IMA Mathematics in Finance

Apr 8 2013 - 00:00
Apr 9 2013 - 23:59
Venue: 

Edinburgh Conference Centre, Heriot-Watt University

Short description of the event: 

One persistent theme in the history of mathematics is the close relationship between the subject and finance. From the Babylonians, through Fibonacci and then Stevin, Pascal, Fermat, Huygens, Bernoulli and Bachelier the development of mathematics has often been based on solving problems in finance.

The series of financial crises following 2007 have highlighted the need for novel mathematics to address the increasingly complex problems of finance. The IMA Conference on Mathematics in Finance has been organised in conjunction with the Bank of England, now responsible for financial stability in the UK, and with reference to the Department for Business Innovation and Skills Foresight project on the Future of Computer Trading in Financial Markets. The aim is to encourage mathematicians, from a wide range of backgrounds, to address important societal issues in relation to the operation of modern markets.

On this basis we are inviting academics and practitioners to submit papers to the Conference describing mathematical models of
• Systemic risks in financial markets
Macroeconomic models of insolvency cascades, including early warning indicators and systemic risk measures.
• Feedback or learning in financial markets
Macroeconomic models addressing issues of “super-portfolios”, homogeneity in trading strategies or herding and bubbles.
• Complex systems in finance and economics
Macroeconomic models involving, for example, coupled systems, hierarchies, evolution and addressed using complexity theory.

• Leverage and liquidity
Microeconomic models accommodating liquidity fluctuations in the markets. For example, models accommodating the price-impact of transactions or loss of liquidity in the debt market.
• Behavioural finance
Microeconomic models incorporating cognitive or social factors, for example prospect theory, hyperbolic discounting or time-inhomogeneous utility.
• Knightian uncertainty or non-ergodic markets
Microeconomic models incorporating Knightian uncertainty, ambiguity, or transient parameters (for example, regime switching).

• Pre- and post-trade analysis in computer based trading
Models relating to algorithmic execution of trades, statistical arbitrage or “predatory trading”, both predictive analysis (pre-trade) and post trade “learning”. Including data mining techniques.
• Stability in electronic markets
Simulation of markets, tools for bench-testing of algorithms.
• Risk and solvency in insurance
Models developed specifically to address issues in the insurance markets related to Solvency II.

• Econophysics
Models emerging out of statistical mechanics, including the application of random field theory and random media to finance and economics, as well as multi-agent models.

Call for Papers
Papers will be accepted for the conference based on a 150 word abstract for oral or poster presentation. Abstracts should be submitted by 15 December 2012 either online at http://online.ima.org.uk or by e-mail to conferences@ima.org.uk

Please state whether your title is intended for oral or poster presentation. Oral presentations are expected to be 30 minutes in length, including time for questions and answers.

Abstracts are expected to following the following template:
Title
Contributing author(s) Initials, Surname
Affiliation(s) Department, organisation.

Abstract: 150 words - text only.

Contributors of accepted abstracts will be invited to submit papers that will be made available to delegates at the conference. Selected papers will be peer-reviewed and published as a special issue of the IMA Journal of Management Mathematics.

Invited Speakers
To be confirmed.

Organising Committee
Dr Timothy Johnson, Heriot-Watt University - Chair
Professor Alexander McNeil, Heriot-Watt University - Co-Chair
Dr Rodrigo Guimaraes, Bank of England
Professor David Hobson, University of Warwick
Professor Philip Treleaven, University College London

Further information
For further information on this conference, please visit the conference webpage:
http://www.ima.org.uk/conferences/conferences_calendar/mathematics_in_fi...

Contact information
For scientific queries please contact: Dr Tim Johnson, t.c.johnson@hw.ac.uk
For general conference queries please contact Lizzi Lake, Conference Officer
E-mail: conferences@ima.org.uk Tel: +44 (0) 1702 354 020
Institute of Mathematics and its Applications, Catherine Richards House, 16 Nelson Street, Southend-on-Sea, Essex, SS1 1EF, UK.