CCFEA 2007 Summer School
New Trends in Computational Finance and Economics
3 - 7 September 2007
printable version | back to main page
Full Programme
Each day comprises of 4/5 sessions with presentations, followed by a practical “hands-on” session in the late afternoon. Between sessions, refreshments will be provided.
Module 1: Heuristic Portfolio Optimization and Risk Management
Module 2: Volatility Models and Volatility Trading
Module 3: E- Market Microstructure and Automated Trading
Module 4: Systemic Risk Models and Simulation
Module 1: Heuristic Portfolio Optimization and Risk Management
3 September 2007
Venue: SSRC Building (off square 2) room 2N2.4.16
9am-9.10am: Welcome
Session 1
9.10 am-10.40 am: Dietmar Maringer (CCFEA,
University of Essex)
"Computational Finance – what is it all about? Topics in Computational
finance – and why we need computational methods" (presentation)
Coffee break
Session 2
11am-12.30pm: Dietmar Maringer (CCFEA, University of
Essex)
"Optimization Problems in Finance and Economics and how to approach them"
(presentation)
Lunch break
Session 3
1.30pm–3pm: Dietmar Maringer (CCFEA, University
of Essex)
"Heuristic Optimization Methods – Basic Ideas and Principles" (presentation)
Coffee break
Session 4
3.15pm-4.45pm: Raphael Dorne
(British Telecom)
"Software for Heuristic Optimization", (presentation)
Break
Session 5
5pm-6.30pm: Hands-on session
Leader: Raphael Dorne
"Experimenting with Heuristic Optimization Software", (presentation)
4 September 2007
Venue: SSRC Building (off square 2) room 2N2.4.16
Session 1
9am-10am:
Dietmar Maringer (CCFEA, University of Essex)
"Operationalizing Portfolio Optimization with Heuristic Methods" (presentation)
Session 2
10am-11am: Dietmar Maringer (CCFEA,
University of Essex)
"Heuristic Methods for Financial Modelling and Estimation" (presentation)
Coffee break
Session 3
11.30am-12.30pm: Sheri Markose (CCFEA, University
of Essex)
"Extreme Economic Value at Risk" (presentation,paper)
Lunch break
Session 4
1.30pm–2.30pm: Laurence Wormald (Deutsche Bank)
"Value at Risk and Linear Factor Risk Modelling" (presentation)
Coffee Break
Session 5
3pm-5pm: Michael Dempster (Cambridge University)
"Institutional and Individual Asset Liability Management"
Break
Session 6
5.15pm -6.30pm: Hands-on session
Leader: Dietmar Maringer
"Applications of Heuristic Optimization Methods for Portfolios" (data
set)
Module 2: Volatility Models and Volatility Trading
5 September 2007
Venue: ESE Building (off square 1) Room 1N1.4.1
Session 1
9am-10.30am: Kyriakos Chourdakis (Fitch)
"Models of Stochastic Volatility and Volatility Trading" (presentation)
Coffee break
Session 2
11am-12.30pm: Amadeo Alentorn (OMAM)
"Constant Horizon Implied Volatility" (presentation)
Lunch break
Session 3
1.45pm–3pm: Wing Lon Ng (Muenster and CCFEA)
"Volatility Modelling with Copulas 1" (presentation)
Coffee break
Session 4
3.30pm–5pm: Wing Lon Ng (Muenster and CCFEA)
"Volatility Modelling with Copulas 2" (presentation)
Break
Session 5
5.15pm-6.30pm: Hands-on session on volatility modelling (to be confirmed)
Module 3: E- Market Microstructure and Automated Trading
6 September 2007
Venue: ESE Building (off square 1) Room 1N1.4.1
Session 1
9am-10.30am: Sheri
Markose (CCFEA, University of Essex)
"Market Micro-structure multi-agent simulator and London SETS Electronic Limit Order Book"
(presentation)
http://www.marketmicrostructure.co.uk/
Coffee break
Session 2
10.45am–12.15pm: Nikolaus Hautsch (Berlin)
"Point Process Models for Financial High-Frequency Data",
presentation
Session 3
12.15pm–12.45pm: Azeem Malik (CCFEA and IDEA
Group)
Demo of the CCFEA SETS Simulator
Lunch break
Session 4
2pm-3.15pm: Edward Tsang (CCFEA, University of
Essex)
"Automated Trading"
Session 5
3.15pm-4.15pm: David Norman (Van der Moolen)
"Trader Psychometrics: The Real Time Assessment of Electronic Trading Behaviour",
presentation
Coffee break
Session 6
4.30pm-5.30pm: Ian Lyall (IDEA Group)
"What is Straight Through processing (STP)?",
presentation
Break
Session 7
5.45pm-6.15pm: Hands-on session
"How to build Agent based Simulators I"
6.15pm-6.45pm: Hands-on session
"Experiments with the CCFEA Simulator for Optimal Order Scheduling on E-LOB"
Leaders: Simone Giansante (CCFEA, University of Essex) and Azeem Malik (CCFEA
and IDEA Group)
Module 4: Systemic Risk Models and Simulation
7 September 2007
Venue: ESE Building (off square 1) Room 1N1.4.1
Session 1
9am-10am: Mardi Dungey (University of Cambridge)
"Detecting and Measuring Contagion: Pitfalls and Progress",
presentation,
paper 1,
paper 2,
paper 3
Session 2
10am-11am: Marco Galbiati (Bank of England)
"A competitive multi-agent model of interbank payment system and future
developments" (paper,
presentation)
Session 3
11am-11.20am: Sheri Markose (CCFEA, University of
Essex)
"A Demo of the CCFEA RTGS With Endogenous Learning" (demo)
Coffee Break
Session 4
11.45am–12.45pm: Neil Burton (IBM)
"Real Time Payment and Settlement Systems : Where is the risk?"
Lunch break
Session 5
2pm-3pm: Steven Simon (Fortis and CCFEA, University of
Essex)
"Systemic Risk and Insurance" (presentation)
Coffee Break
Session 6
3.30pm-4.30pm: Sheri Markose (CCFEA, University of
Essex)
"Modelling Mortgage Backed Securities and Systemic Risk" (presentation)
Break
Session 7
Hands-on session
Leader: Simone Giansante
"How to build Agent based Simulators II Demos with CCFEA Simulators"