Workshop on Advances in Machine Learning for Computational Finance: Call for Contributions

Workshop on Advances in Machine Learning for Computational Finance: Call for Contributions

Posted by Rebecca Martin on Wed, 10/12/2008 - 18:06

Workshop on Advances in Machine Learning for Computational Finance http://web.mac.com/davidrh/AMLCF09/

Sponsored by the PASCAL 2 Network of Excellence http://www.pascal-network.org/

CALL FOR CONTRIBUTIONS: We solicit submissions for the Advances in Machine Learning for Computational Finance workshop to be held on July 20-21, 2009 at University College London Bloomsbury Campus, London, U.K. Computational finance is a cross-disciplinary field which relies on mathematical finance, numerical methods and computer simulation to make trading, hedging and investment decision, as well as facilitating the risk management of these decisions. Machine learning is concerned with the design and development of algorithm and techniques that extract rules and patterns out of data automatically, by computational and statistical methods.

This workshop brings together researches from machine learning, computational finance, academic finance and the financial industry to discuss problems in finance where machine learning may solve challenging problems and provide an edge over existing approaches. The aim of the workshop is to promote discussion on recent progress and challenges as well as on methodological issues and applied research problems. The emphasis will be on practical problem solving involving novel algorithmic approaches.

Topics of the workshop include (but not limited to):

. *Optimisation methods
. *Reinforcement learning
. *Supervised and semi-supervised learning
. *Kernel methods
. *Bayesian estimation
. *Wavelets
. *Evolutionary computing
. *Recurrent and state space models
. *SVM’s
. *Neural networks
. *Boosting
. *Multi-agent simulation
. *....
. *High frequency data
. *Trading strategies and hedging techniques
. *Execution models
. *Forecasting
. *Volatility
. *Extreme events
. *Credit risk
. *Portfolio management and optimisation
. *Option pricing
. *...

The workshop is a core event of the PASCAL 2 EU Network of Excellence.

SUBMISSION PROCEDURE: We invite the submission of high quality extended abstracts (2 to 4 pages) in the NIPS style (http://nips.cc/PaperInformation/StyleFiles). Abstracts should be sent (in .pdf/.ps/.doc) to the organisers (D.Hardoon@cs.ucl.ac.uk , l.zangeneh@cs.ucl.ac.uk). A selection of the submitted abstracts will be accepted as either an oral presentation or poster presentation.

IMPORTANT DATES:

23 Feb 09 - Submission deadline for extended abstracts
30 Mar 09 - Notification of acceptance
20-21 Jul 09 - Workshop at UCL, London, U.K.

CONFIRMED INVITED PASCAL SPEAKERS:
David Cliff
University of Bristol

Vince Darley
Eurobios

Vasant Dhar
New York University, Stern School of Business

László Györfi
Budapest University of Technology and Economics

Michael Kearns
University of Pennsylvania

David Leinweber
University of Berkeley, Haas School of Business

ORGANISERS

David R. Hardoon - University College London
John Shawe-Taylor - University College London
Philip Treleaven -University College London
Laleh Zangeneh - University College London

PROGRAM COMMITTEE

Nicolò Cesa-Bianchi - Università degli Studi di Milano
Ran El-Yaniv - Technion - Israel Institute of Technology
Samet Gogus - Barclaycard
Yuri Kalnishkan - Royal Holloway, University of London
Jasvindor Kandola - Merrill Lynch
Donald Lawrence - University College London
Giuseppe Nuti - Deutsche Bank
Sandor Szedmak - University of Southampton
Chris Watkins - Royal Holloway, University of London