noise level of the data, A. S. Weigend & M. Mangeas Poster No. (12) 110 Trading Using Committees, J. Moody & S. Rehfuss, L. Wu Poster No. (13) 142 An Interval Neural Network Architecture for Time Series Prediction, M. Fialh, & C.E.Pedreira ******************************************************************************* Christian Haefke INTERNET:chris@ihssv.wsr.ac.at Institute for Advanced Studies Stumpergasse 56 fax : +43-1-597 06 35 A-1060 Vienna, AUSTRIA, EUROPE voice : +43-1-59991-150 ******************************************************************************* =========================================================================