CIFEr 2009 Program
Tutorial CIFER-T1: Frontiers of Computational Engineering and Finance: Modeling and Calibrating Cre
Monday, March 30, 8:30AM-10:30AM, Room: Hermitage B, Instructor: Agostino Capponi, California Institute of Technology, USA
Session CIFER-1: FINANCIAL ENGINEERING APPLICATIONS: Risk Management & Time Series Analysis
Monday, March 30, 11:00AM-1:00PM, Room: Hermitage B, Chair: Daniel Paraschiv, Ireland
| 11:00AM | A Calibration Method for Structural Models of Credit Risk with Reporting bias [#4] |
| Agostino Capponi | |
| California Institute of Technology, United States | |
| 11:24AM | Inference of the Structural Credit Risk Model using MLE [#12] |
| Yuxi Li, Li Cheng and Dale Schuurmans | |
| University of Alberta, Canada; Toyota Technological Institute (TTI) at Chicago, United States | |
| 11:48AM | The Fuzzy Term Structure of Interest Rates of the National Debt Market in China [#15] |
| Fan-Yong Liu | |
| School of Finance and Economics, Hangzhou Dianzi University, Hangzhou, China |
Panel Session CIFER-2: XBRL and CIFEr integrations - our roadmap.
Monday, March 30, 2:00PM-4:00PM, Room: Hermitage B, Chair: Mike Willis, PricewaterhouseCoopers LLP, USA
| 2:00PM | XBRL and CIFEr integrations - our roadmap |
| Robert Golan, Masatomo Goto, David vun Kannon and Mike Willis | |
| DBmind Technologies, United States; Fujitsu, Japan; Deloitte, United States; Price Waterhouse Coopers, United States |
Session CIFER-3: FINANCIAL ENGINEERING APPLICATIONS: Algol Trading & Computational Economics
Monday, March 30, 4:30PM-6:30PM, Room: Hermitage B, Chair: Ben Collingsworth, USA
| 4:30PM | Agent-Based Computational Economics: Studying the Effect of Different Levels of Rationality on Inflation and Unemployment [#2] |
| Ahmed Okasha and Colin Johnson | |
| University of Kent, United Kingdom | |
| 4:54PM | Stocks Scanner Evaluator for Stocks or Options [#8] |
| Daniel Paraschiv, Srinivas Raghavendra and Laurentiu Vasiliu | |
| CIMRU National University of Ireland, Galway, Ireland; Department of Economics National University of Ireland, Galway, Ireland; CIMRU/DERI National University of Ireland, Galway, Ireland |
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| 5:18PM | Modeling Intelligence of Learning Agents in An Artificial Double Auction Market [#16] |
| Shu-Heng Chen and Chung-Ching Tai | |
| Department of Economics, National Chengchi University, Taiwan |
Tutorial CIFER-T2: Boeing's Method for Valuing High-Risk High-Return Technology Projects Using Real
Tuesday, March 31, 8:30AM-10:30AM, Room: Hermitage B, Instructor:
Scott Mathews, Boeing Research and Technology, The Boeing Company, USA
Session CIFER-4: APPLICATIONS & MODELS: Data Mining & Behavioral Finance & Energy Markets
Tuesday, March 31, 11:00AM-1:00PM, Room: Hermitage B, Chair: Bogdan Gabrys, SUNY, USA
| 11:00AM | Assessing Organizational Stability via Network Analysis [#10] |
| Ben Collingsworth, Ronaldo Menezes and Paulo Martins | |
| Florida Institute of Technology, United States; Chaminade University of Honolulu, United States | |
| 11:24AM | Process Learning of Network Interactions in Market Microstructures [#14] |
| Dave Twardowski, Robert Savell and George Cybenko | |
| Dartmouth College, United States | |
| 11:48AM | Overconfident Investors in the LLS Agent-Based Artificial Financial Market [#17] |
| Milan Lovric, Uzay Kaymak and Jaap Spronk | |
| Erasmus University Rotterdam, Netherlands | |
| 12:12PM | Energy Forward Price Prediction with a Hybrid Adaptive Model [#18] |
| Hang T. Nguyen and Ian T. Nabney | |
| Neural Computing Research Group, School of Engineering and Applied Science, Aston University, United Kingdom |
Panel Session CIFER-5: What the Financial Industry needs from CIFEr to ease its burdens
Tuesday, March 31, 2:00PM-4:00PM, Room: Hermitage B, Chair: Pete Angeline, Resurgent Capital Services, USA
| 2:00PM | What the Financial Industry needs from CIFEr to ease its burdens |
| Agostino Capponi, Pete Angeline, Scott Mathews, Dirk Van den Poel and David vun Kannon | |
| Caltech, United States; Resurgent Capital Services, United States; The Boeing Corporation, United States; Ghent University, Belgium; Deloitte, United States |
Session CIFER-6: APPLICATIONS & MODELS: Intelligent Trading Agents & Pricing & Forecasting
Tuesday, March 31, 4:30PM-6:30PM, Room: Hermitage B, Chair: Dave Twardowski, Dartmouth College, USA
| 4:30PM | Accumulator Pricing [#3] |
| Kin Lam, Philip Leung-ho Yu and Ling Xin | |
| Hong Kong Baptist University, Hong Kong; The University of Hong Kong, Hong Kong | |
| 4:54PM | Applying Induced Aggregation Operator in Designing Intelligent Monitoring System for Financial Market [#5] |
| Benjamin Fonooni and Seied Javad Mousavi Moghadam | |
| Arinals, Iran | |
| 5:18PM | Dynamic Combination of Forecasts Generated by Diversification Procedures Applied to Forecasting of Airline Cancellations [#6] |
| Christiane Lemke, Silvia Riedel and Bogdan Gabrys | |
| Bournemouth University, United Kingdom; Lufthansa Systems Berlin GmbH, Germany |
IEEE SSCI 2009 March 30 – April 2, 2009 Sheraton Music City Hotel, Nashville, TN, USA
