Warm and fuzzy conference on Financial Engineering CIFEr'96

Payman Arabshahi 8834870 (payman@maxwell.ee.washington.edu)
Fri, 23 Feb 1996 11:52:38 +0100

Early bird conference registration deadline (March 8) is approaching!


$$$$$$$$$$$$$$$$$$$$$$ $ $ $ CIFEr 1996 $ $ $ $$$$$$$$$$$$$$$$$$$$$$

IEEE/IAFE Computational Intelligence in Financial Engineering

March 24-26 1996 Crowne Plaza Manhattan, New York

Sponsored by

- The Institute of Electrical & Electronic Engineers (IEEE): Neural Networks Council - International Association of Financial Engineering (IAFE)

Contents: - Conference Scope - Sponsors - Conference & Tutorial Fees - Hotel Reservation Information - Technical Program - Tutorial Information - Exhibit Information - Further Information - Program Committee

---------------- Conference Scope ----------------

The IEEE/IAFE CIFEr Conference is the second annual collaboration between the professional engineering and financial communities, and is one of the leading forums for new technologies and applications in the intersection of computational intelligence and financial engineering. Intelligent computational systems have become indispensable in virtually all financial applications, from portfolio selection to proprietary trading to risk management.

-------- Sponsors --------

Sponsorship for the CIFEr Conference is being provided by the IAFE (International Association of Financial Engineers) and the IEEE Neural Networks Council. The IEEE (Institute of Electrical and Electronics Engineers) is the world's largest engineering and computer science professional non-profit association and sponsors hundreds of technical conferences and publications annually. The IAFE is a professional non-profit financial association with members worldwide specializing in new financial product design, derivative structures, risk management strategies, arbitrage techniques, and application of computational techniques to finance.

---------------------------- CONFERENCE AND TUTORIAL FEES ---------------------------- REGISTRATION FEES EARLY BIRD CONFERENCE REGISTRATION THROUGH MARCH 8, 1996 IEEE & IAFE MEMBERS ............................ $400 NON-MEMBERS .................................... $550 FULL-TIME STUDENTS* ............................ $190 KEYNOTE SPEECH LUNCHEON MEAL TICKET (Monday, March 25) ........................ $ 10 AFTER MARCH 8, 1996 IEEE & IAFE MEMBERS ............................ $450 NON-MEMBERS .................................... $600 FULL-TIME STUDENTS* ............................ $240 KEYNOTE SPEECH LUNCHEON MEAL TICKET (Monday, March 25) ........................ $ 30 *Students must submit evidence of full-time enrollment on University letterhead. Conference registration fee includes refreshments, the cocktail reception (on Sunday, March 24 at 5:15 P.M.) and the conference proceedings. Be sure to attend the keynote speech luncheon. You may send a check or money order for your registration fee, or pay by credit card. Please make your check payable to "IEEE & IAFE CIFEr '96 Conference" and print the attendee(s) name(s) on the face of the check.

-------------------------------- CIFEr TUTORIAL REGISTRATION FEES --------------------------------

Tutorial Registration includes one morning and one afternoon tutorial. Tutorial registration fee includes refreshments, the cocktail reception (on Sunday, March 24 at 5:15 P.M.) and a copy of the tutorial presentation.


IEEE & IAFE MEMBERS .............................. $350 NON-MEMBERS ...................................... $400 FULL-TIME STUDENTS ............................... $175


IEEE & IAFE MEMBERS .............................. $400 NON-MEMBERS ...................................... $500 FULL-TIME STUDENTS ............................... $200

--------------------------------------------- HOTEL RESERVATION FORM CIFEr '96, MARCH 24-26 ---------------------------------------------

Please reserve before the MARCH 1, 1996 DEADLINE. After March 1st rooms are subject to availability.

Mail to: Crowne Plaza Manhattan, Reservations Dept. 1605 Broadway New York, N.Y. 10019

Phone: Res. (212) 977-4000 or (800) 243-6969; Fax: (212) 333-7393

Arrival Date __________ Arrival Time* __________ Departure Time __________






Telephone ( )_________________________

*Reservations subject to cancellation after 4 P.M. unless held by one night's deposit or credit card guarantee. Check-in time is 3:00 pm. Check-out time is 12:00 Noon. Reservations must include a first night's depositplus 13.25% State and City Taxes and $2.00 per night Occupancy Tax.

Indicate Accommodations:

Hotel Level Club Level Room Type Request ___ Single - $155 ___ Single - $180 ___King ___ Double - $155 ___ Double - $180 ___Double/Double

Sharing Room With:_________________________________________

Check if Handicapped Accommodations required: ___

Credit Card: VISA ___ MC ___ AMEX ___ DISCOVER ___ DINER CLUB ___


Exp. Date __________

Authorized Signature _______________________________________

___ One night deposit enclosed: $___________

Make check payable and mail to "The Crowne Plaza Manhattan"

----------------------------- CIFEr CONFERENCE REGISTRATION -----------------------------

Last Name _______________________________________________

First Name/Middle _______________________________________

__ IAFE __ IEEE Membership

#____________________________(Must be included for discount)

Mailing Address ____________________________________________


City _________________________________ State _______________

ZIP ___________ Country _____________________________


Telephone - Office ( )_____________________ - Fax ( ) _____________________


Name ___________________________________________

Affiliation ____________________________________

City/State _________________

CONFERENCE REGISTRATION FEES ENCLOSED: (Includes one set of Proceedings)

Before Mar. 8, 1996 After March 8, 1996

IEEE/IAFE Member __ $400 __ $450

Non Members __ $550 __ $600

*Students __ $190 __ $240

*(Students must include letter from Department Head stating full-time student status)

MAIL TO: CIFEr Conference Office Tel. (800) 321-6338 2603 Main Street, Suite 600 Tel. (714) 752-8205 Irvine, CA 92714 USA Fax (714) 752-7444

-------------------------- TUTORIAL REGISTRATION FEES --------------------------

Tutorial will be held on Sunday, March 24. Tutorials may be canceled for insufficient number of registrants. Registration will be on a first-come, first-served basis.

Through March 8 After March 8

IEEE & IAFE MEMBERS __ $350 __ $400

NON-MEMBERS __ $400 __ $450

FULL-TIME STUDENTS __ $175 __ $200

TUTORIAL SELECTION Please indicate tutorials #'s

Tutorial # Alternative Selection

A.M. Tutorial __________ ___________

P. M. Tutorial __________ ___________



TUTORIAL FEES $ __________




Check # ____________________ Amount $_________________

Credit Card: VISA _____ MC _____ AMEX _____

Credit Card Number __________________________________

Exp. Date ___________________________________________

Authorized Signature _________________________________



--------------- PROGRAM OUTLINE ---------------

SUNDAY, MARCH 24 ----------------

8:00-9:30 AM Tutorial Registration

8:30 AM-12:30 PM Optional Tutorials:

1) Tutorial E1 (Engineering Track) -

"Robust Statistical Methods for Analyzing and Modeling Financial Data" - R. Douglas Martin, University of Washington 2) Tutorial F1 (Finance Track) -

"Exotic Options" - Peter Zhang, Chemical Bank

3) Tutorial F2 (Finance Track) -

"Term Structure Modeling" - Richard H. Stanton, University of California, Berkeley

10:30-10:45 AM Tutorials Refreshment Break

12:30-1:30 PM Lunch on Own

1:30-5:30 PM Optional Tutorials:

1) Tutorial F3 (Finance Track) -

"Risk Management" - Jan W. Dash, Global Risk Management, Smith Barney

2) Tutorial E2 (Engineering Track) - "Data-Driven Methods for Modeling Nonlinear Financial Time Series" - Bonnie K. Ray, New Jersey Institute of Technology

3) Tutorial E3 (Engineering Track) -

"Neural Networks, Genetic Algorithms and Case-Based Reasoning for Financial Engineering Applications" - Roy S. Freedman, Inductive Solutions, Inc.

3:00-6:00 PM CIFEr'96 Conference Registration

5:15-6:15 PM CIFEr'96 Reception


MONDAY, MARCH 25 ----------------

6:30 AM-5:00 PM Conference Registration


7:45-8:00 AM CIFEr WELCOME - General Session

8:00-9:30 AM #1: SPLIT SESSIONS:

1) ENGINEERING TRACK: "Financial Computing Environments" - Session Chair: Patrick Jaillet 2) FINANCE TRACK: "Simulation Techniques for Derivatives Pricing" - Session Chair: Erik Ordentlich

9:30-10:00 AM Refreshment Break

10:00-11:30 AM #2: SPLIT SESSIONS:

1) ENGINEERING TRACK: "Market Behavior Models" - Session Chair: Sam Leven 2) FINANCE TRACK: "Financial Time Series Prediction I" - Session Chair: Hillol Kargupta


12:00-1:30 PM LUNCHEON

1:30-2:30 PM #3: FINANCE KEYNOTE SPEECH - Professor Stephen Figlewski - "Finance, Engineering, and Financial Engineering" 2:30-3:30 PM POSTER SESSION IN EXHIBIT HALL

3:30-5:00 PM #4: SPLIT SESSIONS:

1) ENGINEERING TRACK: "Chaos and Time Series for Financial Systems" Session Chair: Paul Werbos

2) FINANCE TRACK: "Financial Market Volatility" - Session Chair: Alan Tucker


TUESDAY, MARCH 26 -----------------


8:00-9:30 AM #5: ENGINEERING KEYNOTE SPEECH - John M. Mulvey - "Solving Robust Optimization Models in Finance" & PANEL DISCUSSION


10:15-11:45 AM #6: SPLIT SESSIONS:

1) ENGINEERING TRACK: "Neural Nets for Financial Applications" - Session Chair: Yuval Lirov

2) FINANCE TRACK: "Financial Time Series Prediction II" - Session Chair: Maloje Makivic


1:30-3:00 PM #7: SPLIT SESSIONS:

1) ENGINEERING TRACK: "Fuzzy Logic for Financial Applications" - Session Chair: Yuval Lirov

2) FINANCE TRACK: "Term Structure Modeling" - Session Chair: David Vaccari


3:30-5:00 PM #8: SPLIT SESSIONS:

1) ENGINEERING TRACK: "Financial Data Mining" - Session Chair: Mohamed Hambaba

2) FINANCE TRACK: "Business Decision Tools" - Session Chair: Alan Tucker

IEEE/IAFE 1996 $$$$$$$$$$$ $$$$$$ $$$$$$$$$$$ $$$$$$$$$$ $$$$$$$$$$$ $$$$$$ $$$$$$$$$$$ $$$$$$$$$$ $$$$ $$ $$$$ $$$$ $$$ $$$ $$$$ $$$$ $$$$$$$ $$$$$$ $$$$$$$$$$ $$$$ $$$$ $$$$$$$ $$$$$$ $$$$$$$$$$ $$$$ $$ $$$$ $$$$ $$$ $$$ $$$ $$$$$$$$$$$ $$$$$$ $$$$ $$$$$$$$$$ $$$ $$$$$$$$$$$ $$$$$$ $$$$ $$$$$$$$$$ $$$ http://www.ieee.org/nnc/conferences/cfp/cifer96.html ------------------ ORAL PRESENTATIONS ------------------

Financial Computing Environments --------------------------------

"New Computational Architectures for Pricing Derivatives" R. Freedman, R. DiGiorgio

"CAFE: A Complex Adaptive Financial Environment" R. Even, B. Mishra

"Financial Trading Center at the University of Texas" P. Jaillet

Market Behavior Models ----------------------

"Neural Networks Prediction of Multivariate Financial Time Series: The Swiss Bond Case" T. Ankenbrand, M. Tomassini

"Bridging the Gap Between Nonlinearity Tests and the Efficient Market Hypothesis by Genetic Programming" S. Chen, C. Yeh

"Models of Market Behavior: Bringing Realistic Games to Market" S. Leven

Chaos and Time Series for Financial Systems -------------------------------------------

"Impetus for Future Growth in the Globalization of Stock Investments: An Evidence from Joint Time Series and Chaos Analyses" M. Hoque

"Finding Time Series Among the Chaos: Stochastics, Deseasonalization, and Texture-Detection using Neural Nets" P. Werbos

"Financial Time Series Analysis and Forecasting Using Computer Simulation and Methods of Nonlinear Adaptive Control of Chaotic Systems" A. Fradhov, S. Fradhov, A. Markov, D. Oliva

Neural Nets for Financial Applications --------------------------------------

"Experiments in Predicting the German Stock Index DAX with Density Estimating Neural Networks" D. Ormoneit, R. Neuneier

"Stock Market Prediction Using Different Neural Network Classification Architectures" C. Dagli, K. Schierholt

"Modelling Stock Return Sensitivities to Economic Factors with the Kalman Filter and Neural Networks" Y. Bentz, L. Boone, J. Connor

Fuzzy Logic for Financial Applications --------------------------------------

"Computer Supported Determination of Bank Credit Conditions" S. Schwarze

"Fuzzy Logic and Genetic Algorithms for Financial Risk Management" T. Rubinson, R. Yager

"Foreign Exchange Rate Prediction by Fuzzy Inferencing on Deterministic Chaos" S. Ghoshray

Financial Data Mining ---------------------

"Stock Selection Combining Rule Generation and Risk/Reward Portfolio Optimization" C. Apte, S. Hong, A. King

"Data Driven Risk Management System" R. Grossman

"Intelligent Hybrid System for Data Mining" M. Hambaba

Simulation Techniques for Derivatives Pricing ---------------------------------------------

"Path Integral Monte Carlo Method and Maximum Entropy: A Complete Solution for the Derivative Valuation Problem" M. Makivic

Problems with Monte Carlo Simulation in the Pricing of Contingent Claims" J. Molle, F. Zapatero

"Faster Simulation of the Prices of Derivative Securities" S. Paskov

Financial Time Series Prediction I ----------------------------------

"Automated Mathematical Modelling for Financial Time Series Prediction Using Fuzzy Logic, Dynamical Systems and Fractal Theory" O. Castillo, P. Melin

"Max-Min Optimal Investing" E. Ordentlich, T. Cover

"Building Long/Short Portfolios Using Rule Induction" G. John, P. Miller

Financial Time Series Prediction II -----------------------------------

"Adaptive Rival Penalized Competitive Learning and Combined Linear Predictor with Application to Financial Investment" Y. Cheung, Z. Lai, L. Xu

"A Rule-based Neural Stock Trading Decision Support System" S. Chou, C. Chen, C. Yang, F. Lai

"The Gene Expression Messy Genetic Algorithm for Financial Applications" H. Kargupta, K. Buescher

Term Structure Modeling -----------------------

"Analysing Shocks on the Interest Rates Structure with Kohonen Map" M. Cottrell, E. De Bodt, P. Gregoire, E. Henrion

"Interest Rate Futures: Estimation of Volatility Parameters in an Arbitrage-Free Framework" R. Bhar, C. Chiarella

"Prediction of Individual Bond Prices Via the TDM Model" T. Kariya, H. Tsuda

Financial Market Volatility ---------------------------

"Robust Estimation Analytics for Financial Risk Management" H. Green, R. Martin, M. Pearson

"Implied Volatility Functions: Empirical Tests" B. Dumas, J. Fleming, R. Whaley

"Evaluation of Common Models Used in the Estimation of Historical Volatility" J. Dalle Molle

Business Decision Tools -----------------------

"Fuzzy Queries for Top-Management Succession Planning" T. Sutter, M. Schroder, R. Kruse, J. Gebhardt

"Density Based Clustering and Radial Basis Function Modeling to Generate Credit Card Fraud Scores" V. Hanagandi, A. Dhar, K. Buescher

"Nonlinear Analysis of Retail Performance" D. Vaccari

-------------------- POSTER PRESENTATIONS --------------------

"Fuzzy Set Methods for Uncertainty Representation in Risky Financial Decisions" R. Yager

"Trading Mechanisms and Return Volatility: Empirical Investigation on Shang Hai Stock Exchange Based on a Neural Network Model" Z. Lai, Y. Chuang, L. Xu

"Application of Fuzzy Regression Models to Predict Exchange Rates for Composite Currencies" S. Ghoshray

"Risk Management in an Uncertain Environment by Fuzzy Statistical Methods" S. Ghoshray

"Heuristic Techniques in Tax Structuring for Multinationals" D. Fatouros, G. Salkin, N. Christofides

"MLP and Fuzzy Approaches to Prediction of the SEC's Investigative Targets" E. Feroz, T. Kwon

"A Corporate Solvency Map Through Self-Organizing Neural Networks" Y. Alici

"The Applicability of Information Criteria for Neural Network Architecture Selection" C. Haefke, C. Helmenstein

"Stock Prediction Using Different Neural Network Classification Architectures" C. Dagli, K. Schierholt

IEEE/IAFE 1996 $$$$$$$$$$$ $$$$$$ $$$$$$$$$$$ $$$$$$$$$$ $$$$$$$$$$$ $$$$$$ $$$$$$$$$$$ $$$$$$$$$$ $$$$ $$ $$$$ $$$$ $$$ $$$ $$$$ $$$$ $$$$$$$ $$$$$$ $$$$$$$$$$ $$$$ $$$$ $$$$$$$ $$$$$$ $$$$$$$$$$ $$$$ $$ $$$$ $$$$ $$$ $$$ $$$ $$$$$$$$$$$ $$$$$$ $$$$ $$$$$$$$$$ $$$ $$$$$$$$$$$ $$$$$$ $$$$ $$$$$$$$$$ $$$ http://www.ieee.org/nnc/conferences/cfp/cifer96.html

--------- TUTORIALS ---------

Sunday, March 24

There are two tracks for the tutorials. Both the Engineering Track and the Finance Track offer three choices each of 4-hour presentations. Participants should select one morning tutorial and one afternoon tutorial, as the tutorial registration fee covers the full day (two tutorials). Tutorials will be held from 8:30 AM to 5:30 PM on Sunday, March 24th at the Crowne Plaza Manhattan. Registration is on a first-come, first-served basis for tutorial selection, so send your registration form in as soon as possible.

ENGINEERING TRACK TUTORIALS ---------------------------

E-1 - Robust Statistical Methods for Analyzing and Modeling Financial Data

8:30 am-12:30 pm R. Douglas Martin, Professor Department of Statistics University of Washington The tutorial shows how and why the classical statistical methods underlying financial analysis and modeling, such as the sample standard deviation, the sample correlation coefficient and linear regression methods, are non-robust toward outliers and sometimes give misleading or useless results. Basic theoretical foundations of robust statistical methods are outlined, and robust alternatives to the classical methods are introduced and illustrated in the context of important financial data applications, such as volatility and risk metric calculations.


E-2 - Data-Driven Methods for Non-Linear Time Series Modeling: Multivariate Adaptive Regression Splines (MARS) and Autoregressive Modular (ARM)

1:30-5:30 pm Bonnie K. Ray, Professor Department of Mathematics and Center for Applied Math and Statistics New Jersey Institute of Technology

This two-part tutorial covers in detail two new classes of computationally intensive algorithms for modeling nonlinear time series. The first part covers the application of Multivariate Adaptive Regression Splines (MARS) to model univariate nonlinear time series having threshold autoregressive behavior. Extensions will then be presented to Semi-Multivariate Adaptive Spline Threshold Autoregressive (SMASTAR) models. The second part presents the class of Autoregressive Modular (ARM) models and will concentrate on the special case of Transform-Expand-Sample (TES) processes.


E-3 - Neural Networks, Genetic Algorithms and Case-Based Reasoning for Financial Engineering Applications 1:30-5:30 pm Dr. Roy S. Freedman President Inductive Solutions, Inc.

This tutorial shows how these quantitative techniques are used in practice, with topics covered including: 1) Comparing linear, nonlinear, and time-varying regression to neural networks, 2) Using neural network techniques to adaptively learn how to price options, 3) Using genetic algorithms in portfolio optimization problems, 4) Designing derivative securities with genetic algorithms, 5) The news on news: how case-based expert systems integrate subjective knowledge into fundamental models.

FINANCE TRACK TUTORIALS -----------------------

F-1 - Exotic Options

8:30AM-12:30 pm Peter Zhang Vice President Chemical Bank This tutorial examines the valuation, use and hedging of second-generation option products including various types of path-dependent options, correlation options, compound options, digitals, deferred-start options, and others. The tutorial illustrates how exotic options are employed to create structured note products like corridor bonds. Issues like multiple and exploding greeks are addressed, as well as correlation risk. Hedging techniques like mirror imaging/ static replication and ramp building are examined.


F-2 - Term Structure Modeling 8:30 am -12:30 pm Richard H. Stanton Assistant Professor Haas School of Business University of California - Berkeley

This tutorial details the development, parameterization and implementation of equilibrium and no-arbitrage style term structure models. Single and multi-factor models are examined. Issues covered include duration and convexity measurement and the valuation of various forms of interest-rate derivatives including pure discount bonds, bond options, caps, and the like.


F-3 - Risk Management

1:30-5:30 pm Jan W. Dash, Ph.D. Director Quantitative Analysis Global Risk Management Smith Barney This tutorial will cover 1) characterization of risks in finance: market risk (interest rates, FX rates, equity indices, spreads), trading risk, systems risk (software, hardware, vendors), model risk, and 2) quantitative measurement of risk: the Greeks (Delta, Gamma, Vega), the partial Greeks (Ladders), the new Greeks (Exotics), dollars at risk (n-Sigma analysis), correlations, static scenario analysis, dynamic scenario analysis, Monte Carlo risk analysis, beginnings of risk standards, DPG, Risk Metrics, and 3) case study of risk: the Viacom CVR Options and 4) pricing and hedging for interest rate derivatives.

------------------- EXHIBIT INFORMATION -------------------

Businesses with activities related to financial engineering, including software & hardware vendors, publishers and academic institutions, are invited to participate in CIFEr's exhibits. Further information about the exhibits can be obtained from the CIFEr-secretariat, Barbara Klemm. (1-800-321-MEET)

------------------- FURTHER INFORMATION -------------------

CIFEr Secretariat:

Meeting Management IEEE/IAFE Computational Intelligence for Financial Engineering 2603 Main Street, Suite #690 Irvine, California 92714

Tel: (714) 752-8205 or (800) 321-6338 Fax: (714) 752-7444 Email: Meetingmgt@aol.com

-------------------- ORGANIZING COMMITTEE --------------------

Conference Committee General Co-chairs:

John Marshall, Professor of Financial Engineering Polytechnic University, New York, NY

Robert Marks, Professor of Electrical Engineering, University of Washington, Seattle, WA Program Committee Co-chairs:

Benjamin Melamed, Ph.D., Research Scientist RUTCOR-Rutgers University's Center for Operations Research Alan Tucker, Associate Professor of Finance Pace University, New York, NY

International Liaison:

Arnold Jang, Vice President, Intelligent Trading Systems Springfields Investments Advisory Company, Taipei, Taiwan

Organizational Chair:

Robert Golan, President Rough Knowledge Discovery Inc.

Finance Chair:

Ingrid Marshall, Accountant Marshall & Marshall, Stroudsburg, PA

Exhibits Chair:

Steve Piche, Lead Scientist Pavillion Inc, Austin

Program Co-Chair:

Alan Tucker and Benjamin Melamed

Program Committee:

Phelim Boyle, Professor of Accounting University of Waterloo, Waterloo, Ontario

Mark Broadie, Associate Professor of Finance Graduate School of Business Columbia University, New York, NY

Jan Dash, Ph.D, Managing Director Smith Barney, New York, NY

Stephen Figlewski, Professor of Finance New York University, New York, NY

Roy S. Freedman, Ph.D, President Inductive Solutions, Inc, New York, NY

Peter L. Hammer, Professor and Director RUTCOR-Rutgers University's Center for Operations Research, New Brunswick, NJ

Jimmy E. Hilliard, Professor of Finance University of Georgia, Athens, GA

John Hull, Professor of Management University of Toronto, Toronto, Ontario

Yuval Lirov, Ph.D., Vice President Lehman Brothers, Inc, New York, NY

David G. Luenberger, Professor of Electrical Engineering Stanford University, Stanford, CA

John M. Mulvey, Professor and Director Engineering Management Systems Princeton University, Princeton, NJ Jason Z. Wei, Associate Professor of Finance University of Saskatchewan, Saskatoon

Robert E. Whaley, Professor of Business Futures and Options Research Center Duke University, Durham, NC

Publicity Chair

Michael Wolf, General Manager Financial Products, The Mathworks, Inc., Natick, MA

Electronic Publicity Chair

Payman Arabshahi, Assistant Professor of Electrical Engineering University of Alabama in Huntsville, Huntsville

Conference Liaison

Scott Mathews, Senior Associate Marshall, Tucker, and Associates, Edmonds, WA

Payman Arabshahi                        Tel  : (205) 895-6380
Dept. of Electrical & Computer Eng.     Fax  : (205) 895-6803
University of Alabama in Huntsville     payman@ebs330.eb.uah.edu
Huntsville, AL 35899                    http://www.eb.uah.edu/ece