GlobalSIP 2013 Symposium on:

Signal and Information Processing in Finance and Economics

Economies and financial markets produce vast amounts of signals requiring automated analysis in order to support decision-making in a wide variety of applications, such as investment, trading, business planning, marketing, and policy design. The objective of this symposium is to bring together signal processing researchers and experts in applied finance and economics, in order to address signal and information processing problems arising in markets, including those for spectrum, electricity, and financial instruments.

Submissions of at most 1 page in two-column IEEE format are welcome on topics including:

Portfolio analysis: modeling and estimation of statistical dependence, sparse portfolios, robust portfolios, portfolio replication and tracking
Risk analysis and modeling
Term structure modeling
Market microstructure analysis and order book modeling
Market making and inventory management
Technical analysis
Algorithmic trading and optimal order execution
Financial networks and systemic risk
Behavioral finance and prospect theory
Pricing and hedging of derivatives
Smart order routing algorithms
Spectrum markets
Electricity markets and Smart Grid
Economics of social networks
Business analytics

Keynote Speakers (1:30-3:30pm December 3, 2013)

Sheridan Titman, University of Texas at Austin, Can Risk Explain the Cross-Sectional Pattern of Stock Returns?

There are a number of stock characteristics that have historically predicted stock returns. I will briefly describe these characteristics and discuss the extent to which the excess returns can be characterized as risk premia or mispricing that is due to either behavioral biases or incorrect priors.

Sheridan Titman holds the McAllister Centennial Chair in Financial Services at the University of Texas at Austin and is a Research Associate of the National Bureau of Economic Research. Prior to joining the faculty at the University of Texas, Sheridan was a Professor at UCLA, the Hong Kong University of Science and Technology and Boston College and spent the 1988-89 academic year in Washington D.C. as the special assistant to the Assistant Secretary of the Treasury for Economic Policy. Sheridan’s academic publications include both theoretical and empirical articles on asset pricing, corporate finance, real estate and energy finance. He won the Smith-Breeden best paper award for the Journal of Finance, the GSAM best paper award for the Review of Finance and was a recipient of the Batterymarch Fellowship. Sheridan has served on the editorial boards of leading academic journals, including the Journal of Finance and the Review of Financial Studies. He has served as President of both the Western Finance Association and the American Finance Association and has served as a Director of the American Finance Association, the Western Finance Association, the Financial Management Association and the Asia Pacific Finance Association. He has also co-authored three finance textbooks, Financial Markets and Corporate Strategy, Valuation: The Art and Science of Corporate Investment Decisions, and Financial Management: Principles and Applications.

Sheridan has a B.S. from the University of Colorado and an M.S. and Ph.D. from Carnegie Mellon University.

Eran Fishler, Pragma Securities LLC, Electrical Engineering and Quantitative Finance: A Tale of Two Seemingly Unrelated Disciplines

Classically signal processing problems involved detection of targets using radar or sonar, separating speech from noise, and more. All these problems were solved under a wide array of assumptions driven by real-life engineering scenarios. In recent years we have witnessed the applications of these methods in the area of quantitative finance. In this talk we will examine a few areas where signal processing methods can be used to solve real-life problems. We will discuss several problems such as risk estimation, market impact, portfolio management, and optimal execution, and will demonstrate the relations between the two fields.

Eran Fishler joined Pragma in August of 2007. He leads the research and technology teams in the day-to-day operations of the company, as well as in developing new offerings to suit the current and future needs of traders. Previously, Eran worked at Hite Capital Management, where he developed an innovative research and trading platform for equity strategies and managed a long-short, market neutral, quantitative equity strategy. Eran holds a Ph.D. in Electrical Engineering from Israel's Tel Aviv University, and an MBA from the Stern School of Business at New York University. He is currently an adjunct professor at Courant Institute for Advanced Mathematics (NYU) and at Columbia University. Eran is an expert in the field of parameter estimation and detection theory and has published over 40 technical papers in the area of statistical signal processing.

Paper Submission

Submit papers of at most 1 page in two-column IEEE format through the GlobalSIP website at http://www.ieeeglobalsip.org/Papers.asp. All papers (contributed and invited) will be presented as posters.

Important Dates

Paper Submission Deadline	June 15, 2013
Review Results Announce	July 30, 2013
Camera-Ready Papers Due	September 7, 2013

Organizing Committee

General Chair

Ilya Pollak

Pragma Securities and Purdue University

Technical Chair

Dmitry Malioutov

IBM T. J. Watson Research Center

Technical Program Committee

Frédéric Abergel, École Centrale Paris
Patrice Abry, Ecole Normale Supérieure de Lyon, CNRS, and Vivienne Investissement
Amir Ali Ahmadi, IBM Research
Ali Akansu, New Jersey Institute of Technology
Emmanuel Bacry, CNRS and École Polytechnique
Yuri Balasanov, Toji Trading Group and the University of Chicago
Randall Berry, Northwestern University
Kostas Bimpikis, Stanford University
Doron Blatt, DRW Holdings
Jean-Philippe Bouchaud, Capital Fund Management and École Polytechnique
Agostino Capponi, Purdue University
Volkan Cevher, École Polytechnique Fédérale de Lausanne
Myung Jin Choi, Two Sigma Investments
Julio Concha, Pragma Securities
Rama Cont, Imperial College London
Jose Costa, DRW Holdings
Serge Darolles, Université Paris Dauphine
Christine De Mol, Université Libre de Bruxelles
Petar Djurić, Stony Brook University
Jose Enrique Figueroa-Lopez, Purdue University
Girish Ganesan, Santa Fe Partners
Jason Hartline, Northwestern University
Alfred Hero, University of Michigan
Jianwei Huang, The Chinese University of Hong Kong
Terrence Ho, AlphaSimplex Group
Michael Honig, Northwestern University
Nicole Immorlica, Northwestern University
William Irving, Fidelity Investments
Garud Iyengar, Columbia University
Emmanuelle Jay, Aequam Capital
Douglas Johnston, Quantalysis
Petter Kolm, New York University
Alex Kreinin, Algorithmics and University of Toronto
Vikram Krishnamurthy, University of British Columbia
Sanjeev Kulkarni, Princeton University
Mingyan Liu, University of Michigan
Ilan Lobel, New York University
Marcos López de Prado, HESS Energy Trading Company and Lawrence Berkeley National Laboratory
David Love, Purdue University
Mark Luettgen, Systems & Technology Research
Danilo Mandic, Imperial College London
David Matteson, Cornell University
Andreea Minca, Cornell University
Kumar Muthuraman, The University of Texas at Austin
Daniel Palomar, Hong Kong University of Science and Technology
Svetlozar Rachev, Stony Brook University and FinAnalytica
Mardavij Roozbehani, Massachusetts Institute of Technology
Francisco Rubio, Genetic Finance Ltd
David Ruppert, Cornell University
Ronnie Sircar, Princeton University
Didier Sornette, ETH Zürich
Akiko Takeda, Keio University
Kush Varshney, IBM Research
Tony Wirjanto, University of Waterloo
Roy Yates, Rutgers University
Yuhua Yu, DRW Holdings
Adam Zelinski, GETCO