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Conference Slides:
| Pre-Conference Workshop Slides | |
|---|---|
| David Leinweber: If you had everything computationally, where would you put it, financially? | |
| Richard Brown: Incorporating News Analytics into Quantitative Investment and Trading Strategies | |
| Peter Hafez: The Role of News in Financial Markets | |
| Marian Munz: US Markets: Earnings News Release - an inside look | |
| Leela Mitra: Equity portfolio risk estimation using market information and sentiment | |
| Dan di Bartolemo: Short Term Risk from Long Term Models | No Slides |
| Mark Vreijling: Practical Use of News in Equity Trading Strategies | |
| Andy Moniz: Exploiting News-flow Signals | PPT |
| Conference Day One Slides | |
| Hersh Shefrin: Behaviouralizing Finance | PPT |
| Xunyu Zhou: Quantifying and Analysing Greed | |
| Enrico De Giorgi: A Satisficing Alternative to Prospect Theory | |
| Klaus Reiner Schenk Hoppé: Evolutionary Finance - Investment advice inspired by Darwin | |
| Michael Dempster: Individual Asset Liability Management | |
| Stan Uryasev: Value-at-Risk vs. Conditional Value-at-Risk in Risk Management and Optimization | |
| Philip Z. Maymin: The Behavioralist and the Arb | |
| Markku Kaustia: Learning from the Outcomes of Others: Stock Market Experiences of Local Peers and New Investors' Market Entry | |
| Conference Day Two Slides | |
| Dan di Bartolomeo: Assessing Equity Risk as the Potential Imbalance of Buyers and Sellers | PPT |
| Gautam Mitra & Leela Mitra: Applications of News Analytics in Finance: A Review | PPT |
| David Leinweber: Relating News Analytics to Stock Returns | |
| Alexei Chekhlov: Over- and Under- Reaction in Liquid Markets | PPT |
| Wei Xiong: Speculative Bubbles: Theory and Implications | PPTX |
| Marc Oliver Reiger: Why Does Volatility Increase in Bear Markets? An international view on asymmetric volatility. | |
CARISMA : The Centre for the Analysis of Risk
and Optimisation Modelling Applications, Brunel University
Centre for Financial Research,
Statistical Laboratory, University of Cambridge
and
Nomura Centre for Mathematical Finance, the Mathematical
Institute, University of Oxford
is organising its annual conference and workshop.
In the current chaotic financial climate, new systems are being
developed to analyze market behaviour and the attitudes of financial
professionals. The emergence and impact of behavioural finance is
reflected in the choice of recent recipients of the Nobel Prize in
Economics. As behavioural finance develops, it is intensifying its use
of tools and techniques from quantitative finance, so that mathematical
and statistical methodologies are being employed to understand the
behavioural biases of decision makers (fund managers, traders…) and
their impact on market valuations.
For the last half century, the neoclassical paradigm -- featuring
rational decision making, efficient markets, the capital asset pricing
model, and the Black-Scholes option pricing formula -- has dominated
finance. However, a new financial paradigm is emerging, one that
combines the realistic psychological features favoured by proponents of
behavioural finance and the powerful quantitative techniques favoured by
proponents of neoclassical finance.
While some contend that Behavioural Finance is more a
collection of anomalies than a true branch of finance, the
incorporation of quantitative methodologies will provide whole new
possibilities for producing meaningful models, using the latest
techniques and powerful modelling tools. For example, the prevailing
market environment can to some extent be captured by key innovative
techniques of news analytics which quantify news sentiments.
This conference provides a platform for some of the leading thinkers
and practitioners in this field to demonstrate the fascinating
discoveries at the interface of behavioural and quantitative finance
and the useful and practical applications which have been developed
from them.
Publication: We encourage participants to submit their contributions for publication. We have arranged with the Journal of Risk to include a refereed collection of papers presented at this conference in a special issue of the journal.
For our past events please look up:
http://www.optirisk-systems.com/events/carisma2008.asp
Contact Details:
Professor Gautam Mitra, gautam.mitra@brunel.ac.uk
;
Dr. Xiaochen(Michael) Sun, michael@optirisk-systems.com
Past event details:
4th
Annual CARISMA seminar
3rd
Annual CARISMA seminar
Brochure Download | Register Now
Brochure Download | Register Now
Conference Agenda
| Day One - Tuesday, 2 February, 2010 | |
| 9:00 to 9:25 | Registration |
| 9:25 to 9:30 | Introduction |
| 9:30 to 10:30 | Opening Keynote Address: Behaviouralizing
Finance |
| 10:30 to 11:00 | Coffee and Tea |
| 11:00 to 12:00 | Tutorial: Hope, Fear and Aspiration |
| 12:00 to 12:30 | A Satisficing Alternative to Prospect Theory |
| 12:30 to 13:15 |
Tutorial: Evolutionary Finance - Investment advice inspired by Darwin
|
| 13:15 to 14:15 | Lunch Break |
| 14:15 to 15:00 | Individual Asset Liability Management Michael Dempster and Elena Medova
|
| 15:00 to 15:30 | Value-at-Risk vs. Conditional Value-at-Risk in Risk Management and Optimization |
| 15:30 to 16:00 | Coffee and Tea |
| 16:00 to 16:30 | The Behavioralist and the Arb |
| 16:30 to 17:00 |
Learning from the Outcomes of Others: Stock Market Experiences of Local Peers and New Investors' Market Entry
|
| 17:00 | Close |
| 18:00 to 20:00 |
Evening Executive Briefing: Behavioural Finance and News Analytics |
| Day Two - Wednesday, 3 February, 2010 | |
| 9:30 | Introduction |
| 9:45 to 10:30 | Assessing Equity Risk as the Potential Imbalance of Buyers and Sellers |
| 10:30 to 11:00 |
Applications of News Analytics in Finance: A Review
|
| 11:00 to 11:30 | Coffee and Tea |
| 11:30 to 12:30 | Keynote Presentation: Relating News Analytics to Stock Returns David Leinweber
& Jacob Sisk
|
| 12:30 to 13:00 | Over- and Under- Reaction in Liquid Markets |
| 13:00 to 14:00 | Lunch Break |
| 14:00 to 15:00 |
Keynote Presentation: Speculative Bubbles: Theory and Implications
|
| 15:00 to 15:30 | Why Does Volatility Increase in Bear Markets? An international view on asymmetric volatility. |
| 15:30 TO 16:00 | Discussion, Coffee and Tea |
| 16:00 | Close |
Workshop Brochure Download | Register Now
Pre-Conference Workshop: News Analytics Applied to Trading, Fund Management and Risk Control, 1 February 2010, London
It is widely recognised news plays a key role in financial markets. Traders and other market participants digest news rapidly and update their asset positions accordingly. The sources and volumes of news continue to grow and there is alpha generating potential in those technologies that aid intelligent and efficient processing of news.
New technologies that allow traders and investment managers to automate or semi-automate news collection, extraction, aggregation and categorisation are emerging. Further a few niche analytics companies (RavenPack, Infonic) in partnership with established newswire providers (Dow Jones, Thomson Reuters) have developed commercial applications which process the textual input of news stories to look for trading and risk management signals.
Presenters
| Workshop Programme | |
| 09.15 - 09.30 |
Introduction
|
| Session 1: Overview Talk | |
| 09.30 - 10.00 |
If you had everything computationally, where would you put it, financially?
|
| Session 2: The Technology Providers Viewpoint - Presentations/Feature Demo | |
| 10.00 - 11.00 |
Incorporating News Analytics into Quantitative Investment and Trading Strategies
|
| 11.00 - 11.30 | Tea and Coffee |
| 11.30 - 12.30 |
The Role of News in Financial Markets
|
| 12.30 - 13.30 | Lunch |
| Session 3: Applications of News Analytics | |
| 13.30 - 14:30 |
US Markets: Earnings News Release - an inside look
|
| 14.30 - 14.50 |
Equity portfolio risk estimation using market information and sentiment
|
| 14.50 - 15.30 | Short Term Risk from Long Term Models |
| 15.30 - 16.00 | Tea and Coffee |
| 16.00 - 16.45 |
Practical Use of News in Equity Trading Strategies
|
| 16.45 - 17.15 |
Exploiting News-flow Signals
|
Evening Briefing Brochure Download | Register for The Briefing Now
Evening Executive Briefing: Behavioural Finance and News Analytics 18:00-20:00, 2 February 2010, London
Short Overview followed by Q & A Session with Expert Panel on Behavioural Finance and News Analytics
As behavioural finance develops, it is intensifying the use of tools and techniques of quantitative finance; mathematical and statistical methodologies are employed to understand the behavioural biases of decision makers (fund managers, traders…) and their impact on market valuations of individual as well as portfolio of assets.
Equally news is interpreted from a behavioural perspective; it is now widely recognised as playing a key role in financial markets. Traders and other market participants digest news rapidly and update their asset positions accordingly.
This evening briefing event provides a platform for some of the leading experts and practitioners in both areas to share their insights and experiences.
| Number of Days you wish to attend | 1 | 2 | 3 | All Prices |
| PhD Student | £75 | £150 | £210 | +VAT |
| Academic and Researchers | £105 | £200 | £295 | +VAT |
| Industry | £350 | £650 | £900 | +VAT |
| The conference, including the pre-conference workshop, takes place over 3 days. Please specify which dates you would like to attend when registering. Please be aware from 1 Jan 2010 VAT will return to the 17.5% rate. | ||||
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