Conference: Nerual Networks in the Capital Markets 9/20/96

Robert Freeman freeman at
Wed Oct 2 02:16:50 EST 1996


          --- Registration Package and Preliminary Program ---




                Wednesday-Friday, November 20-22, 1996
         The Ritz-Carlton Hotel, Pasadena, California, U.S.A.
            Sponsored by Caltech and London Business School


Neural networks have been applied to a number of live systems in the
capital markets, and in many cases have demonstrated better performance
than competing approaches.  Because of the increasing interest in the NNCM
conferences held in the U.K. and the U.S., the fourth annual NNCM will be
held on November 20-22, 1996, in Pasadena, California. This is a research
meeting where original and significant contributions to the field are
presented. A day of tutorials (Wednesday, November 20) is included to
familiarize audiences of different backgrounds with some of the key
financial and mathematical aspects of the field.

Invited Speakers:

The conference will feature invited talks by three internationally
recognized researchers:

                    Dr. Rob Engle, UC San Diego
                    Dr. Andrew Lo, MIT Sloan School
                    Dr. Paul Refenes, London Business School

Contributed Papers:

NNCM-96 will have 4 oral sessions and 2 poster sessions with more than 40
contributed papers presented by academicians and practitioners from all six
continents, both from the neural networks side and the capital markets
side. Each paper has been refereed
by 3 experts in the field. The areas of the accepted papers include price
forecasting for stocks, bonds, commodities, and foreign exchange;  asset
allocation and risk management; volatility analysis and pricing of
derivatives; cointegration, correlation, and multivariate data analysis;
credit assessment and economic forecasting; statistical methods, learning
techniques, and hybrid systems.


Before the main program, there will be a day of tutorials on Wednesday,
November 20, 1996. Three two-hour tutorials will be presented as follows:

           Statistical Models of Financial Volatility
           Dr. Rob Engle, University of California, San Diego

           Universal Portfolios and Information Theory
           Dr. Tom Cover, Stanford University

           Data-Snooping and Other Selection Biases in Financial Econometrics
           Dr. Andrew Lo, MIT Sloan School

We are very pleased to have tutors of such caliber help bring new audiences
from different backgrounds up to speed in this cross-disciplinary area.

Schedule Outline:

        Wednesday, November 20:   9:00- 5:30  Tutorials 1, 2, 3
         Thursday, November 21:   8:30-11:30  Oral Session I
                                 11:30- 2:00  Luncheon  & Poster Session I
                                  2:00- 5:00  Oral Session II
           Friday, November 22:   8:30-11:30  Oral Session III
                                 11:30- 2:00  Luncheon & Poster Session II
                                  2:00- 5:00  Oral Session IV

Organizing Committee:

             Dr. Y. Abu-Mostafa, Caltech (Chairman)  
             Dr. A. Atiya, Cairo University
             Dr. N. Biggs, London School of Economics  
             Dr. D. Bunn, London Business School  
             Dr. M. Jabri, Sydney University
             Dr. B. LeBaron, University of Wisconsin
             Dr. A. Lo, MIT Sloan School
             Dr. I. Matsuba, Chiba University
             Dr. J. Moody, Oregon Graduate Institute  
             Dr. C. Pedreira, Catholic Univ. PUC-Rio
             Dr. A. Refenes, London Business School  
             Dr. M. Steiner, Universitaet Augsburg
             Dr. A. Timmermann, UC San Diego
             Dr. A. Weigend, University of Colorado
             Dr. H. White, UC San Diego
             Dr. L. Xu, Chinese University of Hong Kong


The conference will be held at the Ritz-Carlton Huntington Hotel in
Pasadena, within two miles from the Caltech campus. One of the most
beautiful hotels in the U.S., the Ritz is a 35-minute drive from Los
Angeles International Airport (LAX) with nonstop flights from
most major cities in North America, Europe, the Far East, Australia, and
South America.

Home of Caltech, Pasadena has recently become a major dining/hangout center
for Southern California with the growth of its `Old Town', built along the
styles of the 1950's. Among the cultural attractions of Pasadena are the
Norton Simon Museum, the Huntington
Library/Gallery/Gardens, and a number of theaters including the Ambassador

Hotel Reservation:

Please contact the Ritz-Carlton Huntington Hotel in Pasadena directly. The
phone number is (818) 568-3900 and the fax number is (818) 568-1842. Ask
for the NNCM-96 rate. We have negotiated an (incredible) rate of $79+taxes
($110 with $31 credited by NNCM-96 upon registration) per room (single or
double occupancy) per night. Please make the hotel reservation IMMEDIATELY
as the rate is based on availability.


Registration is done by mail on a first-come, first-served basis.  To
ensure your place at the conference, please send the following registration
form and payment as soon as possible to

       Ms. Lucinda Acosta, Caltech 136-93, Pasadena, CA 91125, U.S.A.

Please make check payable to Caltech.

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                      NNCM-96 Registration Form

     Title:------ Name:------------------------------------------------

       Mailing address:------------------------------------------------






********Please circle the applicable fees and write the total below********

Main Conference (November 21-22):

                  Registration fee                   $550

   Discounted fee for academicians                   $275
   (letter on university letterhead required)

   Discounted fee for full-time students             $150
   (letter from registrar or faculty advisor required)

Tutorials (November 20):

You must be registered for the main conference in order to register for the

   Tutorials Fee                                     $150

   Full-time students                                $100
   (letter from registrar or faculty advisor required)

                          TOTAL: $_________

Please include payment (check or money order in US currency).  Please make
check payable to Caltech. Mail your completed registration form and payment

Ms. Lucinda Acosta, Caltech 136-93, Pasadena, CA 91125, U.S.A.

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There is shuttle service (around  $25 per person) and bus service (around
$15 per person) from Los Angeles International Airport (LAX) to the
Ritz-Carlton Hotel in Pasadena. A taxi ride will cost approximately  $55.

There is also shuttle service from Burbank airport (BUR) which is a
domestic airport closer to Pasadena. A taxi ride will cost approximately


For further information, please contact the NNCM-96 secretariat:

     Ms. Lucinda Acosta, Caltech 136-93, Pasadena, CA 91125, U.S.A.
                  e-mail: lucinda at
                 phone (818) 395-4843, fax (818) 795-0326


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