[R-SIG-Finance] Fwd: Computational Finance and Microstructure Models session

[German Creamer]

Call for Papers: Computational Finance and Microstructure Models
Modeling High Frequency Data in Finance 3 Conference
(http://kolmogorov.math.stevens.edu/conference2011)
July 27 - July 31, 2011
Stevens Institute of Technology, Hoboken, NJ,

The transformation of the major stock exchanges into electronic
financial markets has encouraged the development of automated trading
systems;  these systems process streams of data and make instantaneous
investment decisions. Such automated trading systems have often been
built using agent-based modeling and machine learning; many other
approaches are also possible.

The Center for Decision Technologies at Stevens
(http://howe.stevens.edu/research/research-centers/decision-technologies)
is organizing a special session on computational finance and
microstructure models at the "Modeling
High Frequency Data in Finance 3" Conference. The Center invites
researchers interested to present and discuss their work using
computational intense methods to either analyze market activity or
construct trading systems. This special session puts emphasis on
microstructure models. Machine learning methods, time series methods,
complex systems, and agent-based models might be applied. In addition,
we are particularly interested in methods that model trading behavior
using social network analysis techniques, applied to the interactions
between traders, human and machine. Models that address the cognitive
aspects of traders’ decision making are also encouraged. Such work
might analyze the shape and content of social media that bear on
market transactions, and might propose new indicators of systemic
risk.

The National Science Foundation will mostly support US travel costs,
the registration fee and  housing in student dorms for one of the
authors of the papers accepted in this session. See the conference's
website for further details:
(http://kolmogorov.math.stevens.edu/conference2011/index.php/registration-and-support)

If you would like to submit a paper for presentation, please submit
your name, affiliation, email, and a (short) draft paper to: Germán
Creamer, Stevens Institute of Technology, gcreamer at stevens.edu

Deadline for paper submission: May 1st., 2011.