The old paradigm of contentment:
single noninteracting linear cow.
Theorist preparing to reenter Earth orbit.
(Photo S. Rugh)
(Gunilla Feigenbaum)
Computational
Finance
CF99
January
7  8 (Conference)

Tutorials
(January 6)
10:45
 12:45 Forecasting
Volatility
Prof. Stephen Figlewski, Finance Department, Stern School of Business, New York University The tutorial will describe the different forecasting approaches and present a critical discussion of the tactics, strategy, and underlying philosophy behind them.

1:45
 3:45 NeuroDynamic
Programming and Reinforcement Learning for Finance
Prof. Benjamin Van Roy, Engineering Economic Systems Department, Stanford University In principle, a wide variety of financial decision problems  ranging from dynamic asset allocation to hedging to transaction cost optimization  can be formulated in terms of stochastic control and solved by the algorithms of dynamic programming. Unfortunately, due to the curse of dimensionality, the associated computational requirements become intractable in most practical contexts. 
Greg Huber discovers that icky, squishy, wet, and
nonintegrable aliens have occupied his bathroom.
Huber (Kultur) exponent
``... and on the loglog plot the multifractal multiscaling multiaffine multidata fall on the straight line with slope .87013456.... give or take .00000002, exactly!!! It is the most important result since Galilei!!!!''
[Vachtang: ``... at least they lie on the plane'']
P. Dimon , Phys.Rev. Letts. (196998):
DOGS conceptual breakthroughs, Phys. Rev. Letts. (1998):
The HansenOlesenAndersenPedersenChristensenNielsenHansen
hierarchical model.
So what is that makes CATS lives worth living?
The stimulating intellectual climate of CATS.
Lo studente Paolo:
``But Professore Civitanovic said I should
rotate my head 480 deg.!''
Kai: ``It's a little known fact that Vikings attacked
wearing towels''
Martin: ``The life of a postdoc is not for the weak.''
Michael Steen Hansen
Hidetoshi Nishioka
Dieter Wintgen
Giovanni Paladin
``... nevertheless ...''
``... morrrrrrreoverrrrr...''
``...blah..blah..blah..''
``vuh....''.
13 March 1999

predrag@nbi.dk