Dear Colleagues,

 

We would like to bring your attention to the 5th annual CARISMA conference.

 

5th Annual CARISMA Conference 2010: The Interface of Behavioural Finance and Quantitative Finance, 2 - 3 February 2010, London

Pre-conference workshop: News Analytics Applied to Trading, Fund Management and Risk Control, 1 February 2010, London

http://www.optirisk-systems.com/events/carisma2010.asp

 

Background:

In the current chaotic financial climate, new systems are being developed to analyze market behaviour and the attitudes of financial professionals.  The emergence and impact of behavioural finance is reflected in the choice of recent recipients of the Nobel Prize in Economics.  As behavioural finance develops, it is intensifying its use of tools and techniques from quantitative finance, so that mathematical and statistical methodologies are being employed to understand the behavioural biases of decision makers (fund managers, traders...) and their impact on market valuations. 

 

For the last half century, the neoclassical paradigm -- featuring rational decision making, efficient markets, the capital asset pricing model, and the Black-Scholes option pricing formula -- has dominated finance. However, a new financial paradigm is emerging, one that combines the realistic psychological features favoured by proponents of behavioural finance and the powerful quantitative techniques favoured by proponents of neoclassical finance.

 

Conference Programme:

Day 1:

Opening Keynote Address: Behaviouralizing Finance

-          Hersh Shefrin, Mario L. Belotti Professor of Finance, Department of Finance at Santa Clara University's Leavey School of Business.

Tutorial: Hope, Fear, and Aspiration

-          Xunyu Zhou, Nomura Professor of Mathematical Finance and Director, Nomura Centre for Mathematical Finance, Mathematical Institute, University of Oxford

 A Satisfying Alternative to Prospect Theory 

Enrico De Giorgi, University of Lugano

 Tutorial: Evolutionary Finance - Investment advice inspired by Darwin

-          Klaus Reiner Schenk-Hoppé, Leeds University 

 Individual Asset Liability Management 

-          Michael Dempster and Elena Medova, University of Cambridge and Cambridge 
Systems Associates Ltd

Prospect Theory and the Implied Fundamental Risk

-          Philip Z. Maymin, Polytechnic Institute of New York University

 Value-at-Risk vs. Conditional Value-at-Risk in Risk Management and Optimization

-          Stan Uryasev, University of Florida

 

Day 2

Assessing Equity Risk as the Potential Imbalance of Buyers and Sellers 

-          Dan di Bartolomeo, Northfield Information Services Inc

 Applications of News Analytics in Finance: A Review

-          Gautam Mitra and Leela Mitra, CARISMA/OptiRisk Systems

 Keynote Presentation 1: Relating News Analytics to Stock Returns

-          David Leinweber and Jacob Sisk, UC Berkeley

 Why Does Volatility Increase in Bear Markets? An international view on asymmetric volatility.

-          Marc Oliver Rieger, Assistant Professor, Swiss Banking Institute, University of Zurich

 Learning from the Outcomes of Others: Stock Market Experiences of Local Peers and New Investors' Market Entry

-          Markku Kaustia, Professor, Helsinki School of Economics

 Keynote Presentation 2: Speculative Bubbles: Theory and Implications 

-          Wei Xiong, Princeton University

 Crowded Trades: A Potential Bayesian Remedy 

-          Wing Cheung, Nomura International Plc

 

Conference website: 

http://www.optirisk-systems.com/events/carisma2010.asp

 

For further queries, please contact:

Dr. Michael Sun

OptiRisk Systems

Tel: +44 (0)1895 819 488

Fax: +44 (0)1895 813 095

Email: [log in to unmask] 

 

Please don't hesitate to contact us if you would like to reserve places or to discuss any aspect of this conference in more details.

 

We look forward to seeing you at the event.

 

Michael

...........................................................................................

Michael(Xiaochen) Sun, PhD, MSc.

Quantitative Analyst

&. VP Techno Marketing

  

OptiRisk Systems

OptiRisk R&D House
One Oxford Road 
Uxbridge UB9 4DA  ( Middlesex ) United Kingdom            
Tel: +44 1895 819483        Fax: +44 1895 813095         
www.optirisk-systems.com <http://exchange.livemail.com/exchweb/bin/redir.asp?URL=http://www.optirisk-systems.com/>  

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