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IEEE CIS > Technical Activities

Computational Finance and Economics TC

Announcement

Algo Trading Advancements through Computational Intelligence with Finance and Economics.Accepted for presentation at the IEEE WCCI 2010 conference to be held inBarcelona, Spain, on July 18-23.

Name

This organization is known as the Computational Finance and Economics Technical Committee (CFETC) of the Computational Intelligence Society (CIS) of the Institute of Electrical and Electronic Engineers, Inc. (IEEE).

Purpose and Scope

The purpose of the CFETC is to promote the research, development, education, and understanding of computational finance and economics. Scope of computational finance and economics includes:

  • the development of advanced computing techniques for financial and economic applications;
  • through the application of advanced computing techniques, advance the subjects of finance and economic;
  • to bring research in computational methods to real-world financial and economic applications.

Membership

The CFETC is open to all members of the CIS, as well as to other technical professionals as affiliates. There are three grades of members: active, non-active, and affiliate. Active members are those who regularly participate in CFETC activities and meetings and shall be eligible to vote on matters before the committee. Non-active members are those who have an interest in the CFETC activities but are unable to actively participate. Non-active members will automatically become active members when present at a CFETC meeting. Affiliates are non-IEEE members who have an interest in CFETC activities and meetings, but will not be eligible to vote on matters before the committee.

Officers

The CFETC Chair shall be appointed by the President of the CIS based on the recommendations from the committee, for a one-year term and up to a maximum of three terms. Each November, the CFETC shall make recommendation to the President for appointment of the CFETC Chair for the following year. CFETC members are appointed by the CFETC Chair on an annual basis.

Funding

There is no membership fee for joining the CFETC. Funding for the committee shall be provided by the CIS in the annual budget request. Once approved by the CIS AdCom, funds will be available to support the CFETC activities. The Chair shall be responsible for the appropriate use of the approved funds. The Chair produces an annual financial report to the AdCom.

Activities

The CFETC shall engage in various activities in order to promote wider acceptance of computational finance and economics as a prominent, multi-disciplinary research, identify and promote new areas of research in computational finance and economics, collaborate on production of tutorials and book series within the area, promote IEEE Senior Members and Fellows program, maintain the Committee's website, maintain a network of expertise in computational finance and economics, and organize conferences, workshops or special sessions in CIS-sponsored conferences. The CFETC will actively work with the organizers of CIS-sponsored conferences to insure their technical excellence.

Planned Activities

    Conferences/Workshops
  • IEEE CIFEr 2009

    http://www.ieee-ssci.org/index.php?q=node/28

    2009 IEEE Symposium on Computational Intelligence for Financial Engineering

    The CIFEr Conference is the major collaboration between the professional engineering and financial communities, and is one of the leading forums for new technologies and applications in the intersection of computational intelligence and financial engineering. Intelligent computational systems have become indispensable in virtually all financial applications, from portfolio selection to proprietary trading to risk management.

    Our Program: http://www.ieee-ssci.org/index.php?q=node/56

  • The fourth International Conference on Economic Science with Heterogeneous Interacting Agents

    Beijing Normal University, Beijing, June 18-20, 2009.

    http://www.eshia2009.org/

  • The Sixth International Workshop on Agent-based Approaches in Economic and Social Complex Systems

    National Chengchi University, Taipei, Nov. 13-14, 2009.

    http://www.aiecon.org/conference/aescs2009/index.htm

  • 2010 Econophysics Colloquium

    Academia Sinica, Taipei, Nov. 4-6, 2010.

    http://www.phys.sinica.edu.tw/~socioecono/econophysics2010/

  • The next Cifer Conference is being planned in 2011 along side the IEEE SSCI conference which will be hosted either in Europe or Asia next. This is still pending approval. For more details contact Robert Golan.
    We are also planning special sessions and a panel session at WCCI 2010 in Barcelona, Spain. http://www.wcci2010.org/

  • To seek for others non-IEEE conferences in order to collaborate with.

    Publications
  • A newsletter has been started.

    The Computational Finance & Economics Technical Committee Newsletter Editors will be:
    Dr. Agostino Capponi, Robert Golan, Dr. Han La Poutre

    Submission details are as follows: This electronic letter is intended as a source for rapid dissemination of information to the computational intelligence society around the world. We welcome submissions in the form of novel proposals or replies to earlier proposals submitted by other authors.

    The length of each proposal should be approximately 2-3 pages. The main purpose of the newsletter is to stimulate discussion among specialists, both academicians and industrial practitioners, on important topics at the frontier of machine learning, artificial intelligence computational finance and economics. These areas include agent-based computational modeling, financial calibration of interest rate, equity and credit risk models, computational econometrics and statistics, computational modeling of dynamic macroeconomic systems, computational tools for the design of automated Internet markets. The newsletter can be thought of as an initial vehicle to get or provide feedback on research problems. The authors interacting on this newsletter may later consider writing papers and submitting them to leading research journals.

    Content: Topics of interest include, but are not limited to: computational methods for calibrating financial models, pattern recognition techniques for identifying structures in social and trading networks, (real) option based methodologies to value investments, sequential decision making policies under uncertainty, probabilistic models for the evolution of financial, electronic and prediction markets, analytical methods for characterizing value and cost of information.

    Register Audio/Video: You may register a video or audio telling us about your current research and problems that are currently under your investigation. You may share views on research problems with other leading experts in the field.

    Please send your submissions to:
    Dr. A. Capponi
    Division of Engineering and Applied Sciences
    California Institute of Technology
    Pasadena (CA), US
    acapponi@caltech.edu
    http://www.cs.caltech.edu/~acapponi
    Tel: 1.626.757.1140

  • We have already organized a Special Issue on Evolutionary Computation in Finance and Economics in the journal Computational Intelligence and all CEC 2005 papers were invited for submissions of extended versions, forthcoming.
  • To organize a Special Issue on Computational Finance and Economics in Applied Intelligence (the proposal has already been accepted by Moonis Ali, Editor-in-Chief) and all CEC 2006 papers would be invited for submissions of extended versions (this may be publicized in CEC 2006).
  • To organize a Special Issue on Computational Finance and Economics in IEEE Transactions on Evolutionary Computation (preliminary discussion with Xin Yao, Editor-in-Chief of TEC) and all CEC 2007 papers would be invited for submissions of extended versions.
  • Encourage members to submit papers to and get involved in the reviewing process of the IEEE Transactions on Evolutionary Computation, which covers roughly half of the research done in this area.
  • To seek cooperation with WEHIA to publish WEHIA 2005 as an IEEE book (to be discussed with WEHIA organizers and David Fogel and Jim Keller, CIS VP for Publications).

    Membership
  • Recruit members to represent under-represented geographical areas and regions.
  • Recruit members to represent emerging topical areas interested to CFETC and CIS.
  • Assist in recruiting IEEE and CIS membership.
  • Assist in technical activities held within CIS local chapters.

    Others
  • To solicit IEEE Senior Membership and Fellow nominations within the technical community.
  • To pursue collaborations with other technical societies within and outside IEEE.
  • To maintain CIS webpages with the most current, up-to-date information.
  • To maintain a CFETC Network.

Meetings

Meetings will be called by the Chair once a year, usually in conjunction with the CIS AdCom meetings, or at IEEE conferences organized by the CFETC, or as requested by the CFETC members. Sufficient advance notice of the meetings will be given to the members, as well as to other interested parties. The Chair shall prepare an agenda before the meeting, and shall prepare minutes for distribution after the meeting. Please email Robert Golan if you would like the details of any of the below meetings.

Details:
The 2009 CFE TC meeting was hosted on March 31st in Nashville at Cifer '09.

Upcoming Meetings:
The Adcom meeting will occur in Atlanta on June 12/14 where the CFE TC reports will be presented. Even though we had a meeting at Cifer'09 another meeting will occur in Atlanta too.
2010 CFE TC meeting: Will occur with WCCI at Barcelona,Spain. We are also planning a panel session and possible special sessions. Please contact Robert Golan if your interested in participating.

Amendments

This Charter becomes official after at least 2/3 core members present at The Committee Meeting approves it. Subsequent changes and amendments also require 2/3 majority vote.

Members

Robert GolanRobert Golan , Chair (2010)
DBmind Technologies Inc.
2829 Indian Creek Drive, Suite 1211
Miami, Florida 33140, USA
phone: 305 695 9344
email: golan .a_t. dbmind.com
www: www.dbmind.com/pages/2/index.htm
Shu-Heng ChenShu-Heng Chen, Vice Chair (2010)
AI-ECON Research Center, Department of Economics
National Chengchi University
#64 Zhinan Road Sec. 2, Department of Economics, National Chengchi University
Taipei 11623, Taiwan
phone: +886-2-2234-9803
email: chchen .a_t. nccu.edu.tw
www: www.aiecon.org/
Dirk Van den PoelDirk Van den Poel, Vice Chair (2010)
Marketing Modeling / Analytical CRM
Ghent University
Tweekerkenstraat 2
Gent B-9000, Belgium
email: dirk.vandenpoel .a_t. ugent.be
www: www.crm.ugent.be
Hans AmmanHans Amman
Netherlands
email: amman .a_t. uu.nl
Payman ArabshahiPayman Arabshahi
University of Washington
Applied Physics Laboratory and
Dept. of Electrical Engineering
Box 355640
Seattle, WA 98195-5640, USA
phone: (+1 206) 221-6990
www: faculty.washington.edu/paymana
Amir AtiyaAmir Atiya
Dept Computer Engineering
Cairo University, Egypt
email: amir .a_t. alumni.caltech.edu
www: www.alumni.caltech.edu/~amir
Anthony BrabazonAnthony Brabazon
UCD Natural Computing Research and Applications Group
School of Business
University College Dubin
Belfield, Dublin 4, Ireland
email: anthony.brabazon .a_t. ucd.ie
Derek BunnDerek Bunn
London Business School
UK
Chenghui CaiChenghui Cai
High Frequency Trading Department
Cantor Fitzgerald L.P.
499 Park Ave
New York, NY 10022, USA
phone: 1-919-218-7907
email: caichenghui .a_t. gmail.com
www: www.aitrading.org
Agostino CapponiAgostino Capponi
Department of Computer Science
California Institute of Technology
1200 E. California Blvd.
Pasadena, California 91125, USA
phone: +1(626) 757-1140
fax: +1(852) 2858-9041
email: acapponi .a_t. caltech.edu
www: www.cs.caltech.edu/~acapponi
Pei-Chann ChangPei-Chann Chang
Dept. of Information Management
Yuan Ze University
135 Yuan-Tung Rd
Chung-Li 32003, Taiwan
phone: 886-3-463-8800 ext. 2305
fax: 886-3-463-8884
email: iepchang .a_t. saturn.yzu.edu.tw
www: www.ci.yzu.edu.tw/en/page2-en.html
Sung-Bae ChoSung-Bae Cho
Department of Computer Science
Yonsei University
134 Shinchon-dong, Sudaemoon-ku
Seoul 120-749, Korea
phone: +82 2 2123 2720
fax: +82 2 365 2579
email: sbcho .a_t. yonsei.ac.kr
www: sclab.yonsei.ac.kr
Silvano CincottiSilvano Cincotti
Genua
Italy
email: Silvano.Cincotti .a_t. unige.it
Jan W. DashJan W. Dash
Visiting Research Scholar, Fordham University, New York
Adjunct Professor, Courant Institute, NYU, New York
President, J. Dash Consultants LLC
phone: 732-513-6623
email: jdash9 .a_t. comcast.net
Herbert DawidHerbert Dawid
Chair for Economic Theory and Computational Economics
Bielefeld University
P.O. Box 100131
Bielefeld 33501, Germany
phone: +49-521-1064843, 1066931 (secr.)
fax: +49-521-10689005
email: hdawid .a_t. wiwi.uni-bielefeld.de
Suash DebSuash Deb
Dept. of Computer Science & Engineering
C. V. Raman College of Engineering
Bidyanagar, Mahura, Janla
Bhubaneswar, Orissa 752054, India
phone: (0674)2460743
email: suashdeb .a_t. gmail.com
www: www.cvraman.org/cvrce/faculty.htm
Manfred GilliManfred Gilli
University of Geneva
Switzerland
email: Manfred.Gilli .a_t. unige.ch
Pedro IsasiPedro Isasi
Department of Computer Science
Universidad Carlos III de Madrid
Avda. Universidad 30, Office 2.1.B.13
Madrid 28911, Spain
phone: (+34 91) 624 9455
fax: (+34 91) 624 9129
email: isasi .a_t. ia.uc3m.es
www: et.evannai.inf.uc3m.es/personal/pedro
Uzay KaymakUzay Kaymak
Econometric Institute
Erasmus University Rotterdam
P.O. Box 1738
Rotterdam, DR 3000, Netherlands
phone: +31 10 408 1350
fax: +31 10 408 9162
email: kaymak .a_t. ese.eur.nl
www: people.few.eur.nl/kaymak/
Jiming LiuJiming Liu
Dept. of Computer Science
Hong Kong Baptist University
Kowloon Tong, Hong Kong SAR
phone: (852) 3411-2387
fax: (852) 3411-7892
email: jiming(at)comp.hkbu.edu.hk
www: www.comp.hkbu.edu.hk/~jiming/
Milan LovricMilan Lovric
Department of Business Economics
Erasmus School of Economics (ESE)
Erasmus University Rotterdam
Netherlands
phone: +31 10 4088946
email: lovric .a_t. ese.eur.nl
Dietmar MaringerDietmar Maringer
Department of Quantitative Methods
Economics and Business Faculty, University of Basel
Peter Merian-Weg 6, P.O. Box
Basel CH-4002, Switzerland
email: dietmar.maringer .a_t. unibas.ch
www: wwz.unibas.ch/maringer
Robert J. Marks IIRobert J. Marks II
Department of Electrical and Computer Engineering
Baylor University
1311 S. 5th Street, ECS 304B
Waco, TX 76798-7356, USA
phone: (+1 254) 710 7302
fax: (+1 254) 710 3839
email: r.marks .a_t. ieee.org
www: www.RobertMarks.org
Scott H. MathewsScott H. Mathews
Business Engineering
Boeing Research & Technology
phone: (206) 766- 3962
email: scott.h.mathews .a_t. boeing.com
Benjamin MelamedBenjamin Melamed
Professor II, Dept. of Supply Chain Management and Marketing Sciences
Managing Director, Business, Engineering, Science and Technology Institute
Co-Director, Laboratory for Port Security
Rutgers Business School - Newark and New Brunswick
256 Levin Building, 94 Rockafeller Rd.
Piscataway, NJ 08854
phone: (732) 445-3128
fax: (732) 445-5946
email: melamed .a_t. rbs.rutgers.edu
www: melamed.rutgers.edu
Augusto Ruperez MicolaAugusto Ruperez Micola
Department of Economics and Business
Universitat Pompeu Fabra
c/ Ramón Trías Fargas, 25-27
Barcelona 08005, Spain
email: augusto.ruperezmicola .a_t. upf.edu
Akira NamatameAkira Namatame
Dept. of Computer Science
National Defense Academy
Yokosuka, 239-8686, Japan
phone: +81-46-841-3810 (Ext 2432)
email: nama .a_t. nda.ac.jp
Daniel ParaschivDaniel Paraschiv
DERI
National University of Ireland, Galway
IDA Business Park,Lower Dangan
Galway, Galway, Ireland
phone: +353857623472
fax: +353 91 495541
email: daniel.paraschiv .a_t. deri.org
Han La PoutreHan La Poutre
CWI (National Institute for Mathematics and Computer Science)
Kruislaan 413 1098 SJ
Amsterdam, The Netherlands
phone: (+31)(0)20-5924082
fax: (+31)(0)20-5924199
email: hlp .a_t. cwi.nl
www: homepages.cwi.nl/~hlp
Anita PrinzieAnita Prinzie
University of Manchester / Manchester Business School
Manchester, UK
email: anita.prinzie .a_t. mbs.ac.uk
David QuintanaDavid Quintana
Department of Computer Science
Universidad Carlos III de Madrid
Av. de la Universidad 30
Leganes 28911, Spain
email: dquintan .a_t. inf.uc3m.es
Asuncion Mochon SaezAsuncion Mochon Saez
Department of Applied Economics and Economic History
National University for Distance Education
Spain
email: amochon .a_t. cee.uned.es
Yago SaezYago Saez
Associate Professor
Vicehead of the Computer Science Department
Artificial Intelligence Area
University Carlos III from Madrid
Office 2.1.C.13
phone: +34 91 6248456
email: yago.saez .a_t. uc3m.es
Gerald ShebleGerald Sheble
Portland State University
USA
Roman SlowinskiRoman Slowinski
Head of the Laboratory of Intelligent Decision Support Systems
Poznan University of Technology 60-965, Poland
email: roman.slowinski .a_t. cs.put.poznan.pl
www: idss.cs.put.poznan.pl/site/rslowinski.html
Stan UryasevStan Uryasev
Department of Industrial and Systems Engineering
University of Florida
303 Weil Hall, Gainesville
Gainesville, Florida 32611-6595, USA
phone: +1(352)392-1464
fax: (852) 2858-9041
email: Uryasev .a_t. ufl.edu
www: www.ise.ufl.edu/uryasev
Ursula TheilerUrsula Theiler
Risk Training
Leite 37
Kleinmachnow, Germany D-14532 , Germany
email: theiler .a_t. risk-training.org
www: www.ursula-theiler.de
Edward TsangEdward Tsang
Department of Computer Science
University of Essex
Colchester CO4 3SQ, UK
phone: (+44 1206) 872 774
fax: (+44 1206) 872 788
email: edward .a_t. essex.ac.uk
www: cswww.essex.ac.uk/CSP/edward
Daniel J. VeitDaniel J. Veit
University of Mannheim Business School
Schloss
Mannheim 68131, Germany
email: veit .a_t. bwl.uni-mannheim.de
www: veit.bwl.uni-mannheim.de/
Garnett WilsonGarnett Wilson
President & CTO
Afinin Labs Inc.
St. John's A1B 3X5 , Canada
phone: (709) 737-3504
email: gwilson .a_t. afinin.com
www: www.afinin.com
Donald C. Wunsch IIDonald C. Wunsch II
Dept. of Electrical and Computer Engineering
Missouri University of Science & Technology
301 W. 16th St, 131 EECH
Rolla MO 65409, USA
phone: 573-341-4521
fax: 573-341-4532
email: wunsch .a_t. ieee.org
www: www.linkedin.com/in/wunsch
Ronald R. YagerRonald R. Yager
Machine Intelligence Institute
Iona College
New Rochelle, NY 10801, USA
phone: 212 249 2047
email: Yager .a_t. Panix.Com
www: www.panix.com/~yager/HP/rry.html
Xin-She YangXin-She Yang
Mathematics and Scientific Computing
National Physical Laboratory
Teddington, London TW11 0LW, UK
phone: (44-20) 8943 6092
email: xin-she.yang .a_t. npl.co.uk
Xin YaoXin Yao
The Centre of Excellence for Research in Computational Intelligence and Applications
School of Computer Science
The University of Birmingham
Edgbaston, Birmingham B15 2TT, United Kingdom
phone: (+44 121) 414 3747
fax: (+44 121) 414 2799
email: x.yao .a_t. cs.bham.ac.uk
www: www.cs.bham.ac.uk/~xin/
Philip YuPhilip Yu
Department of Statistics and Actuarial Science
The University of Hong Kong
Pokfulam Road,
Hong Kong, Hong Kong, China
phone: (852) 2857-8321
fax: (852) 2858-9041
email: plhyu .a_t. hku.hk
www: www3.hku.hk/statistics/staff/plhyu/
Wojciech ZiarkoWojciech Ziarko
Department of Computer Science
University of Regina
Regina, Saskatchewan S4S 0A2, Canada
phone: (306) 585-5213
email: ziarko .a_t. cs.uregina.ca

Task Forces

  • on Agent-based Computational Economics, Chair: Herbert Dawid
  • on Advanced Algo Trading, Chair: Philip Yu, Vice Chair: Chenghui Cai, Daniel Paraschiv
  • on Energy Markets, Chair: Daniel J. Veit
  • on Portfolio Optimization, Chair: Dietmar Maringer, Vice Chair: Garnett Wilson
  • on Risk Management, Chair: Agostino Capponi, Vice Chair: Stan Uryasev, Ursula Theiler
  • on Business Intelligence & Knowledge Management, Chair: Suash Deb,
        Vice Chair: Xin-She Yang
  •