Conference Announcement

The meeting will cover both quantitative and qualitative methods for economics, finance and decision-making. Papers on the following subjects: computational tools for linear and non-linear systems, stochastic control, automatic differentiation, nonlinear model solution methods, mathematical programming algorithms, variational inequality and other algorithms for computing equilibria, algorithms, models of decision-making including genetic algorithms, auction modeling, neural networks, computability and complexity theory, parallel and supercomputing, qualitative reasoning and models including qualitative simulation will be presented. Papers on financial engineering, information technologies, databases, intelligent user interfaces, network pricing, artificial intelligence, decision support systems, management information systems are also being presented.

The conference will include invited lecturers, contributed papers and discussions on recent developments and applications in the field of computational economics and computational finance.

Computational Economics Conference
RGK Foundation
2815 San Gabriel
Austin, Texas 78705
Phone: 512-474-9298
Fax: 512-499-0245

MONDAY, MAY 22

7:15 a.m.

Buses leave Omni Austin Hotel for IC2 Institute

7:30 a.m.

Registration and Continental Breakfast

8:00 a.m.

Introduction and Welcome from Conference Sponsors
Andrew B. Whinston, The University of Texas at Austin, Center for Information Systems Management
George Kozmetsky, Director, IC2 Institute The University of Texas at Austin
Richard Dusansky, Department of Economics The University of Texas at Austin
Jim Dyer, Department of MSIS The University of Texas at Austin

8:30-10:00

Concurrent Sessions

Auditorium

8:30 a.m.

Learning to Win Keynesian Beauty Contests: It's All in the Genes
John Duffy, University of Pittsburgh

9:00 a.m.

A Trade Coalition Game with Preferential Partner Selection
Leigh Tesfatsion, Iowa State University

9:30 a.m.

On Learning and the Stability of Cycles
James Bullard, University of Pittsburgh

Seminar Room A

8:30 a.m.

Genetic Algorithms
Chris Birchenhall, University of Manchester

9:00 a.m.

Learning in a Computable Setting
Francesco Luna, Universita di Venezia

9:30 a.m.

Adaptive Bahaviour, Decision Rules and Computability
K. Velupillai, The Queen's University of Belfast

Seminar Room B

8:30 a.m.

Experimenting with a Cellular Model of Italian Economic Development
Lionello F. Punzo, University of Siena

9:00 a.m.

From Discrete to Continuous Time Dynamical Systems: Viability Issues in a Model of Growth and Fluctuations
Mario Amendola, Univeristy of Rome
Jean-Luc Gaffard, CNRS-LATAPSES, Nice

9:30 a.m.

Population Dynamics and the Choice of Different Organizational Settings: Some Simulation Experiments Using Genetic Algorithms
PierMarie Pacinl, University of Pisa

10:00 a.m.

Coffee Break

10:30 a.m.

Impacts on DEA Computation of Recent Theoretical Advances a and of Gaps in the Theory
Robert M. Thrall, Rice University

11:00 a.m.

Several Algorithms to Determine Multipliers for Use in Cone-Ratio Envelopment Approaches to Efficiency Evaluations in DEA
Kaoru Tone, Saitama University

11:30 a.m.

Semiparametric Approaches to Stochastic Panel Frontiers with Applications to the Banking Industry
Robin Sickles, Rice University

12:00 p.m.

Lunch

1:00 p.m.

General International Financial Equilibrium Modeling and Computation
Anna Nagurney, University of Massachusetts

1:30 p.m.

The Valuation of Default Risk in Credit Derivatives: Com putational Aspects
Soren Nielsen, The University Texas at Austin

2:00 p.m.

A Min-Max Algorithm with Applications to Risk Management
Berc Rustem, Imperial College of Science

2:30 p.m.

Income and Wealth Heterogeneity in the Macroeconomy
Per Krusell, University of Rochester

3:00 p.m.

Coffee Break

3:30-5:00

Concurrent Sessions

Auditorium

3:30 p.m.

A Behavorial Approach to a Strategic Market Game
Martin Shubik and Nick Vriend, Santa Fe Institute

4:00 p.m.

Artificial Selection: Genetic Algorithms and Learning in a Rational Expectations Model
Bryan R. Routledge, University of British Columbia

4:30 p.m.

Strategic Uncertainty and the Genetic Algorithm Adaptation
Jasmina Arifovic, Simon Fraser University

Seminar Room A

3:30 p.m.

Numerical and Theoretical Analysis on An Open Market Operation Problem
Jenny X. Li, Penn State University

4:00 p.m.

Stability of the Mexican Financial System
Arne Kildegaard, Tulane

4:30 p.m.

Hybrid Algorithms with Automatic Switching for Solving Nonlinear Computable General Equilibrium Models
A. Hughes Hallett, University of Strathclyde

Seminar Room B

3:30 p.m.

Programming Languages in Economics
David Kendrick, The University of Texas at Austin

4:00 p.m.

Social Phenomena and Computing
Bernardo Huberman, Xerox Palo Alto Research Center

4:30 p.m.

Solving Multistage Stochastic Programs via a Nonlinear Interior-Point Algorithm & Tree Disection
Adam Berger, Princeton University

5:00 p.m.

Buses leave IC2 Institute for Omni Austin Hotel

7:00 p.m.

Banquet at Omni Austin Hotel

TUESDAY, MAY 23

7:15 a.m.

Buses leave Omni Austin Hotel for IC2 Institute

7:30 a.m.

Continental Breakfast

8:30-10:00

Concurrent Sessions

Auditorium

8:30 a.m.

Wavelet Basis Selection for Regression by Cross-Validation
Seth Greenblatt, University of Reading

9:00 a.m.

Adaptive Spline Generation through Linear Programming: Applications to Stochastic Dynamic Programming
Stanley Zin, Carnegie Mellon

9:30 a.m.

Parameter Estimation of RBC Models
Willi Semmler and Gang Gong, Eugene Lang College

Seminar Room A

8:30 a.m.

Explaining Term Premia Using Multiprocess Mixture Models: Evidence from the Term Structure
Basma Bekdache, Wayne State University

9:00 a.m.

A Testing of the CAPM Using Aggregate
W. Davis Dechert, University of Houston

9:30 a.m.

Adaptive Behaviour, Decision Rules and Computability
Bent Jesper Christensen, New York University

Seminar Room B

8:30 a.m.

Modeling Expected Realignments
Meral Karasulu, Boston College

9:00 a.m.

A Computable Approach to the Efficient Market Hypothesis
Shu-Heng Chen, National Chengchi University

9:30 a.m.

On Line Performance Measurement for Actively Managed Portfolios
Thomas K. Phillips, Rogers Casey

10:00 a.m.

Coffee Break

10:30 a.m.

Programming Languages in Economics
Hans Amman, The University of Amsterdam
David Kendrick, The University of Texas at Austin

11:00 a.m.

Ex-Post and Robust Stochastic Optimization and Simulation
Charles Tapiero, Ecole Supérieure Nationale

11:30 a.m.

Computing Malmquist Indexes and DEA Approaches for use in Evaluating the Performance of National Economies
Russell Thompson, University of Houston

12:00 p.m.

Lunch

1:00 p.m.

Income and Wealth Heterogeneity in the Macroeconomy
Anthony Smith, Carnegie Mellon University

1:30 p.m.

Modeling the Stability of the Term Structure of Interest Rates
Christopher Baum, Boston College

2:00 p.m.

Stochastic Programming in Finance
Aram Sogomonian, Unocal

2:30 p.m.

Asset Liability Management
Diem Ho, IBM ECAMF

3:00 p.m.

Coffee Break

3:30-5:00

Concurrent Sessions

Auditorium

3:30 p.m.

Computation Macrosystems
Finn Kydland, The University of Texas at Austin

4:00 p.m.

Technical Progress and Aggregate Fluctuations
Gary Hansen, University of California

Seminar Room A

3:30 p.m.

Predicting Capitalization-weighted and Performance Indices using Linear and Neural Network Models
Christian Helmenstein, Institute for Advanced Studies

4:00 p.m.

Neural Networks for Contingent Claims Pricing via the Galerkin Method
Emilio Barucci, University of Florence

Seminar Room B

3:30 p.m.

Calibrating a Dynamic Gravity Model via Linear Associative Memories, Automatic Differentiation, and Quasilinearization
Robert Kalaba and Rong Xu, University of S. California

4:00 p.m.

Computing the Implied Volatility of U.S. Interest Rates from Callable U.S. Treasuries
Ehud I. Ronn, The University of Texas at Austin

KEYNOTE SPEAKER - Auditorium

4:30 p.m.

Computational Economics and Economic Theory: Substitutes or Complements?
Ken Judd, Stanford University

5:30 p.m.

Buses leave IC2 Institute for Omni Austin Hotel

WEDNESDAY, MAY 24

7:30 a.m.

Buses leave Omni Austin Hotel for IC2 Institute

7:45 a.m.

Continental Breakfast

8:00-10:00

Concurrent Sessions

Auditorium

8:00 a.m.

Accuracy Estimates for Numerical Solutions of Economic Growth Models
Manuel Santos, ITAM, Mexico

8:30 a.m.

Maximum Likelihood Estimation of Nonlinear Rational Expectations Asset Pricing Models
Xiongwen Rui, The Ohio State University
Mario J. Miranda, The Ohio State University

9:00 a.m.

A Computational Tiebout Model
Scott Page, California Institute of Technology

Seminar Room A

8:30 a.m.

Sensitivity Analysis in DEA: The Discretionary and Nondiscretionary Variable Cases with Applications
Patrick L. Brockett, The University of Texas at Austin

9:00 a.m.

TBA

9:30 a.m.

Parallel Computation in Economic Theory
Timothy Van Zandt, Princeton University

Seminar Room B

8:30 a.m.

Resources for Computational Economists on the Internet
William Goffe, University of Southern Mississippi

9:00 a.m.

Pricing on the Internet
Dale Stahl, The University of Texas at Austin

9:30 a.m.

Internet Publishing
Ravi Kalakota, The University of Texas at Austin

10:00 a.m.

Coffee Break

Auditorium

10:30 a.m.

A Dynamic Programming Model of U.S. Nuclear Power Plant Operations
John Rust, University of Wisconsin

11:00 a.m.

Computing in Economics and Finance
V. Beletsky, Ukrainian Academia of Sciences

11:30 a.m.

Computability in Games
K. Velupillai, The Queen's University of Belfast

Seminar Room B

10:30 a.m.

Analyzing a Small French ECM Model
Jean-Louis Brillet, Institut National de la Statistique et des Etudes Economiques

11:00 a.m.

Stochastic Complexity, Learning and Information
Jorma J. Rissanen, IBM Almaden Research Center

11:30 a.m.

Sparse Direct Methods for Model Simulation
Manfred Gilli, University of Geneva
Giorgio Pauletto, University of Geneva

Seminar Room A

10:30 a.m.

Computational Issues in Estimating Diffusion Coefficients within a Markovian Representation of the Heath-Jarrow-Morton Framework
Carl Chiarella, University of Technology, Sydney

11:00 a.m.

Simulation of Dynamic Models with Forward Variables: the Case of MULTIMOD
Michel Juillard and Pierre Malgrange, CEPREMAP, Paris

11:30 a.m.

Modification of Optimum Criterion in Macroeconomic Model in Sustainable Development Aspect
Elena Rioumina, Russian Academy of Sciences

12:00 p.m.

Conference Adjourns