dblp: CIFEr 2000 (original) (raw)

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CIFEr 2000: New York City, NY, USA

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  • Portfolio Management Session
  • Trading Systems and Fuzzy Modeling Session
  • Portfolio Selection Session
  • Risk Management Session
  • Interest Rate Models Session
  • Risk Management Applications Session
  • Derivatives and Option Pricing Session
  • Stock Market Forecasting and Simulations Session
  • Time-Series Forecasting Session
  • Poster Session and Student Papers

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  Proceedings of the IEEE/IAFE/INFORMS 2000 Conference on Computational Intelligence for Financial Engineering, CIFEr 2000, New York City, USA, March 28, 2000. IEEE 2000, ISBN 0-7803-6429-5

Portfolio Management Session

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    Vladimir Cherkassky:
    Introduction to VC learning theory with applications to Financial Engineering - Tutorial. 1-2
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    Vladimir Cherkassky, Filip Mulier, Anna B. Sheng:
    Funds exchange: an approach for risk and portfolio management. 3-7
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    Christian Schittenkopf, Peter Tiño, Georg Dorffner:
    The profitability of trading volatility using real-valued and symbolic models. 8-11
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    Joshua V. Rosenberg:
    Implied volatility functions: a reprise. 12-14
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    Kurt J. Engemann, Holmes E. Miller, Ronald R. Yager:
    Imprecise information and financial environments: an interval probability approach. 15-18

Trading Systems and Fuzzy Modeling Session

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    Rimvydas Simutis:
    Fuzzy logic based stock trading system. 19-21
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    Dennis Ettes:
    Trading the stock markets using genetic fuzzy modeling. 22-25
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    Ryszard Kowalczyk, Van Bui:
    FeNAs: a fuzzy e-negotiation agents system. 26-29
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    Mingming Ma, W. Sardha Wijesoma:
    Automatic on-line signature verification based on multiple models. 30-33

Portfolio Selection Session

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    Kei-Keung Hung, Chi Chiu Cheung, Lei Xu:
    New Sharpe-ratio-related methods for portfolio selection. 34-37
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    Hiroshi Konno, Annista Wijayanayake:
    Optimal portfolio construction/rebalancing under nonconvex transaction cost. 38-41
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    Meng-Hiot Lim, Donald C. Wunsch, K. W. Ho:
    An evolutionary programming methodology for portfolio selection. 42-46
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    G. A. Agasandian:
    Classes of preferences of portfolio investors for multi-period case and their asymptotic properties. 47-48

Risk Management Session

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    Stanislav Uryasev:
    Conditional value-at-risk: optimization algorithms and applications. 49-57
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    Paul Glasserman, Philip Heidelberger, Perwez Shahabuddin:
    Value-at-risk with heavy-tailed risk factors. 58-61
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    Ron D'Vari, Juan C. Sosa, Kishore K. Yalamanchili:
    Multi-level risk-controlled sector optimization of domestic and international fixed-income portfolios including conditional VaR. 62-64
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    Kah-Hoe Ng, Gerald B. Sheblé:
    Exploring risk management tools. 65-68

Interest Rate Models Session

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    Ioulia D. Loe, Eliezer Z. Prisman:
    Term structure of interest rates and implied market frictions. 71-73
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    Zhaoyun Shi, Yusho Kagraoka, Yoshiyasu Tamura, Tohru Ozaki:
    A short-term interest rate model with nonlinear mean reversion. 74-77
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    Yann d'Halluin, Peter A. Forsyth, Kenneth R. Vetzal, George Labahn:
    Numerical methods for pricing callable bonds. 78-81

Risk Management Applications Session

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    Helmut Mausser, Dan Rosen:
    Efficient risk/return frontiers for credit risk. 82-85
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    Mohammed Nasir, Robert I. John, Simon C. Bennett, David M. Russell:
    Predicting corporate bankruptcy using modular neural networks. 86-91
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    Germán Creamer, T. Noe, P. Spindt:
    Efficiency, performance and value-at-risk of Latin American banks in a process of economic integration. 92-96
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    Oscar Castillo, Patricia Melin:
    Intelligent simulation and forecasting of competing dynamic companies with a fuzzy-genetic approach. 97-100

Derivatives and Option Pricing Session

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    Peter Carr:
    Deriving derivatives of derivative securities. 101-128
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    Steven G. Kou:
    A jump diffusion model for option pricing with three properties: leptokurtic feature, volatility smile, and analytical tractability. 129-131
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    Cyriel de Jong, Ronald Huisman:
    From skews to a skewed-t: modelling option-implied returns by a skewed Student-t. 132-142
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    Alvin Kuruc:
    Apples to oranges: reconciling "vegas" from inconsistent valuation models by a stochastic change of coordinates. 143-146
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    Ilia Bouchouev:
    An analytic framework for pricing energy derivatives. 147-150

Stock Market Forecasting and Simulations Session

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    Vince Darley, Alexander Outkin, Tony Plate, Frank Gao:
    Sixteenths or pennies? Observations from a simulation of the Nasdaq stock market. 151-154
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    Yiwen Yang, Guizhong Liu, Zongping Zhang:
    Stock market trend prediction based on neural networks, multiresolution analysis and dynamical reconstruction. 155-156
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    Gianluca Bontempi, Edy Bertolissi, Mauro Birattari:
    Predicting stock markets in boundary conditions with local models. 158-161
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    Yoshinori Kawasaki, Seisho Sato, Shigeru Tachiki:
    Vector-valued multiple regression model with time varying coefficients and its application to predict excess stock returns. 162-165

Time-Series Forecasting Session

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    Sameer Singh, Jonathan E. Fieldsend:
    Financial time series forecasts using fuzzy and long memory pattern recognition systems. 166-169
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    Bouchra Bouqata, Amine Bensaid, Ralph Palliam, Antonio Fernandez Gómez-Skarmeta:
    Time series prediction using crisp and fuzzy neural networks: a comparative study. 170-173
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    Eric B. Bartlett, Robert Abboud:
    Error estimation and model consolidation for time series data. 174-177
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    Fernando Niño, Germán Jairo Hernández, Andrés Parra:
    Financial time series modeling with evolutionary trained random iterated neural networks. 178-181

Poster Session and Student Papers

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    Magne Setnes, O. J. H. van Drempt, H. R. van Nauta Lemke:
    Interactions between finance and technology. 182-185
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    G. A. Agasandian, F. I. Ereshko, Artem F. Ereshko, I. I. Gasanov:
    The methods of operations research on Russian financial markets. 186-189
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    Haiyan Wang, Qinghong Zhang:
    Analysis of risk allocation principle in project financing. 190-192
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    Marcelo A. Bittencourt, Frank C. Lin:
    Time series for currency exchange rate of the Brazilian Real. 193-196
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    Paul E. Lynch, Nigel M. Allinson:
    Antipersistent trading ranges. 197-208
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    Kazumi Saito, Naonori Ueda, Shigeru Katagiri, Yutaka Fukai, Hiroshi Fujimaru, Masayuki Fujinawa:
    Law discovery from financial data using neural networks. 209-212

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