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Decision Technologies for Computational Finance

Proceedings of the fifth International Conference Computational Finance

  • Conference proceedings
  • © 1998

Overview

Editors:
  1. Apostolos-Paul N. Refenes

    1. London Business School, UK

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  2. Andrew N. Burgess

    1. London Business School, UK

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  3. John E. Moody

    1. Oregon Graduate Institute, Portland, USA

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Part of the book series: Advances in Computational Management Science (AICM, volume 2)

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Table of contents (39 papers)

  1. Front Matter

    Pages i-xi
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  2. Market Dynamics and Risk

    1. Front Matter

      Pages 1-1
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    2. Pitfalls and Opportunities in the Use of Extreme Value Theory in Risk Management

      • Francis X. Diebold, Til Schuermann, John D. Stroughair
      Pages 3-12

    3. Stability Analysis and Forecasting Implications

      • J. del Hoyo, J. Guillermo Llorente
      Pages 13-24

    4. Time Varying Risk Premia

      • M. Steiner, S. Schneider
      Pages 25-48

    5. A Data Matrix to Investigate Independence, Overreaction and/or Shock Persistence in Financial Data

      • R. Dacco’, S. E. Satchell
      Pages 49-60

    6. Forecasting High Frequency Exchange Rates Using Cross-Bicorrelations

      • Chris Brooks, Melvin J. Hinich
      Pages 61-72

    7. Stochastic Lotka-Volterra Systems of Competing Auto-Catalytic Agents Lead Generically to Truncated Pareto Power Wealth Distribution, Truncated Levy-Stable Intermittent Market Returns, Clustered Volatility, Booms and Crashes

      • Sorin Solomon
      Pages 73-86

  3. Trading and Arbitrage Strategies

    1. Front Matter

      Pages 87-87
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    2. Controlling Nonstationarity in Statistical Arbitrage Using a Portfolio of Cointegration Models

      • A. N. Burgess
      Pages 89-107

    3. Nonparametric Tests for Nonlinear Cointegration

      • Jörg Breitung
      Pages 109-123

    4. Comments on “A Nonparametric Test For Nonlinear Cointegration” By Jörg Breitung

      • Halbert White
      Pages 125-127

    5. Reinforcement Learning for Trading Systems and Portfolios: Immediate vs Future Rewards

      • John Moody, Matthew Saffell, Yuansong Liao, Lizhong Wu
      Pages 129-140

    6. An Evolutionary Bootstrap Method for Selecting Dynamic Trading Strategies

      • Blake LeBaron
      Pages 141-160

    7. Discussion of “An Evolutionary Bootstrap Method for Selecting Dynamic Trading Strategies”

      • A. S. Weigend
      Pages 161-164

    8. Multi-Task Learning in a Neural Vector Error Correction Approach for Exchange Rate Forecasting

      • F. A. Rauscher
      Pages 165-179

    9. Selecting Relative-Value Stocks with Non Linear Cointegration

      • Christos Kollias, Kostas Metaxas
      Pages 181-191

  4. Volatility Modeling and Option Pricing

    1. Front Matter

      Pages 193-193
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    2. Option Pricing with Neural Networks and a Homogeneity Hint

      • René Garcia, Ramazan Gençay
      Pages 195-205

    3. Bootstrapping Garch(1,1) Models

      • G. Maercker
      Pages 207-218
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Keywords

About this book

This volume contains selected papers that were presented at the International Conference COMPUTATIONAL FINANCE 1997 held at London Business School on December 15-17 1997. Formerly known as Neural Networks in the Capital Markets (NNCM), this series of meetings has emerged as a truly multi-disciplinary international conference and provided an international focus for innovative research on the application of a multiplicity of advanced decision technologies to many areas of financial engineering. It has drawn upon theoretical advances in financial economics and robust methodological developments in the statistical, econometric and computer sciences. To reflect its multi-disciplinary nature, the NNCM conference has adopted the new title COMPUTATIONAL FINANCE. The papers in this volume are organised in six parts. Market Dynamics and Risk, Trading and Arbitrage strategies, Volatility and Options, Term-Structure and Factor models, Corporate Distress Models and Advances on Methodology. This years' acceptance rate (38%) reflects both the increasing interest in the conference and the Programme Committee's efforts to improve the quality of the meeting year-on-year. I would like to thank the members of the programme committee for their efforts in refereeing the papers. I also would like to thank the members of the computational finance group at London Business School and particularly Neil Burgess, Peter Bolland, Yves Bentz, and Nevil Towers for organising the meeting.

Editors and Affiliations

  • London Business School, UK

    Apostolos-Paul N. Refenes, Andrew N. Burgess

  • Oregon Graduate Institute, Portland, USA

    John E. Moody

Bibliographic Information

  • Book Title: Decision Technologies for Computational Finance

  • Book Subtitle: Proceedings of the fifth International Conference Computational Finance

  • Editors: Apostolos-Paul N. Refenes, Andrew N. Burgess, John E. Moody

  • Series Title: Advances in Computational Management Science

  • DOI: https://doi.org/10.1007/978-1-4615-5625-1

  • Publisher: Springer New York, NY

  • eBook Packages: Springer Book Archive

  • Copyright Information: Springer Science+Business Media Dordrecht 1998

  • Hardcover ISBN: 978-0-7923-8308-6Published: 30 November 1998

  • Softcover ISBN: 978-0-7923-8309-3Published: 30 November 1998

  • eBook ISBN: 978-1-4615-5625-1Published: 01 December 2013

  • Series ISSN: 1388-4301

  • Edition Number: 1

  • Number of Pages: XI, 479

  • Topics: Finance, general, Economic Theory/Quantitative Economics/Mathematical Methods, Econometrics

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