CCFEA Workshop 2010

Dates: Tuesday 16 February 2010 9:30 to Wednesday 17 February 2010 17:30

Venue: CCFEA Lab (Room 4.304 in Square 2)

Schedule

Keynote Speakers:

• Giovanni Beliossi, FGS Capital
  High-Frequency Trading: Practical Considerations (Tuesday 16 Feb 2010 12:00-13:00)
• Richard Olsen, Olsen Ltd and Visiting Professor, CCFEA
  Beyond market prices: understanding trader and market maker behavior (Tuesday 16 Feb 2010 16:30-17:30)
• Laurence Wormald, SunGard
  Observations on Changing Practices in Funds Risk Management (Wednesday 17 Feb 2010 16:00-17:00)

Speakers:

• David Norman
  Mapping Trader Behaviour
• Kamal Adamu
  A Coevolutionary Grammatical Evolution Approach for High Frequency Trading Systems
• Abdalla Kablan
  A Fuzzy Logic Momentum Analysis System For High Frequency Trading
• Jose Cordoba
  Introduction to the Mexican Derivative market (MexDer) and two Mexican cases of hedging
• Yue Peng
  Estimation of Stochastic Volatility Models with Implied Volatility Indices and Pricing of Straddle Options
• Iacopo Giampaoli
  Periodicities of FX Market Activities in Intrinsic Time
• Monira Aloud
  Modelling the real market, an agent-based approach
• Javed Iqbal
  International Portfolio Optimization using Regime Switching: Case of Subcontinent
• Anil Khuman
  A Neuroevolutionary Approach to Portfolio Insurance
• Jin Zhang
  Moment optimization for asset allocation with pair-copula decompositions
• Mateusz Gatowski
  CDS Markets and Financial Contagion
• Ali Rais Shaghaghi
  Large-scale Agent-based Model of Financial Systems (Financial Contagion)
• Yuan-Sung Chu
  Analysis of the Determinants of the iTraxx CDS Spreads using the Skewed Student’s t AR-GARCH Model
• Alex Guarin-Lopez
  Enhancing Credit Default Swaps Pricing with Meshfree Methods
• Azusa Takeyama
  The impact of the UK government bank bail out on the CDS of major UK banks

Abstracts

Special Guests:

• Mohamed Mughal, FGS Capital
• Raphael Nkomo, Qt Captial Management
• Raphael Velasco-Fuentes, ex-PhD student, CCFEA
• Skindilias Konstantinos, ex-PhD student, CCFEA

Winner of the Student Presentation Prize is Iacopo Giampaoli. Congratulations!

Thanks to Richard Olsen for agreeing to sponsor the prize next time!

Organizing committee:

• Wing Lon Ng and Edward Tsang (Co-Chairs)
• Lynda Triolo (Administrator)