DM: Forecasting Financial Markets 2000 conference

FORECASTING FINANCIAL MARKETS: ADVANCES FOR EXCHANGE RATES, INTEREST
RATES AND ASSET MANAGEMENT
Seventh International Conference sponsored by Elseware, IFS Ltd and
LIFFE

FFM2000 will share a Joint Programme with the Computational Finance
Conference CF2000 sponsored by London Business School.

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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 Naïm(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
- 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.
14:55 Weather Data for Derivative Trading, M. Gibbs, The Met Office,
Bracknell.
15:20 Weather Derivatives ­ Basic Pricing Strategies, D. Toulson,
Intelligent Financial Systems Limited, 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 Weather Derivatives - Strategy for Cracking the Corporate Market,
S. Harry, Willis Corroon Ltd., London.
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. Dufrénot 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. Flôres 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., Università 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., Université de Montréal.
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. (Università 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,
Zürich); On Out-of-Sample Statistics for Time Series, F. Gingras et al.
(Université de Montréal); 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, Montréal);
Revisiting the Finite Mixture of Gaussian Distributions in Futures
Markets, T. Ané 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:
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Institution:
Address:

E-mail:
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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 Mylène
Bazsalicza at Elseware on +331 4458 9340.

When completed this form should be returned to: Mylène BAZSALICZA,
Elseware, 26-28 rue Danielle Casanova, 75002 PARIS.Telephone: +331 4458
9340  Fax: +331 4296 6868  E-mail: mylene@elseware.fr

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
Mylène 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

Cancellation Policy: Should a delegate be unable to attend, a substitute
may attend the Conference in his/her place. Notification of cancellation
must  be given in writing by letter or fax. Full refunds  are available
up to 21 days before the Conference, subsequently no refund will be
given.

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