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Conference Slides:
Pre-Conference Workshop Slides
David Leinweber: If you had everything computationally, where would you put it, financially? PDF
Richard Brown: Incorporating News Analytics into Quantitative Investment and Trading Strategies PDF
Peter Hafez: The Role of News in Financial Markets PDF
Marian Munz: US Markets: Earnings News Release - an inside look PDF
Leela Mitra: Equity portfolio risk estimation using market information and sentiment PDF
Dan di Bartolemo: Short Term Risk from Long Term Models No Slides
Mark Vreijling: Practical Use of News in Equity Trading Strategies PDF
Andy Moniz: Exploiting News-flow Signals PPT
Conference Day One Slides
Hersh Shefrin: Behaviouralizing Finance PPT
Xunyu Zhou: Quantifying and Analysing Greed PDF
Enrico De Giorgi: A Satisficing Alternative to Prospect Theory PDF
Klaus Reiner Schenk Hoppé: Evolutionary Finance - Investment advice inspired by Darwin PDF
Michael Dempster: Individual Asset Liability Management PDF
Stan Uryasev: Value-at-Risk vs. Conditional Value-at-Risk in Risk Management and Optimization PDF
Philip Z. Maymin: The Behavioralist and the Arb PDF
Markku Kaustia: Learning from the Outcomes of Others: Stock Market Experiences of Local Peers and New Investors' Market Entry PDF
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 PDF
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. PDF


CARISMA : The Centre for the Analysis of Risk and Optimisation Modelling Applications, Brunel University

In collaboration with:

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

http://carismaforum.spaces.live.com/

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

Gautam Mitra
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

Enrico De Giorgi
12:30 to 13:15 Tutorial: Evolutionary Finance - Investment advice inspired by Darwin

Klaus Reiner Schenk-Hoppé
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

Stan Uryasev
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

Markku Kaustia
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

Gautam Mitra
9:45 to 10:30 Assessing Equity Risk as the Potential Imbalance of Buyers and Sellers

Dan Di Bartolomeo
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

Alexei Chekhlov
13:00 to 14:00 Lunch Break
14:00 to 15:00 Keynote Presentation: Speculative Bubbles: Theory and Implications

Wei Xiong
15:00 to 15:30 Why Does Volatility Increase in Bear Markets? An international view on asymmetric volatility.

Marc Oliver Rieger
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

Gautam Mitra
Session 1: Overview Talk
09.30 - 10.00 If you had everything computationally, where would you put it, financially?

David Leinweber
Session 2: The Technology Providers Viewpoint - Presentations/Feature Demo
10.00 - 11.00 Incorporating News Analytics into Quantitative Investment and Trading Strategies

Richard Brown
11.00 - 11.30 Tea and Coffee
11.30 - 12.30 The Role of News in Financial Markets

Peter A. Hafez
12.30 - 13.30 Lunch
Session 3: Applications of News Analytics
13.30 - 14:30 US Markets: Earnings News Release - an inside look

Marian Munz
14.30 - 14.50 Equity portfolio risk estimation using market information and sentiment

Leela Mitra
14.50 - 15.30 Short Term Risk from Long Term Models

Dan Di Bartolomeo
15.30 - 16.00 Tea and Coffee
16.00 - 16.45 Practical Use of News in Equity Trading Strategies

Mark Vreijling
16.45 - 17.15 Exploiting News-flow Signals

Andy Moniz

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.

 
18:00 - 18:10 Welcome and Introduction

Gautam Mitra,
OptiRisk Systems/CARISMA, Brunel University
18:10 - 18:20 Short Term Risk from Long Term Model

Dan di Bartolomeo,
Northfield Information Services Inc
18:20 - 18:30 News Analytics in Quantitative Investment and Trading Strategies

Richard Brown,
Thomson Reuters
18:30 - 18:40 Individual Asset Liability Management

Michael Dempster,
University of Cambridge
18:40 - 18:50 The Role of News in Financial Markets
Armando Gonzalez,
RavenPack S.L.
18:50 - 19:00 Behaviouralizing Finance

Hersh Shefrin,
Santa Clara University
19:00 - 19:30 Panel Discussion Chaired by Prof. Gautam Mitra

19:30 - 20:30 Networking and Drinks

 


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.

Register Now