5th Annual CARISMA Conference:
THE INTERFACE OF BEHAVIOURAL FINANCE AND QUANTITATIVE FINANCE: 2-3 February 2010 LONDON
Pre-conference Workshop:
News Analytics applied to Trading and Risk Control:
1 Feb 2010, LONDON
CARISMA : The Centre for the Analysis of Risk and Optimisation Modelling Applications, Brunel University
In collaboration with:
- CFR : Centre for Financial Research, Statistical Laboratory, University of Cambridge
- Nomura Centre for Mathematical Finance, the Mathematical Institute, University of Oxford
is organising its annual conference and workshop.
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.
While some contend that Behavioural Finance is more a collection of anomalies than a true branch of finance, the incorporation of quantitative methodologies will provide whole new possibilities for producing meaningful models, using the latest techniques and powerful modelling tools. For example, the prevailing market environment can to some extent be captured by key innovative techniques of news analytics which quantify news sentiments.
This conference provides a platform for some of the leading thinkers and practitioners in this field to demonstrate the fascinating discoveries at the interface of behavioural and quantitative finance and the useful and practical applications which have been developed from them.
Publication: We encourage participants to submit their contributions for publication. We have arranged with the Journal of Risk to include a refereed collection of papers presented at this conference in a special issue of the journal.
To see more detailed programme, please go to:
http://www.optirisk-systems.com/events/carisma2010.asp
Contact Details:
Professor Gautam Mitra, gautam.mitra@brunel.ac.uk
Dr. Xiaochen(Michael) Sun, michael@optirisk-systems.com