Intelligent finance: A convergence of mathematical finance with technical and fundamental analysis (Notes from the First International Workshop on Intelligent Finance held in Melbourne, 13-14 Dec 2004)

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