research

Conference Presentations

EEA-ESEM (2008)

At the 63rd European Meeting of the Econometric Society (ESEM) in Milan, Dr Wing Lon Ng presented a paper on "Modelling Dynamic Demand and Supply Curves of Electronic Markets".

International Conference on Computing in Economics and Science (2008)

At the 14th International Conference of the Society for Computational Economics (SCE) on Computing in Economics and Science at the University of Sorbonne in Paris, Dr Wing Lon Ng presented a paper on "High-frequency Index Returns and the Copula Rose".

Computational Management Science (2008)

Dr Nick Constantinou of CCFEA organised and chaired the sessions on Computational Risk Analysis at the 5th International Conference on Computational Management Science held at Imperial College, London (March 2008). The following CCFEA PhD students presented their research at the conference

Anil Khuman: ‘Constant Proportion Portfolio Insurance: Statistical Properties and Practical Implications’

Rafael Fuentes: ‘Volatility and Trading Activity: an RV Estimator’

Evdoxia Pliota: ‘Clustering of Extreme Events: Application of Time a Varying Threshold’ 

All the presentations were well received by the audience leading to stimulating discussions. Congratulations to all the students. CCFEA provides sponsorships for students to present at conferences.

Computational Management Science (2007)

At the 4th International Conference on Computational Management Science, held jointly with Workshop on Computational and Financial Econometrics at Geneva, Dietmar Maringer and his co-authors presented papers on Extreme Value Theory applications for VaR, on Index Tracking and on a new estimation approach for smooth transition autoregressive models.

Intelligent Systems in Accounting, Finance and Management

Dietmar Maringer presented a joint paper with Olufemi Oyewumi on Constrained Index Tracking at the 2006 ISAFM conference in Camridge, UK. In 2007, Philip Saks presented a joint paper with D. Maringer on Genetic Programming for Statistical Arbitrage.

Second International Symposium on Intelligence Computation and Applications (ISICA)

Edward Tsang is to be a Keynote Speaker at the Second International Symposium on Intelligence Computation and Applications in Wuhan, China, 6-8 April 2007.  "Using Constraints to Guide Evolutionary Computation: The Incentive Method and its Application in Finance and Applications".

International Workshop on Nature-Inspired Computation and Applications (IWNICA)

Edward Tsang is an Invited Speaker at the International Workshop on Nature-Inspired Computation and Applications (IWNICA) in Hefei, China, 23-27 October 2006.  "Evolutionary Computation in Finance and Economics".

Sixth IEEE International Conference on Intelligent System Design and Applications (ISDA'06)

Edward Tsang is an Invited Speaker at the Sixth IEEE International Conference on Intelligent System Design and Applications (ISDA'06) in Jinan, China from 16-18 October 2006.  "Wind-Tunnel Testing for Strategy and Market Design".

Computational Statistics 2006

Dietmar Maringer is an Invited Speaker at the CompStat2006, held in Rome in August 2006.

Parallel Problem Solving From Nature Conference (PPSN)

Edward Tsang is to be a Keynote Speaker at the Parallel Problem Solving From Nature Conference (PPSN), Reykjavik, Iceland, 9-13 September 2006.  "Wind-Tunnel Testing for Strategy and Market Design".

Bachelier Finance Society 2006

Lecturer, Kyriakos Chourdakis, is to present a paper at the Fourth World Congress of the Bachelier Finance Society to be held in Tokyo from 17-20 August 2006

Congress on Evolutionary Computation

Edward Tsang was invited to lead a panel on Evolutionary Computation in Finance at the Congress on Evolutionary Computation, Vancouver, Canada, 20 July 2006.  He also co-chaired Special Sessions on Computational Finance and Economics in this conference, photos

Applications of Physics in Financial Analysis (APFA5)

Sheri Markose was an invited Keynote Speaker at the APFA 5 (Applications of Physics in Financial Analysis) in Turin, Italy, 29 June –1 July  2006

Computing in Europe (CiE) Conference

On 4 July 2006 Sheri Markose addressed the Computing in Europe (CiE) Conference in Swansea where she gave a paper on Gödelian Foundations of Non-Computability and Heterogeneity In Economic Forecasting and Strategic Innovation

This is forthcoming in the special issue of the journal Theoretical Computer Science entitled "From Gödel to Einstein: Computability between Logic and Physics at CiE 2006"  (edited by Arnold Beckmann, Edwin Beggs and Benedikt Löwe).

Computational Economics and Finance 2006

Dietmar Maringer presented a paper on a new method on estimating Smooth Transition Autoregressive (STAR) Models at the 12th international conference of the Society of Computational Economics and Finance in Cyprus, June 2006.

Nature Computing Applications Forum

Edward Tsang was an invited Plenary Speaker at the Nature Computing Applications Forum, Birmingham, UK, 14-15 June 2006.  "EDDIE for Discovering Arbitrage Opportunities".

QQASS Conference, Brunel University

Kyriakos Chourdakis and Amadeo Alentorn were both invited to present at the QQASS Conference held at Brunel University 12-13 June 2006

Option Pricing and the Implied Tail Index with the Generalized Extreme Value (GEV) Distribution - Amadeo Alentorn and Sheri Markose  Presentation

Numerical Methods for Finance Conference

Edward Tsang was an invited Keynote Speaker at the Numerical Methods for Finance Conference, Dublin, Ireland, 7-9 June 2006.  "EDDIE for Discovering Arbitrage Opportunities".