Leonard N. Stern School of Business
New York University
Computational Finance (CF99)
January 6, 1999 (Tutorials)
January 7 - 8 (Conference)
The sixth international conference Computational Finance (CF99)
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 Information 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. In the last few years, the conference has seen
papers covering many different computational techniques
including: statistical machine learning, Monte Carlo
simulation, data mining, knowledge discovery, bootstrapping,
genetic algorithms, nonparametric methods, information theory
and fuzzy logic. Applications in many different areas are
welcome, including but not limited to: risk management, asset
allocation, dynamic trading and hedging strategies,
forecasting, numerical solutions of derivative PDEs, exotic
options and trading cost control.
Studies may cover any major international financial market
including equity, foreign exchange, bond, commodity and
derivatives. The conference emphasizes in-depth analysis and
comparative evaluation with established approaches.
CF99 will have two distinguished keynote speakers,
Gifford Fong, Chairman, and CEO of Gifford Fong Associates, and
David E. Shaw, PhD, Chairman and CEO of D. E. Shaw & Co., Inc.
The conference also features several invited speakers sharing
their expertise from both the academic and applied perspectives.
CF99 begins with a full day of tutorials designed to inform the
diverse group of participants on a selection of the latest tools
and research results. This year's tutorials feature the following speakers:
Professor Stephen Figlewski, Finance Department, Stern School of Business,
New York University
Professor Halbert White, Economics Department, University of California,
San Diego
Professor David A. Hsieh, Finance Department, Fuqua School of Business,
Duke University
Professor Benjamin van Roy, Engineering Economic Systems Department,
Stanford University
The conference will have several talk and poster sessions for
accepted papers. A selection of the presentations will be
invited to appear in a volume published by Kluwer Academic
Publishers.
Submissions to CF99:
Authors who wish to present papers should submit four copies
along with full contact information, including e-mail
addresses, to:
CF99 / Andreas Weigend
Information Systems Department
Leonard N. Stern School of Business
New York University
44 W 4th St., MEC 9-171
New York, NY 10012, USA
E-mail: cf99(a)stern.nyu.edu
Web:
www.stern.nyu.edu/cf99
All submissions must be received by August 31st.,
1998. Full papers are preferred, but extended
abstracts clearly stating the results are
acceptable. Only original, relevant research work
will be accepted.
Registration material will be put up on the Web at
www.stern.nyu.edu/cf99 in August.
Deadline for early registration is December 1, 1998.
Conference Chairs:
General Chair
Y. S. Abu-Mostafa, Caltech
Organizational Chair
A. S. Weigend, NYU Stern
Program Co-chairs
B. LeBaron, University of Wisconsin
A. W. Lo, MIT Sloan
Organizing Committee:
A. Atiya, Cairo University
J. Cowan, University of Chicago
R. Gencay, University of Windsor
M. Jabri, Sydney University
J. E. Moody, Oregon Graduate Institute
C. E. Pedreira, Catholic Univ. PUC-Rio
A.-P. N. Refenes, London Business School
M. Steiner, Universitaet Augsburg
D. Tavella, Align Risk Analysis
A. Timmermann, U.of Calif., San Diego
H. White, Univ. of California, San Diego
L. Xu, Chinese University of Hong Kong
The Stern School:
Founded in 1900, the Stern School has grown into one of the
most highly ranked business schools in the world. A talented
and diverse student body benefits in many ways from Stern's
long-standing excellence, top faculty and its central New York
City location. Stern offers several specializations in
computational finance that include a highly quantitative MBA
financial engineering track, an MS in statistics with
specialization in financial engineering, and PhD programs in
the fields of finance, statistics and information systems.
Further conferences, symposia and workshops at Stern for 1999
include Derivatives: What's New?; Market Risk: Advances and
Challenges; and Data Mining in Finance.
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