[FAM-news] Portfolio Trading for Hedge Funds

Xiaochen Sun Xiaochen.Sun at brunel.ac.uk
Mon Apr 24 12:18:25 CEST 2006

We are delighted to announce that Professor Nicos Christofides, Centre for Quantitative Finance, Imperial College, will be speaking on Portfolio Trading for Hedge Funds at our forthcoming conference "New Directions in Financial Modelling", London, 23-24 May 2006. The presentation covers optimization for calibration of pricing (also risk management) models to market data, a "hot topic" of great interest in the City at the moment.


Following are the details of Professor Christofides' presentation:-


Portfolio Trading for Hedge Funds

Nicos Christofides, Centre for Quantitative Finance, Imperial College

·        The choice of asset and macroeconomic time-series to include in a dynamic trading model.

·        Determination of driving factors using non-linear Independent Components

·        Dynamic stochastic modelling with Neural Networks. 

·        Training by global optimization using the Bionomic Algorithm

·        Construction of an arbitrage-free state transition graph for the tradable assets

·        Solving an optimal portfolio trading problem using state-space relaxation within Dynamic Programming

·        Examples of real-life results obtained from applications to hedge funds.



On 25 May Professor Christofides will also give a demonstration of the system - this computer demo will be of a real hedge fund and not an example.

For full programme details, including how to book, please go to www.carisma.brunel.ac.uk/finance2006 <http://www.carisma.brunel.ac.uk/finance2006>  , www.unicom.co.uk/finance <http://www.unicom.co.uk/finance>   or write to info at unicom.co.uk <mailto:info at unicom.co.uk>  for PDF brochure.

We look forward to welcoming you to the event; please also make your colleagues aware of it.
CARISMA, 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 

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