{Apologise for cross-sending.}
Dear Colleagues,
On behalf of Professor Gautam Mitra, CARISMA, we are pleased to announce the forthcoming events on Program Trading and Hedge Funds. Please find the details below (or request PDF brochures for both conference and workshops by email to mapgxcs@brunel.ac.uk / info@unicom.co.uk ). We are also delighted to announce that ALL STUDENTS and ACADEMIC RESEARCHERS WILL BENEFIT THE EARLY BIRD RATE, besides that there are some discounts for group booking. We would appreciate if you could distribute this message to those colleagues who are interested in this topic.
Program Trading Techniques and Financial Models for Hedge Funds: 3rd Annual CARISMA Seminar https://owa1.brunel.ac.uk/exchweb/bin/redir.asp?URL=https://owa1.brunel.ac.uk/exchweb/bin/redir.asp?URL=http://www.unicom.co.uk/product_detail.asp?prdid=1545
26 - 27 June 2007, London
Related workshops:
* Robust Portfolio Optimisation https://owa1.brunel.ac.uk/exchweb/bin/redir.asp?URL=https://owa1.brunel.ac.uk/exchweb/bin/redir.asp?URL=http://www.unicom.co.uk/product_detail.asp?prdid=1554 - Daniel Bienstock, Columbia University, 25 June - Half Day * Structuring Step-up CDOs: an Optimization Approach (including models and software demonstration) https://owa1.brunel.ac.uk/exchweb/bin/redir.asp?URL=https://owa1.brunel.ac.uk/exchweb/bin/redir.asp?URL=http://www.unicom.co.uk/product_detail.asp?prdid=1555 - Stanislav Uryasev, University of Florida, and Gautam Mitra, CARISMA & OptiRisk Systems 25 June - Half Day * Great investors and hedge fund managers:their methods and evaluation https://owa1.brunel.ac.uk/exchweb/bin/redir.asp?URL=https://owa1.brunel.ac.uk/exchweb/bin/redir.asp?URL=http://www.unicom.co.uk/product_detail.asp?prdid=1556 - William T Ziemba, University of British Columbia, 25 June * Financial Innovation https://owa1.brunel.ac.uk/exchweb/bin/redir.asp?URL=https://owa1.brunel.ac.uk/exchweb/bin/redir.asp?URL=http://www.unicom.co.uk/product_detail.asp?prdid=1557 - Dilip Madan, University of Maryland, and Marek Musiela, BNP Paribas, 28 June 2007 * Algorithmic Decision Making Framework https://owa1.brunel.ac.uk/exchweb/bin/redir.asp?URL=https://owa1.brunel.ac.uk/exchweb/bin/redir.asp?URL=http://www.unicom.co.uk/product_detail.asp?prdid=1558 - Roberto Malamut, SAC Capital Advisors, with guest presentation by Ekaterina Kochieva, CARISMA, 28 June
Conference Programme
* Day One
Continuing Research on Optimal Trade Execution
- Daniel Bienstock, Professor of Operations Research, Columbia University
A Market Impact Model That Works
- Dan diBartolomeo, Northfield Information Services, Inc., and Visiting Professor, CARISMA
High Frequency Trading on Equity Market Micro Structure Evolution
- M A H Dempster, Centre for Financial Research, Judge Business School University of Cambridge; V Leemans, Goldman Sachs, London
Algorithmic Execution: Some future challenges
- Gordon Baker, Head, Algorithmic Execution Services, Deutsche Bank
Optimal Liquidation Against a Markovian Limit Order Book
- Patrick Hewlett, OCIAM, University of Oxford
Automated New Content and Algorithmic Trading
- Philip Gagner, RavenPack International SL
Algorithmic Trading of Hedge Funds
- Nicos Christofides, Director, Centre for Quantitative Finance, Imperial College
Invitation-only senior executive networking event on the first evening, which will be attended by an additional group of guests
* Day Two
Theory of Acceptability Indices Applied to Evaluating Hedge Fund Performance
- Dilip Madan, University of Maryland
Improving Hedge Fund Performance via Multi-Stage Stochastic Programs
- John M. Mulvey, Professor of Operations Research, Princeton University
Validation of Derivatives Pricing Models
- Dario Cziraky, Insightful
Independent Components Analysis of Hedge Fund Returns
- Andrew Robinson, APT
Detection of Momentum Effects Using an Index Out-performance Strategy
- N. Meade, Imperial College & J.E. Beasley, CARISMA
Portfolio Optimization with Drawdown Constraints
- Stan Uryasev, University of Florida, USA, and American Optimal Decisions
Algorithmic Decision Making Framework
- Roberto Malamut, SAC Capital Advisors
For further details please go to http://www.carisma.brunel.ac.uk/newsandinfo.html https://owa1.brunel.ac.uk/exchweb/bin/redir.asp?URL=https://owa1.brunel.ac.uk/exchweb/bin/redir.asp?URL=http://www.carisma.brunel.ac.uk/newsandinfo.html or www.unicom.co.uk/finance https://owa1.brunel.ac.uk/exchweb/bin/redir.asp?URL=https://owa1.brunel.ac.uk/exchweb/bin/redir.asp?URL=http://www.unicom.co.uk/finance or email mapgxcs@brunel.ac.uk or info@unicom.co.uk mailto:info@unicom.co.uk for a PDF flier.
We look forward to welcoming you to the conference and workshops, please also make your colleagues aware of it.
With kind regards Michael Sun
~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~ Michael(Xiaochen) Sun CARISMA, www.carisma.brunel.ac.uk http://www.carisma.brunel.ac.uk/ Centre for the Analysis of Risk and Optimisation Modelling Application; School of Computing, Information Systems and Mathematics Brunel University Uxbridge, UB8 3PH United Kingdom Email: xiaochen.sun (at) brunel.ac.uk http://optirisk.googlepages.com/ http://optirisk.googlepages.com/ http://people.brunel.ac.uk/~mapgxcs http://people.brunel.ac.uk/~mapgxcs Blog: http://mam3xs.blogspot.com http://mam3xs.blogspot.com/ Tel: (+44) (0)1895 265625 Mobile: (+44) (0)7841873292 ~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~