Abstract
Notes from the First International Workshop on Intelligent Finance, for discussion of research ideas.
A Convergence of Mathematical Finance with Technical and Fundamental Analysis
First International Workshop on Intelligent Finance held in Melbourne, December 13-14, 2004
Session 1: Social Economic
Perspectives of Finance
• Intelligent Finance - An Introduction Heping Pan, Didier Sornette and Kenneth Kortanek
• The Financial/Economic Dichotomy Robert R. Prechter and Wayne D. Parker, The Socionomics Foundation, USA
Session 2: Fundamental Analysis and Econometrics
• Warren Buffett: Investment Genius or Statistical Anomaly?
John Price, The Conscious Investor, Australia, and Edward Kelly,
University of Dublin, Trinity College, Ireland
• Credit Risk Evaluation Through Stock Price Fluctuations and Their Correlations
Naoto Oshiro and Yasufumi Saruwatari, University of Tsukuba, Financial Technology Research Institute, Japan
• How Long Is the Long Run? Evidence from the Foreign Exchange Market
Kenneth Clements, Yihui Lan, University of Western Australia
Session 3: Technical Analysis and Trading Strategies
• A Test of Momentum Trading Strategies in Foreign Exchange Markets: Evidence from the G7
Robert J. Bianchi, Michael E. Drew and John Polichronis, Queensland University of Technology, Australia
• Simulating Profitable Stock Trading Strategies with an Evolutionary Artificial
Neural Network
Serge Hayward, Ecole Supérieure de Commerce de Dijon, France
On the Representation of Trading Strategies and Financial Products
Stefan Dirnstorfer, Technical University Munich, Germany
• The Predictive Ability of Simple Technical Indicators: Australian Evidence
Maurice Peat, Max Stevenson and Daniel Maroney, University of Sydney, Australia
Session 4: Stochastic Process Models
• Non-stochastic Uncertainty Approaches to Prediction in Finance
Kenneth Kortanek, University of Pittsburgh, USA
• Pricing Barrier Options with Local Volatility Surface for Advantage
Zili Zhu, CSIRO Mathematical & Information Sciences, Australia
Karhunen-Loève Approximations of Wiener Processes and Solutions of SDEs
Deborah Downes and Stephen Lucas, University of South Australia
Session 7: Game Theory and Intelligent Agents
• A Mechanism for Pockets of Predictability in Complex Adaptive Systems
Jørgen Vitting Andersen and Didier Sornette, CNRS, France, UCLA, USA
Phase Transition of Dynamical Herd Behaviors in Financial Markets
Kyungsik Kim and Seong-Min Yoon, Pukyong National University, Korea
Session 8: Chaos Theory and Econophysics
• Dependence Structures in Financial Time Series: A Chaos-Theoretic Approach
Rodney C Wol, Queensland University of Technology, Australia
• A Mean-Field Approach of Predicting the Future of the Income Distributions of Companies
Hideki Takayasu, Takayuki Mizuno and Misako Takayasu, Sony Computer Science Laboratories, Japan
• Characterization of Temporal Behavior of Foreign Exchange Markets
Misako Takayasu, Takaaki Ohnishi, Takayuki Mizuno and Hideki
Takayasu, Tokyo Institute of Technology, Japan
Session 9: Quantitative Analysis and Portfolio Management
• Calculating the Optimal Exercise Boundary of American Put Options with An
Approximation Formula
Song-Ping Zhu, University of Wollongong, Australia
• Phase Transitions in an Equity-Ranking Predictor
Jerey Satinover, University of Nice, France
Compound Models of High-Low Speculative Prices: A Cointegration-based
Approach
Nagaratnam Jeyasreedharan, University of Tasmania, Australia
• Relationships between Different Term Structures of Australian Interest Rate
Swap Market
Musa Mammadov and John Yearwood, University of Ballarat
Session 10: Computational
Intelligent Finance Systems
• Algorithmic Trade Execution and Market Impact
Richard Coggins, Marcus Lim and Kevin Lo, University of Sydney, Australia
• The Components of the Bid-Ask Spread: An Ability-Based Model
Paochung Hsu, Providence University, Taiwan, Republic of China
• An Investigation of the Uses of Depth of Field and Stochastic Concepts in Fine Tuning Strategic Plays in the Australian Stock Market and Its Impact on Systems Development
Barry O’Gray, Curtin University of Technology, Australia
Session 11: Intelligent Finance Theories
A Swingtum Theory of Finance for Swing Trading and Momentum Trading
Heping Pan, University of Ballarat