DM: FORECASTING FINANCIAL MARKETS CONFERENCE

[Patrick Naim]

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Sixth International Conference
Sponsored by the Esprit Project Storm (Supported by the European
Commission) and Imperial College


FORECASTING FINANCIAL MARKETS:
ADVANCES FOR EXCHANGE RATES, INTEREST RATES AND ASSET MANAGEMENT
London 26, 27, 28 May 1999

Modelling with high frequency data
Non linear models, Chaotic dynamics
Applications of neural networks and genetic algorithms
Advances in asset management and portfolio optimisation
Modelling and forecasting volatility
Risk analysis and credit trading


Organisers
Christian Dunis (Liverpool Business School, StatQ)
Berç Rustem (Department of Computing Imperial College)


Co-sponsors
European Commission
University of Cambrige
Cambridge Systems Associates
Applied Econometrics Association
Imperial College
Elseware

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Conference Venue:
The Harrington Centre
Harrington Hall
5-25 Harrington Gardens
London SW7 4JW

Registration Fees:
Standard delegate fee 660 Euros (+ VAT 20.60%) Total: 796 Euros.
Academics are entitled to a 50% discount. The fee includes all
refreshments & lunches. A Conference dinner is organised on Thursday 
27
May 1999.
Please note that payment must be received at least one week before the
Conference begins.

Exhibitors
We have a spacious exhibition room available throughout the 
Conference.
For further information and costs please contact Mylène Bazsalicza at
Elseware on +331.5659.7620.


Hotel Accommodation:
We recommend that delegates who wish to stay at Harrington Hall for 
the
duration of the Conference book a room as soon as possible as many
conferences will be taking place in London during May.
Harrington Hall
25 Harrington Gardens
London SW7 4JW5
Tel: +44.171.396.9696
Fax: +44.171.396.9090

For further information, contact
Mylène BAZSALICZA, Elseware, 38 rue de Ponthieu, 75008 PARIS.
Telephone: +331 5659 7620  Fax: +331 5396 9417  E-mail:
mylene@elseware.fr


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FORECASTING FINANCIAL MARKETS
CONFERENCE PROGRAMME


Day 1: Wednesday 26 May 1999
08:00 Registration & Coffee
08:40 Opening Address
 Christian Dunis (STATQ & Liverpool Business School) & Berç Rustem
(Imperial College)
Session 1
ADVANCES IN ASSET MANAGEMENT
Chairman: Alan Kirman (GREQAM, Marseille)
09:00 The Changing Home Country Bias: Insights from Individual Pension
Funds' Foreign Equity Holdings, Alan Timmermann, London School of
Economics, David Blake, University of London.
09:30  Investment Styles in the European Equity Markets, Monica 
Billio,
Domenico Sartore, University Ca Foscari, Venice, Roberto Casarin, 
GRETA,
Venice.
10:00 Fat Tails and the Capital Asset Pricing Model, C.J. Adcock,
Westminster Business School, London.
10:30 Portfolio Choice with Higher Order Moments, Gustavo M. de 
Athayde,
EPGE/FGV, Rio de Janeiro, Renato G. Flôres, Solvay Business School, 
ULB,
Brussels.
11:00 Questions
11:15 Coffee
11:30 Risk Neutral Forecasting, Spyros Skouras, European University
Institute, Florence.
12:00 Non-Parametric Estimation of Two Dimensional Diffusions in
Finance, Renato G. Flôres, Solvay Business School, ULB, Brussels,
Cristian Huse, EPGE/FGV, Rio de Janeiro.
12:30  Questions
12:30  Luncheon

Parallel Session 2
HIGH FREQUENCY TRADING
Chairman: Michael Dempster (Judge Institute, University of Cambridge)
14:00 Real Trading Volume and Price Action in the FX Markets, Pierre
Lequeux, BNP, London.
14:30 Can Technical Pattern Trading Be Profitably Automated ?, M.A.H.
Dempster & C.M. Jones, University of Cambridge.
15:00 Non Linear Components in High Frequency Data and Econometric and
Neural Networks Forecasts' Quality, Riccardo Bramante & Maria Paola
Viola, Universita Cattolica del Sacro Cuore, Milan, Giampaolo Gabbi,
Universita di Siena.
15:30 Questions
15:45 Tea
16:00 A Comparative Study of Foreign Exchange Quotes Indicative Versus
Market Quotes, Emmanuel Acar, Dresdner Kleinwort Benson, London.
16:30 Liquidity and Market Makers : An Analysis with Ultra High
Frequency Data, Jose G. Montalvo, Universitat de Valencia.
17:00  Questions

Parallel Session 3
NON LINEAR MODELS AND MARKET BUBBLES 1
Chairman: Chris Adcock (EJF & University of Bath)
14:00 On the transitory nature of gurus, Alan Kirman, GREQAM, 
Marseille.

14:30 Self-Organisation in Opinion Aggregation Models, Sergio Focardi,
The Intertek Group, Paris, Michele Marchesi, DIEE, University of
Cagliari.
15:00 A Methodology To Materialise Psychological Elements of Foreign
Exchange Market Dynamics, Yann Lepape, Université Aix-Marseille.
15:30 Questions
15:45 Tea
16:00 Gegenbauer Processes: Estimation and Forecasting, L. Ferrara,
Université Paris 13, Dominique Guégan, Université de Reims, 
ENSAE-CREST.

16:30 Currency Forecasting Based on An Error Components-Seemingly
Unrelated Nonlinear Regression Model, Winston T.Lin, State University 
of
New York at Buffalo.
17:00  Questions
17:15  End of Day 1

Day 2: Thursday 27 May 1999
Parallel Session 4
TRADING AND RISK - BONDS AND EQUITIES
Chairman: Carl Chiarella (University of Technology, Sydney)
09:00 Coffee
09:30 Irrational Exuberances and Precautions in Stock Markets, Juan
Laborda Herrero, The Chase Manhattan Bank, Madrid.
10:00 Stock Valuation, Equilibrium Corrections and Earning Forecasts,
Hans-Martin Krolzig, Institute of Economics and Statistics, Oxford, 
Juan
Toro, European University Institute, Florence.
10:30 Excess Return on French Equities : Estimation Using a Factor
Model, Christophe Morel, Ministère des Finances and Université Paris
Dauphine, Paris .
11:00 Questions
11:15 Coffee
11:30 The Determination of the Risk Premium on Euroland Public-Sector
Bonds: A comparison of Multicriteria and Statistical Approaches, 
Ephraïm
Clark, Middlesex University Business School, London.
12:00 Hedging a Portfolio of Corporate Bonds with Interest Rate/Swap
Derivatives Using a PCA/EGARCH Yield Curve Model, Darren Toulson, 
Sabine
Toulson, Abongwa Ndumu, Alison Sinclair, Intelligent Financial Systems
Ltd, London.
12:30  Questions

Parallel Session 5
NON LINEAR MODELS AND MARKET BUBBLES 2
Chairman: Alan Timmermann (London School of Economics)
09:00 Coffee
09:30 Currency forecasting, Sunspots, and Markov-Switching Regimes,
Olivier Jeanne and Paul Masson, Research Department, International
Monetary Fund, Washington, DC.
10:00 A Test of the Random Walk Hypothesis on High Frequency Stock
Prices, Thierry Michel, Direction de la Prévision and TEAM, Paris,
Laurent Augier, Université de la Rochelle and TEAM.
10:30 Exchange Rate Dynamics and Structural Breaks, Cem Ertur et Zaka
Ratsimalahelo, Université de Bourgogne, Dijon.
11:00 Questions
11:15 Coffee
11:30 Forecasting daily dollar exchange rates, Liangyue Cao, 
University
of Western Australia,Nedlands, Adbul S. Soofi, University of
Wisconsin-Platteville.
12:00 Modelling economic high-frequency time-series with STAR-STGARCH
models, Stefan Lundbergh and Timo Teräsvvirta, Stockholm Schools of
Economics.
12:30  Questions
12:45  Luncheon

Parallel Session 6
TRADING CURRENCIES AND GLOBAL RISK MANAGEMENT
Chairman: Renato Flôres (Ecole de Commerce Solvay, Bruxelles &
E.P.G.E./F.G.V., Rio de Janeiro)
14:00 Analysis of time varying exchange rate risk, Ramaprasad Bahr,
University of New South Wales, Sidney, Carl Chiarella, University of
Technology, Sidney.
14:30 Non linear analysis for forecasting currencies, Foort Hamelink,
Tilburg University.
15:00 Bootstrap Predictability of Daily Exchange Rates, Demosthenes N.
Tambakis, City University Business School, Anne-Sophie Van Royen,
University College London.
15:30 Questions
15:45 Tea
16:00 An Extreme Value Theory Approach to Calculating Minimum Capital
Risk Requirements, C. Brooks, A.D. Clare and G. Persand, University of
Reading.
16:30 Sensitivity Analysis of VAR Procedures, Joana Caldas, EPGE/FGV,
Rio de Janeiro.
17:00  Questions

Parallel Session 7
FUND MANAGEMENT AND TRADING RULES
Chairman: Stephen Satchell (Trinity College, University of Cambridge)
14:00 Empirical Tests for Differences in Downside and Symmetric
Equilibrium Risk Measures, with Application to Surviving Small and 
Large
UK Companies, Christian S. Pedersen.
14:30 The Efficiency of Investment Fund Management: Stochastic 
Frontier
vs Portfolio Envelopment Analysis. Applications, Walter Briec, 
IGR-IAE,
Rennes, Jean-Baptiste Lesourd, GREQAM, Marseille.
15:00 A Non Parametric Approach to Pricing and Hedging Derivative
Securities with an Application to LIFFE Data, J.A. Barria, S.G. Hall,
Imperial College, London.
15:30 Questions
15:45 Tea
16:00 Applications of Nonlinear Modeling Techniques within the Esprit
Project Storm, David Foubard, CDC-AME, Paris, Laurent Springer, 
Dresdner
RCM, Paris, Rémy Lamaud, Indocam, Paris, Duc Pham Hi, Natexis Bank,
Paris, Patrick Naïm, Elseware, Paris.
17:00  Questions
17:15  Close of Session
19:30  Conference Dinner

Day 3: Friday 28 May 1999
Parallel Session 8
MODELLING VOLATILITY AND CORRELATION
Chairman: Dominique Guégan (ENSAE, Paris)
09:00 Coffee
09:30 Function Approximation and Bayesian Inference Techniques in the
Sequential Tracking of Options Prices, M. Niranjan, University of
Sheffield, J.F.G de Freitas, University of Cambridge.
10:00 Factor GARCH, Regime Switching and Term Structure Models, David
Khabie-Zeitoun and Nicos Christofides, Imperial College, London.
10:30 Hedging Volatility on the FX Markets: A Comparison of Modeling
Techniques, Bruno Roche, Renato Flôres, Solvay Business School, ULB,
Brussels.
11:00 Questions
11:15 Coffee
11:30 Large Scale Problem in Conditional Correlation Estimation,
Frédéric Bourgoin, UBK Asset Management, London.
12:00 The Pitfalls in Fitting GARCH processes, Gilles Zumbach, Olsen &
Associates,Zürich.
12:30  Questions

Parallel Session 9
APPLICATIONS OF NEURAL NETWORKS AND GENETIC ALGORITHMS
Chairman: John Moody (Oregon Graduate Institute of Science & 
Technology,
Portland)
09:00 Coffee
09:30 Estimating Empirical Distributions and Evaluating Their Effect 
on
VAR Calculations, Nicos Christofides, A. Ypsilanti, Imperial College,
London, and B. Tanyi, Fujitsu UK.
10:00 FX Forecasting by Market Modelling, H.G. Zimmermann, R. 
Neuneier,
Siemens AG, Munich.
10:30 Measuring DAX Market Risk: A Neural Network Volatility Mixture
Approach, Kai Bartlmae, Daimler Chrysler AG, Ulm.
11:00 Questions
11:15 Coffee
11:30 Self Organised Genetic Algorithm in Stock Market Forecast, K.Y.
Szeto, P.X. Luo, The Hong Kong University of Science and Technology.
12:00 Minimizing Downside Risk via Stochastic Dynamic Programming, 
John
Moody, Matthew Saffel, Oregon Graduate Institute of Science and
Technology, Portland, OR.
12:30  Questions
12:45  Luncheon

Session 10
RISK MODELLING
Chairman: Nicos Christofides (Imperial College, London)
14:00 Local models for segmentation and prediction of financial time
series, Mehdi Azzouzi, Ian Nabney, Aston University.
14:30 State Space Models in Finance, Ragnar H. Lesch, David Lowe, 
Aston
University, Birmingham.
15:00 The Expected Slipage in the Financial Market Transaction, 
Gregory
Chernizer, CVTM Inc, USA.
15:30 Questions
15:45 Tea
16:00 An Ordered Probit Analysis of Future Price Formation under Floor
and Electronic Trading, Owain ap Gwilyn and Stephen Thomas, University
of Southampton.
16:30 Understanding bid-ask spreads of derivatives under uncertain
volatility and transaction costs, Thierry Ané, Université Paris
Dauphine, Vincent Lacoste, ESSEC, Paris.
17:00  Forecasting with the ARFIMA-ARCH Model, Michael A. Hauser,
University of Economics and Business Administration, Vienna.
17.15  Questions
17:30  Closing Remarks
17:45  End of Conference