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)
Penckwitt, Andreas
Cite this item:
Penckwitt, A. (2005, March 11). 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). University of Otago Department of Finance Seminar Series.
Permanent link to OUR Archive version:
http://hdl.handle.net/10523/1522
Abstract:
Notes from the First International Workshop on Intelligent Finance, for discussion of research ideas.A Convergence of Mathematical Finance with Technical and Fundamental AnalysisFirst International Workshop on Intelligent Finance held in Melbourne, December 13-14, 2004
Session 1: Social EconomicPerspectives 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 CorrelationsNaoto Oshiro and Yasufumi Saruwatari, University of Tsukuba, Financial Technology Research Institute, Japan• How Long Is the Long Run? Evidence from the Foreign Exchange MarketKenneth 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 G7Robert J. Bianchi, Michael E. Drew and John Polichronis, Queensland University of Technology, Australia• Simulating Profitable Stock Trading Strategies with an Evolutionary ArtificialNeural Network Serge Hayward, Ecole Supérieure de Commerce de Dijon, FranceOn the Representation of Trading Strategies and Financial ProductsStefan Dirnstorfer, Technical University Munich, Germany• The Predictive Ability of Simple Technical Indicators: Australian EvidenceMaurice Peat, Max Stevenson and Daniel Maroney, University of Sydney, Australia
Session 4: Stochastic Process Models• Non-stochastic Uncertainty Approaches to Prediction in FinanceKenneth Kortanek, University of Pittsburgh, USA• Pricing Barrier Options with Local Volatility Surface for AdvantageZili Zhu, CSIRO Mathematical & Information Sciences, AustraliaKarhunen-Loève Approximations of Wiener Processes and Solutions of SDEsDeborah Downes and Stephen Lucas, University of South Australia
Session 7: Game Theory and Intelligent Agents• A Mechanism for Pockets of Predictability in Complex Adaptive SystemsJørgen Vitting Andersen and Didier Sornette, CNRS, France, UCLA, USAPhase Transition of Dynamical Herd Behaviors in Financial MarketsKyungsik Kim and Seong-Min Yoon, Pukyong National University, Korea
Session 8: Chaos Theory and Econophysics• Dependence Structures in Financial Time Series: A Chaos-Theoretic ApproachRodney C Wol, Queensland University of Technology, Australia• A Mean-Field Approach of Predicting the Future of the Income Distributions of CompaniesHideki Takayasu, Takayuki Mizuno and Misako Takayasu, Sony Computer Science Laboratories, Japan• Characterization of Temporal Behavior of Foreign Exchange MarketsMisako Takayasu, Takaaki Ohnishi, Takayuki Mizuno and HidekiTakayasu, Tokyo Institute of Technology, Japan
Session 9: Quantitative Analysis and Portfolio Management• Calculating the Optimal Exercise Boundary of American Put Options with AnApproximation FormulaSong-Ping Zhu, University of Wollongong, Australia• Phase Transitions in an Equity-Ranking PredictorJerey Satinover, University of Nice, FranceCompound Models of High-Low Speculative Prices: A Cointegration-basedApproachNagaratnam Jeyasreedharan, University of Tasmania, Australia• Relationships between Different Term Structures of Australian Interest RateSwap MarketMusa Mammadov and John Yearwood, University of Ballarat
Session 10: ComputationalIntelligent Finance Systems• Algorithmic Trade Execution and Market ImpactRichard Coggins, Marcus Lim and Kevin Lo, University of Sydney, Australia• The Components of the Bid-Ask Spread: An Ability-Based ModelPaochung 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 DevelopmentBarry O’Gray, Curtin University of Technology, Australia
Session 11: Intelligent Finance TheoriesA Swingtum Theory of Finance for Swing Trading and Momentum TradingHeping Pan, University of Ballarat
Date:
2005-03-11
Pages:
46
Keywords:
Intelligent Finance; Mathematical Finance; Technical Analysis; Fundamental Analysis,
Notes:
Slides presented by: Andreas Penckwitt, University of Otago