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:___________________________________
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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
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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
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