Computational Finance 2008

Third International Conference on Computational Finance and its Applications

pcr2.jpg27 - 29 May 2008
Cadiz, Spain

 Overview

CompFinance08.pngThe 3rd International Conference on Computational Finance and its Applications took place recently at the University of Cádiz (UCA), organised by that Institution and the Wessex Institute of Technology (WIT).

The present economic climate has highlighted the importance of developing further research in the field of Computational Finances, as many of the products offered by the industry have proved to be defective.  This Conference addresses many of these problems, as well as other interesting topics.

The Meeting was opened by the Dean of Human Resources Faculty of UCA, Dr Francisca Fuentes, who welcomed the delegates.  Her address was followed by one from the Vice Rector of UCA, Professor David Almorza, who showed a short video showing some interesting sights in Cádiz.

Finally, Professor Carlos A Brebbia, Director of the Wessex Institute of Technology (WIT) described some of the work being carried out by his Institute.  He stressed the importance of WIT collaborating with other Institutes around the world in many different ways, ie through training, research, publications or consulting activities.  WIT, Carlos said, sees itself as a mechanism for knowledge transfer, collaborating with many institutions around the world.

The Meeting was opened by Prof Oscar Criner of Texas Southern University, who spoke of “Control systems identification in finance and economics and finance”.  He discussed techniques for the design of simulations of complex nonlinear systems.  Prof Criner referred to the problems that have recently occurred in the financial markets.  In the words of Prof Criner “Knowledge is the wealth; information is the currency”.  The complexity of the markets however requires in-depth research.  Complex systems are difficult to characterise; they behave counter to intuition; they are insensitive to changes in many parameters; stubbornly resist policy changes and contain unexpected pressure points and thresholds which significantly alter the system balance when excited.

“Complex Systems such as those dealing with subprime rates are difficult to control as they have direct access to the markets.  Corrective measures in those conditions do not easily produce a fix.

We are living in an Information Rich World but the information is not integrated.  The control systems failed to exact any effective control.  The Global economic crisis results in a financial and monetary system in disarray and this has serious implications for the developing world.

Prof Criner wondered if the world finance system is properly understood.  Contemporary economic measurements are far too coarse for what we are doing now.  The embedding of computers in the economic and business system is all embracing.  Computing has changed the meaning of money and makes the cashless society possible.  This means that we no longer fully understand the implications of what we are doing now.

 Invited Presentations

Following Prof Criner’s keynote address, there were other interesting presentations which enhanced the meeting, ie:
  • “Multifractal analysis and multiagent simulation for market crash prediction”, by V Romanov, Plekhanov Russia Academy of Economics, Russia
  • “Computation and asymptotic properties of estimated coherent risk measures”, by D J Miller, University of Missouri, USA
  • “Modelling spark spread option and power plant evaluation”, by Z Li, Bank of America, USA
  • “Benford’s law, data mining, and financial fraud: a case study in New York State Medicaid data” by B Little, Torleton State University, USA
  • “Assessing the external costs and the economic viability of the Greek steel industry”, by D Damigos, National Technical University of Athens, Greece.

 Conference Sessions

 

finance1.JPGThe papers were divided into the following sessions:
  • Forecasting and simulation
  • Derivatives pricing
  • Risk management
  • Business applications
  • Market analysis
  • Portfolio management and asset allocation
  • Economy and the environment
  • Cost benefit analysis

 Excursion and Conference Dinner

finance2.JPGThe delegates took part in a tour of Cádiz under the guidance of a UCA Professor.  They were able to see some of the most interesting building and how they relate to the history of Cádiz.  They also stopped at the History Museum, which contains priceless pieces from antiquity, including the times of the Phoenicians, the founders of the City.  They visited one of the Fine Arts galleries which displays some masterpieces by Spanish painters.

The Conference dinner took place in the famous flamenco Peña (or School) in Cádiz called La Perla, where the delegates had occasion to see some authentic dancing and singing. Cádiz is renowned for the quality of its flamenco and has around 10 such Peñas, which are real academies for the formation of young dancers.  The participants also tasted some local delicacies in a friendly and relaxed atmosphere.

 Publication of Papers

The proceedings of Computational Finance and its Applications III, 256pp (ISBN: 1-84564-111-5) are available in hard back from WIT Press priced at £84/US$168/€126. Orders can be placed by telephone: +44 (0) 238 029 3223, fax: +44 (0) 238 029 2853, e-mail: This email address is being protected from spambots. You need JavaScript enabled to view it. or via the WIT Press web site at: www.witpress.com

Papers from the conference will also be hosted online at the WIT eLibrary as volume 41 of WIT Transactions on Information and Communication Technologies (ISSN: 1743-3517). For more details visit the WIT eLibrary at: library.witpress.com