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Seminar
Department of Systems Engineering and Engineering Management
The Chinese
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Title |
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The Event Calculus on
High Frequency Finance |
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Speaker |
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Prof. Edward Tsang |
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Date |
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July 29th, 2011 (Friday) |
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Time |
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4:30 p.m. - 5:30 p.m. |
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Venue |
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Room 513 |
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William M.W. Mong Engineering
Building |
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(Engineering Building Complex Phase 2) |
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CUHK |
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Abstract:
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To understand financial markets and prevent unnecessary
crises, markets should be studied scientifically. With event calculus, this paper
formalizes market clearance dynamics under simple market models. The
immediate future is determined by the present state plus the orders in the
market. The purpose of this calculus is not to forecast orders, but to
provide a means to reason with market dynamics and assess risk. Using logic
reduces ambiguity and enables rigorous reasoning. An algorithm for assessing
risk is proposed. Real markets are more complex than the models presented in
this paper. However, this paper lays a solid foundation for studying market
models. |
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Biography:
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Edward
Tsang holds a first degree in Business Administration (1977, major in
Finance) and a PhD degree (1987) in Computer Science. Prior to his PhD
studies, he served for five years in various positions in the commercial
sector in Edward Tsang was a co-founder of Centre for Computational Finance and Economic Agents (CCFEA). CCFEA is an interdisciplinary research centre, which applies artificial intelligence methods to problems in finance and economics. It is supported by City Associates, which is supported by HSBC, Olsen & Associates, Ionic Sharescope, Bank of England, Old Mutual and other companies. Edward
Tsang has broad interest in artificial intelligence. He is best known in his
research in constraint satisfaction (a branch of combinatorial optimisation for decision support and scheduling) and
computational finance and economic agents (in particularly, forecasting and
automated bargaining). Heuristic search and evolutionary computation are the
main techniques used to these applications. He established and leads the
Constraint Satisfaction and Optimisation Research
Group and the Computational Finance research group at Edward
Tsang regularly serves the research community. He founded the Technical Committee in Computation
Finance and Economics in IEEE’s Computational Intelligence Society in 2004,
and chaired it until the end of 2005. He serves in editorial boards of IEEE
Transactions in Evolutionary Computation, Constraints, the Scheduling journal
and other journals. He has been a member of the Computing College of
Engineering and Physical Sciences Research Council ( Edward
Tsang’s research is highly industry-relevant. He has given consultation to
GEC Marconi, British Telecom, the Commonwealth Secretariat, Old Mutual Asset
Managers, RAS and other organizations. Guided
Local Search, developed in his laboratory, has been embedded in ILOG DISPATCHER, a
commercial product for vehicle
routing. EDDIE, a financial forecasting tool, has
attracted much commercial interest. |
************************* ALL ARE WELCOME ************************
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Host |
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Prof. Duan Li |
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Tel |
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(852)
2609-8316/8323 |
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Email |
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Enquiries |
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Prof. Nan Chen or Prof. Sean X. Zhou |
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Department of Systems Engineering and Engineering
Management |
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CUHK |
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