FORECASTING FINANCIAL MARKETS: ADVANCES FOR EXCHANGE RATES, INTEREST RATES AND ASSET MANAGEMENT Seventh International Conference sponsored by Elseware, IFS Ltd and LIFFE Official website FFM2000 will share a Joint Programme with the Computational Finance Conference CF2000 sponsored by London Business School ===================================================== Programme Chairs: - Christian Dunis(Infacts/StatQ and Liverpool Business School) - John Moody (Oregon Graduate Institute) - Allan Timmermann(UCSD) - Neil Burgess (London Business School) Industrial Chairs: - Patrick Na�m(Elseware) - Darren Toulson(Intelligent Financial Systems Ltd.) Topics: - Fund management and trading rules - Advances in asset management and portfolio optimisation - Relative value and market neutral strategies - Modelling volatility and correlation - Modelling with high frequency data - Risk analysis and credit trading - Derivatives pricing models - Special Session: Weather derivatives Official Sponsors: - Applied Econometrics Association - Elseware - Financial News - IFS - Liffe - Liverpool Business School - University of Cambridge - Wiley & Sons ====================================================== FORECASTING FINANCIAL MARKETS/COMPUTATIONAL FINANCE JOINT CONFERENCE PROGRAMME Day 1: Wednesday 31 May 2000 08:00 Registration & Coffee 08:45 Opening Address SESSION 1 � MARKET DYNAMICS AND INVESTMENT STRATEGIES 09:00 Invited Speaker: H. Pesaran (University of Cambridge), Real Time Modelling in Finance. 09:35 EUR/USD Exchange Rate: A Monthly Econometric Model for Forecasting, D. Sartore et al., University Ca� Foscari, Venice. 10:00 What Exactly Should We Be Optimising? Criterion Risk in Multi-Component and Multi-Model Forecasting, A. N. Burgess, London Business School. 10:25 Poster Preview, Exhibits and Coffee 10:45 Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets, A. Lunde et al., Aalborg University. 11:10 Covariance and Correlation in International Equity Returns: A Value-at-Risk Approach, R. Campbell et al., Erasmus University, Rotterdam. 11:35 A Real Options Approach to Hedge Fund Valuation, J. Moody , Oregon Graduate Institute, Portland. 12:00 Lunch, Exhibits and Poster Session 1 TUTORIAL SESSION (Additional registration fee applies) 14:30 Tutorial 1: VaR: Volatility, Extremes and Correlation, A. McNeil (Swiss Federal Technical University, Zurich). 15:45 Posters, Exhibits and Tea 16:15 Tutorial 2: Data Mining in Finance, V. Dhar (Stern School of Business, New York.) 17:30 Close of session SPECIAL SESSION ON WEATHER DERIVATIVES 14:30 The Use of Weather Derivatives in the Financial and Insurance Markets, R. Douglas, WIRE Ltd., Brighton. 14:40 Weather Derivatives � Basic Pricing Strategies, D. Toulson, Intelligent Financial Systems Limited, London. 14:55 Weather Data for Derivative Trading, M. Gibbs, The Met Office, Bracknell. 15:20 Weather Derivatives - Strategy for Cracking the Corporate Market, S. Harry, Willis Corroon Ltd., London. 15:45 Posters, Exhibits and Tea 16:15 Is Over-analysis Killing the Weather Market? R. McIntyre, R. Preston, Speedwell Weather Derivatives, London. 16:40 Value at Risk for Weather Derivatives Portfolios, Peter Brewer, Weather Risk Advisory, Cambridge. 17:05 Panel Discussion � Alternative Risk Transfer: Insurance meets Finance. 17:35 Close of session Day 2: Thursday 1 June 2000 08:30 Coffee PARALLEL SESSION 2 TRADING STRATEGIES 09:00 21 Methodologies to Beat the Market, G. T. Albanis et al., City University Business School, London. 09:25 Optimising Trading Strategies Using Multi-Action Reinforcement Learning, N. Towers et al, London Business School. 09:50 FXYI2: An FX Investing Index, M. Levitt, High Frequency Finance, Sunnyvale, California. 10:15 Poster Preview, Exhibits and Coffee FX MARKETS 10:45 Nonlinearities Are Simulatneously Present in the Conditional Mean and Variance of Financial Data: Application to High Frequency Exchange Rates, G. Dufr�not et al., Paris 12 University and GREQAM, Marseille. 11:10 Structural Change and Long Memory in Volatility, M. Beine et al., Lille 2 University and SES, MRW, Belgium. 11:35 Intraday Technical Trading in the Foreign Exchange Market, M. Neely et al., Federal Reserve Bank of St. Louis. 12:00 Lunch, Exhibits and Poster Session 2 PARALLEL SESSION 3 ESTIMATING PROBABILITY DENSITIES 9:00 Recovering the Density Function of Asset Prices Using GARCH as Diffusion Approximations, F. Fornari et al., Bank of Italy and University of Cambridge. 9:25 Testing the Stability of Implied Probability Density Functions, R. R. Bliss et al., Federal Reserve Bank of Chicago. 9:50 Density Estimation through Quasi-Analytic Monte-Carlo Simulation: Option Pricing Bounds under Fixed and Proportional Transaction Costs, N. K. Chidambaran, Stern School of Business, New York. 10:15 Poster Preview, Exhibits and Coffee CREDIT RISK ANALYSIS 10:45 Credit Contagion: Pricing Cross-Country Risk in Brady Debt Markets, M. Avellaneda et al., New York University. 11:10 A New Approach to Corporate Loan Default Prediction from Financial Statements, A. Fan et al., University of Melbourne. 11:35 An Equity-Based Neural Network Loan Default Prediction Model, A. Atiya et al., Caltech, Pasadena, California. 12:00 Lunch, Exhibits and Poster Session 2 PARALLEL SESSION 4 DERIVATIVE PRICING 14:30 Jump-Diffusion Processes: Volatility Smile Fitting and Numerical Methods for Pricing, L. Andersen et al., General Re Financial Products, London. 14:55 Error Bounds on Tree Methods for Calculating Options Prices, D. Basterfield, Oregon Graduate Institute, Portland. 15:20 Fourth Order Finite Difference Method, A. Mayo, IBM, T. J. Watson Research Center. 15:45 Posters, Exhibits and Tea TERM STRUCTURE MODELS 16:15 Bootstrap Results from State Space Form Representation of the HJM Model, R. Bhar et al., University of Technology, Sydney. 16:40 Specification Testing of Univariate Continuous-Time Interest Rate Models, R. G. Fl�res et al., EPGE/FGV, Rio de Janeiro. 17:05 Nonparametric Modelling of Parametric Short Term Interest Rate Models, F. Altissimo et al., Bank of Italy, Rome. 17:30 Close of session PARALLEL SESSION 5 CONTROLLING DOWNSIDE RISK 14:30 Building a Mean Downside Risk Portfolio Frontier, G. M. de Athayde, EPGE/FGV, Rio de Janeiro. 14:55 Implementing Dynamic Investment Strategies with Downside Risk, M. Persson, Lund University, Sweden. 15:20 Portfolio Optimization in a Downside Risk Framework, R. Bramante et al., Universit� Cattolica del Sacro Cuore, Milan. 15:45 Posters, Exhibits and Tea VOLATILITY AND CORRELATION MODELLING 16:15 The Jumping Interest Rate: Testing, Modeling and Forecasting, R. D. de O. Brito et al., EPGE/FGV, Rio de Janeiro. 16:40 The Arrival of Public Information and Volatility Persistence in Financial Markets, G. Janssen, University of Leuven, Belgium. 17:05 Forecasting FX Volatility Using Canonical Variate Analysis, B. Pilgram et al., University of Western Australia. 17:30 Close of session Day 3: Friday 2 June 2000 08:30 Coffee PARALLEL SESSION 6 ASSET PRICING MODELS 09:00 Factor Representing Portfolios in Large Asset Markets, E. Sentana, CEMFI, Madrid. 09:25 The 3-CAPM: Theoretical Foundations and a Comparison of Asset Pricing Models, E. Jurczenko et al., Paris 1 University. 09:50 Should International Investors Rely on Asset Pricing Models? A Bayesian Perspective, F. Fornari et al., University of Cambridge. 10:15 Poster Preview, Exhibits and Coffee STRESS TESTING VALUE-AT-RISK 10:45 Value-at-Risk under Non-normality and Non-linearity, I. Mauleon, Universidad Rey Juan Carlos I, Madrid. 11:10 Stress Testing Portfolio Value-at-Risk, F. Bourgoin, Barclays Global Investors, London. 11:35 VaR-based Asset Allocation using Neural Networks, N. Chapados et al., Universit� de Montr�al. 12:00 Lunch, Exhibits and Poster Session 3 PARALLEL SESSION 7 ADVANCED PORTFOLIO ALLOCATION 09:00 Portfolio Selection Based on the Multivariate Skew Normal Distribution, C. J. Adcock et al., University of Bath. 09:25 Multi-Level Risk-Controlled Sector Optimisation, R. D�Vari et al, State Street Research and Management, Boston. 09:50 Optimal Benchmark Tracking with Small Portfolios, R. Jansen et al, ING Investment Management, The Hague. 10:15 Poster Preview, Exhibits and Coffee ADVANCED FORECASTING METHODS 10:45 A Financial Stock Index Trend Prediction Approach with Temporal Considerations, G. Banavas et al, University of Plymouth. 11:10 Nonlinear Estimation for Linear Prediction, M. Saffell et al., Oregon Graduate Institute, Portland. 11:35 Improved Neural Network Forecasting by Optimal State Space Reconstruction, H.-G, Zimmermann et al., Siemens, Munich. 12:00 Lunch, Exhibits and Poster Session 3 SESSION 8 � VOLATILITY, RISK AND ASSET MANAGEMENT 14:00 Invited Speaker: M. Dempster (Judge Institute, Cambridge), Dynamic Model-Based Asset Liability Management. 14:35 Scenario-Based Valuation of Credit Event-Linked Securities, K. Giesecke, Humboldt University, Berlin. 15:00 Value-at-Risk with Heavy-Tailed Risk Factors, P. Glasserman et al., Columbia University, New York. 15:25 Posters, Exhibits and Tea 15:50 FX Volatility Forecasts and the Informational Content of Market Data for Volatility, C. Dunis et al., Liverpool Business School. 16:15 Extreme Values and Time Series: Application to Risk Management, S. Avouyi-Dovi et al., Banque de France, Paris. 16:40 Invited Speaker: F. Diebold (Stern School of Business, New York), The Distribution of Stock Return Volatility. 17:15 End of Conference Poster Session 1 (Wednesday) - Derivatives Pricing, Portfolio Management, Asset Allocation and Volatility Risk-Neutral Pricing of Credit Derivatives, M. Jost et al. (WEDIT Deloitte and Touche, Dusseldorf); Methods of Symbolic Dynamics in Options Trading, P. Tito et al. (Austrian Research Institute for Artificial Intelligence); An Icosahedral Lattice Method for Three-Factor Models, L. A. McCarthy et al. (University of New South Wales); Index Tracking, J. E. Beasley et al. (Imperial College, London); Risk Characteristics of Actively Managed Market Neutral Portfolios, M. Lundin et al. (Fortis Investment Management); Risk-Averse Asset Allocation Using Reinforcement Learning, R. Neunier et al. (Siemens); Nonparametric Specification Tests for Conditional Duration Models, M. Fernandes (European University Institute); Predicting High Performance Stocks Using Dimensionality Reduction Techniques Based on Neural Networks, G. T. Albanis et al. (City University Business School, London); Estimation Methods in Generalized Long Memory Processes, L. Ferrara et al. (Paris 13 University); Modeling Realized Volatility, R. Oomen (European University Institute); Long-Run Volatility Dependencies in Intraday Data and Mixture of Normal Distributions, A. Boubel et al. (Evry University); Volatility Estimation Using High, Low and Close Data - A Maximum Likelihood Approach, M. Magdon-Ismail et al. (RPI, New York); Volatility Models and Time-Varying Parameters, J. del Hoyo et al. (Universidad Autonoma, Madrid); Using White's Reality Check with GARCH Models, L. Souza et al. (University of Warwick); Modeling Outliers and Extreme Observations for ARMA-GARCH Processes, P. Verhoven et al. (Curtin University of Technology). Poster Session 2 (Thursday) - Option Pricing, Trading Strategies and Risk Measurement The Valuation of Point Barrier Options in a Path Integral Framework, C. Chiarella et al. (University of Technology, Sydney); A Neural Network-Based Approach to Extracting Risk-Neutral Densities and to Derivative Pricing, C. Schittenkopf (Austrian Research Institute for AI); Short Term Interest Rate Option Pricing: An Empirical Analysis of the Relative Accuracy of Implied Volatilities Across Contracts, G. Cifarelli (University of Brescia); The Quality of Option Price Forecasts: A Dynamic Approach, G. Capelle-Blancard et al. (Paris 1 University); Exploiting Computational Intelligence Techniques within a Framework for Statistical Arbitrage, A. N. Burgess (London Business School); Anomalous Scaling in a Stock Market Model with Endogenous Trading Activity Dynamics, G. Iori, (University of Essex); Expected Utility Maximization and Time Diversification, B. Hannson et al. (Lund University); Profitability and Market Stability in the Presence of a Technical Trading Rule, D. Goldbaum (State University of New Jersey); Extreme Value Theory for Tail-Related Risk Measures, E. Kellezi et al. (University of Geneva); Measuring DAX Market Risk: A Neural Network Volatility Mixture Approach, K. Bartlmae et al. (DaimlerChrysler AG); (Un)Conditionality and Risk Forecasting, J. Danielsson (London School of Economics); Comparing Different Methods for Estimating Value-At-Risk for Nonlinear Real Portfolios, M. Coronado (Universidad P. Comillas, Madrid); An Efficient and Feasible VaR Method for Highly Nonlinear Securities, L. Iversen et al. (BG Bank, Copenhagen); Specific Simulation Based on Default Intensities for Risk Measurement of Credit Portfolios, M. Benfaida (DaimlerChrysler AG); Modeling Liquidity Risk in A Monetary Policy Environment, C. Caglio et al. (Universit� Bocconi, Milan). Poster Session 3 (Friday) - Forecasting, Market Analysis and Volatility Combining Heterogenous Classifiers for Stock Selection, G. T. Albanis et al. (City University Business School, London); Optimizing Forecasting Models for Trading Using Meta-Parameters, N. Towers et al. (London Business School); Dynamical Deseasonalization in OTC and Localized Exchange-Traded Markets, W. Breymann et al. (Olsen and Associates, Z�rich); On Out-of-Sample Statistics for Time Series, F. Gingras et al. (Universit� de Montr�al); Asymmetries as a New Explanation for the Forward Premium Puzzle, J. Coakley et al. (London Guildhall University); High Frequency Data in Financial Markets - An Academic Review, B. Roche, (University of Bruxelles); The Stable Paretian Hypothesis and The Asian Currency Crisis, D. Basterfield et al. (Oregon Graduate Institute); Chile's Downward-Sloping Term Structure of Interest Rates: a Non-Parametric View, V. Fernandez (Catholic University of Chile); Comparing Data-Driven Spot and Integrated Volatility Estimators with Different Sampling Frequencies and the Design of Optimal Filters, E. Andreou et al. (University of Manchester); GARCH, Implied Volatilities and Implied Distributions: An Evaluation for Forecasting Purposes, J. Aguilar (Sveriges Riskbank, Stockholm); Multivariate GARCH with Nonparametric Conditional Correlations, C. Huse et al. (EPGE, Rio de Janeiro); On the Relevance of Modeling Volatility for Pricing Purposes, M. Moreno (Universitat Pompeu Fabra, Barcelona); A Volatility Forecasting Model Based upon the Least Common Action Principle, G. Chernizer (CVTM Inc., New York); The Bed Spread Common Volatility, Volatility Spillovers, Price Discovery and Implications for Trading Strategies, B. Campbell et al. (Concordia University, Montr�al); Revisiting the Finite Mixture of Gaussian Distributions in Futures Markets, T. An� et al. (Paris 9 University). Conference Venue: The Harrington Centre Harrington Hall 5-25 Harrington Gardens London SW7 4JW Registration Fees: Standard delegate fee: GBP 600. Academics are entitled to a 50% discount (letter on university letterhead required). The fee includes all refreshments and lunches. Additional fee for tutorials: GBP 100. Please note that payment must be received at least one week before the Conference begins. A conference dinner is organised on Thursday 1 June 2000 for which there will be an additional fee of �25 (please register on site on the first day of the conference). Surname: Institution: Address: E-mail: First name: Telephone: Fax: O I wish to attend the conference O I wish to also attend the tutorials Payment can be made by: * Cheque made payable to INFACTS Ltd., 20-22 Bedford Row, London WC1R 4JS, United Kingdom. * Bank transfer to INFACTS Ltd. Bank Name : BARCLAYS BANK Swift Code : BARCGB22 Address : Knightsbridge International Banking Centre P.O. Box 391, London SW1X 7NT Account No. : 90764655 � Bank Sort Code: 20-47-35 An invoice will be provided upon request. Exhibitors: We have a spacious exhibition room available throughout the Conference. For further information and costs please contact Myl�ne Bazsalicza at Elseware on +331 4458 9340. When completed this form should be returned to: Myl�ne BAZSALICZA, Elseware, 26-28 rue Danielle Casanova, 75002 PARIS.Telephone: +331 4458 9340 Fax: +331 4296 6868 E-mail: [EMAIL PROTECTED] Hotel Accommodation: We recommend that delegates who wish to stay at Harrington Hall for the duration of the Conference book a room as soon as possible as many conferences will be taking place in London during May. For further information on preferential rates available to delegates, please contact Myl�ne Bazsalicza at Elseware on +331 4458 9340. Harrington Hall 5-25 Harrington Gardens London SW7 4JWTel: +44.207.396.9696 Fax: +44.207.396.9090
