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ORCIDCIFEr 2000: New York City, NY, USA
- 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
- Vladimir Cherkassky:
Introduction to VC learning theory with applications to Financial Engineering - Tutorial. 1-2 - Vladimir Cherkassky, Filip Mulier, Anna B. Sheng:
Funds exchange: an approach for risk and portfolio management. 3-7 - Christian Schittenkopf, Peter Tiño, Georg Dorffner:
The profitability of trading volatility using real-valued and symbolic models. 8-11 - Joshua V. Rosenberg:
Implied volatility functions: a reprise. 12-14 - 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
- Rimvydas Simutis
:
Fuzzy logic based stock trading system. 19-21 - Dennis Ettes:
Trading the stock markets using genetic fuzzy modeling. 22-25 - Ryszard Kowalczyk, Van Bui:
FeNAs: a fuzzy e-negotiation agents system. 26-29 - Mingming Ma, W. Sardha Wijesoma:
Automatic on-line signature verification based on multiple models. 30-33
Portfolio Selection Session
- Kei-Keung Hung, Chi Chiu Cheung, Lei Xu:
New Sharpe-ratio-related methods for portfolio selection. 34-37 - Hiroshi Konno, Annista Wijayanayake:
Optimal portfolio construction/rebalancing under nonconvex transaction cost. 38-41 - Meng-Hiot Lim, Donald C. Wunsch, K. W. Ho:
An evolutionary programming methodology for portfolio selection. 42-46 - G. A. Agasandian:
Classes of preferences of portfolio investors for multi-period case and their asymptotic properties. 47-48
Risk Management Session
- Stanislav Uryasev:
Conditional value-at-risk: optimization algorithms and applications. 49-57 - Paul Glasserman, Philip Heidelberger, Perwez Shahabuddin:
Value-at-risk with heavy-tailed risk factors. 58-61 - 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 - Kah-Hoe Ng, Gerald B. Sheblé:
Exploring risk management tools. 65-68
Interest Rate Models Session
- Ioulia D. Loe, Eliezer Z. Prisman:
Term structure of interest rates and implied market frictions. 71-73 - Zhaoyun Shi, Yusho Kagraoka, Yoshiyasu Tamura, Tohru Ozaki:
A short-term interest rate model with nonlinear mean reversion. 74-77 - Yann d'Halluin, Peter A. Forsyth, Kenneth R. Vetzal, George Labahn:
Numerical methods for pricing callable bonds. 78-81
Risk Management Applications Session
- Helmut Mausser, Dan Rosen:
Efficient risk/return frontiers for credit risk. 82-85 - Mohammed Nasir, Robert I. John, Simon C. Bennett, David M. Russell:
Predicting corporate bankruptcy using modular neural networks. 86-91 - Germán Creamer, T. Noe, P. Spindt:
Efficiency, performance and value-at-risk of Latin American banks in a process of economic integration. 92-96 - Oscar Castillo, Patricia Melin:
Intelligent simulation and forecasting of competing dynamic companies with a fuzzy-genetic approach. 97-100
Derivatives and Option Pricing Session
- Peter Carr:
Deriving derivatives of derivative securities. 101-128 - Steven G. Kou:
A jump diffusion model for option pricing with three properties: leptokurtic feature, volatility smile, and analytical tractability. 129-131 - Cyriel de Jong, Ronald Huisman:
From skews to a skewed-t: modelling option-implied returns by a skewed Student-t. 132-142 - Alvin Kuruc:
Apples to oranges: reconciling "vegas" from inconsistent valuation models by a stochastic change of coordinates. 143-146 - Ilia Bouchouev:
An analytic framework for pricing energy derivatives. 147-150
Stock Market Forecasting and Simulations Session
- Vince Darley, Alexander Outkin, Tony Plate, Frank Gao:
Sixteenths or pennies? Observations from a simulation of the Nasdaq stock market. 151-154 - Yiwen Yang, Guizhong Liu, Zongping Zhang:
Stock market trend prediction based on neural networks, multiresolution analysis and dynamical reconstruction. 155-156 - Gianluca Bontempi, Edy Bertolissi, Mauro Birattari:
Predicting stock markets in boundary conditions with local models. 158-161 - 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
- Sameer Singh, Jonathan E. Fieldsend:
Financial time series forecasts using fuzzy and long memory pattern recognition systems. 166-169 - Bouchra Bouqata, Amine Bensaid, Ralph Palliam, Antonio Fernandez Gómez-Skarmeta:
Time series prediction using crisp and fuzzy neural networks: a comparative study. 170-173 - Eric B. Bartlett, Robert Abboud:
Error estimation and model consolidation for time series data. 174-177 - 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
- Magne Setnes, O. J. H. van Drempt, H. R. van Nauta Lemke:
Interactions between finance and technology. 182-185 - G. A. Agasandian, F. I. Ereshko, Artem F. Ereshko, I. I. Gasanov:
The methods of operations research on Russian financial markets. 186-189 - Haiyan Wang, Qinghong Zhang:
Analysis of risk allocation principle in project financing. 190-192 - Marcelo A. Bittencourt, Frank C. Lin:
Time series for currency exchange rate of the Brazilian Real. 193-196 - Paul E. Lynch, Nigel M. Allinson:
Antipersistent trading ranges. 197-208 - 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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