Advancing the Field of Quantitative Finance
formerly the IAFE

Professional Development / Call for Papers

 

2ND IMA Conference
Mathematics in Finance

18 – 19 June 2015
University of Manchester

 
The purpose of the conference is to bring together academics and practitioners interested in mathematical modelling in finance. We invite researchers whose research work contains a strong Mathematical element to attend. We have included a broad range of topics with the aim to expose participants to models, ideas and techniques that they may not be aware of, and to foster future collaborations.
 
In recent years many of the underpinning assumptions of classical Mathematical Finance have been under attack, and now efficient markets can no longer be assumed by default. The result is that many more complex real world interactions need to be taken into account, meaning that the techniques and models from other areas such as Real Options and Operations Research will be important for the future of Mathematics in Finance.
 
We will be accepting papers on the following themes:

•    Computational Finance
       - high dimensional problems,
       - simulation techniques,
       - PDE methods

•    Energy Markets
       - market regulation and monitoring,
       - competition and investment,
       - commodity pricing and risk management

•    Risk
       - credit risk modelling
       - liquidity risk
       - counterparty risk

•    Operations Research
       - game theory
       - network optimisation
       - revenue management
       - portfolio optimisation 

•    Real Options
       - competition, 
       - optimal investment
 
 
Call for Papers:

Papers will be accepted for the conference based on a 150 word abstract for oral or poster presentation. Abstracts should be submitted by Friday 26 February 2015 by e-mail to conferences@ima.org.uk. Please state whether your title is intended for oral or poster presentation. 
 
Abstracts are expected to follow the following template:
 
Title
Contributing author(s) Initials, Surname
Affiliation(s) Department, organisation. 
 
Programme Committee
Paul Johnson (University of Manchester) - Chair
Tim Johnson (Heriot-Watt University) - Deputy Chair
Rama Cont (Imperial College London)
Andrea Macrina (University College London)
Arne Strauss (Warwick Business School)
 
Further information
For further information on this conference, please visit the conference webpage here

Contact information:
For general conference queries please contact Lizzi Lake, Conference Officer
E-mail: conferences@ima.org.uk             
Tel: +44 (0) 1702 354 020
Institute of Mathematics and its Applications
Catherine Richards House, 
16 Nelson Street, 
Southend-on-Sea, Essex, SS1 1EF, UK. 


Dear All,

You are welcome to participate in the trading competition we are organising within CIFEr 2014. Please find enclosed details.

- Registration Opens - 11 December 2013

- Trading Opens - 13 January 2014

- Trading Closes - 24 February 2014                        

- Winners Announced - 28 February 2014

- Prizes: First - £1000, Second - £500, Third - £250

(you can participate in the competition, irrespectively of submitting a paper to the conference)


CALL FOR PARTICIPATION CIFEr 2014 Trading Competition
============================================

CIFEr 2014 Trading Competition - http://www.ieee-cifer.org/competition.html

IEEE CIFEr, Computational Intelligence for Financial Engineering and Economics 2014 London, March 27-28, 2014 - www.ieee-cifer.org

Overview
========
The CIFEr Trading Competition provides the opportunity for students and other participants to demonstrate quantitative portfolio management skills and computational intelligence techniques in a realistic but simulated trading environment.  Each team will be given a basket of stocks and options, which must be held for the full duration of the tournament, and a quantity of cash, which may be used to purchase options to hedge the static portion of the portfolio.

Trading will be done through a web interface on a simulated market with stylized facts that match the real markets.  Asset prices will be revealed at London close each trading day.  Teams will have until the next price reveal to enter trading actions.

The objective is to come as close as possible to matching a 1% annualized return over six weeks of trading.   An asymmetric and cumulative error function will be used to assess tracking performance.


Registration and Key Dates
==========================
The competition is open to all, independent of registration for CIFEr 2014.
Prize winners, however, must agree to attend the conference banquet and competition panel session. Each individual or team may enter the competition only once.

- Registration Opens - 11 December 2013
- Trading Opens - 13 January 2014
- Trading Closes - 24 February 2014
- Winners Announced - 28 February 2014

Prizes
======
The following prizes will be awarded at the CIFEr 2014 banquet:

- First Prize - £1000
- Second Prize - £500
- Third Prize - £250

Prize winners will be invited to share their strategies, methods, and insights as part of a special panel session on the competition.
Additionally, the algorithms used to generate market data will be revealed during this session.


Acknowledgements
================
- Computing infrastructure and staff support - University of Virginia
- Trading competition sponsor - Cycle Computing (http://www.cyclecomputing.com/)


IEEE CIFEr, London, March 27-28, 2014
Computational Intelligence for Financial Engineering and Economics 2014
www.ieee-cifer.org

Submission Deadline (extended): November 24, 2013

We invite you to submit your paper or extended abstract. Each accepted paper will be presented orally or as a poster at the conference and is eligible for publication a special issue of Computational Management Science (Springer) and other international journals.

The CIFEr Conference is the major collaboration between the professional engineering and financial communities, and is one of the leading forums for new technologies and applications in the intersection of computational intelligence and financial engineering and economics.

Topics for submissions include, but are not limited to,

* Financial Engineering & Economics Applications:
. Risk Management
. Pricing of Structured Securities
. Asset Allocation
. Trading Systems
. Forecasting
. Hedging Strategies
. Risk Arbitrage
. Behavioral Finance
. Exotic Options
. Portfolio Optimization
. Front/Back Office Operations
. Algorithmic Trading
. Agent-based Computational Economics
. Artificial Markets
. Operations Research and the Management Sciences
. Electricity/Energy Markets
. Testing, Benchmarking, Robustness Checks

* Computer & Engineering Applications and Models:
. Neural Networks
. Probabilistic Modeling/Inference
. Fuzzy Sets, Rough Sets, & Granular Computing
. Intelligent Trading Agents
. Time Series Analysis
. Non-linear Dynamics
. Financial Data Mining
. Evolutionary Computational
. Rules and XBRL for Financial Engineering Applications
. Semantic Web and Linked Data for Computer & Engineering Applications
& Models
. Financial sentiment analysis/emotion mining
. Machine Learning, Big Data, and Data Sciences

Instructions for authors can be found on the conference website,
http://www.ieee-cifer.org/authorinf.html

Students:
* IEEE CIS Travel grants
* Best student paper award

Important dates:
* submission deadline (extended): November 24, 2013
* notification of acceptance: January 7, 2014
* final paper submission: February 7, 2014
* conference: March 27-28, 2014