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Do you want to venture into next generation computing ? Come joint us.
Some of my collegue/related site:
Want to improve your working environment ? To reduce the noise ? To improve your musical instruments ? Your audio systems ? We can do it. From the sound of musical instruments to the noise of jet fighters, we can control their production and propogation.
Some Useful sites
UNSW.
Most company provided stock (option; exchange rate etc.) prediction based upon emperical formula. However, we model the market based upon scientific reasoning.
At least in a short time scale, the market behaviour appears to be random. "Randomness" is an important phenomenon for physics to study. Stock market is one of such system. For physicist this belong to the field of statistical mechanics. Statistical physicists try to draw information from the past market performance. The statistical approach assumes that any change take place rather slowly so that equilibrium statistical mechanics assumption can be applied. However, something like interest rate changes and financial crisis are certainly non-equilibrium phenomena.
The distribution that should be used for stock market is Levy distribution, because we noticed that there are more big crashes than predicted by the Gaussian distribution. Actually, more big events than expected by the Gaussian model and big crashes is more than big jumps. Furthermore, Gaussian distribution is based upon the validity of central limit theorm. Crashes are events far from the central part of the distribution. Therefore, Gaussian distribution is invalid.
Furthermore, trandtionally, the risk is measured in terms of the standard deviation of the price distribution in the history. This is questionable, bacause standard deviation assumes price gain and lost are the same risky. However, no body will consider gaining in price as a risk. The standard deviation measured risk has one further problem: it is easy influenced by rare events of jumps.
Gaussian model assumes minimum information, i.e. maximum entropy. The deviation from Gaussian model actually means there are information contained in the time series.
Some related publication
is one of the first
company composed of physicists and devoted to financial markets.
Founded by Richard Olsen
and Michel Dacorogna, their group
is famous, among other things, for their extensive study of
high frequency financial data.
was founded by Paul Wilmott, Jeff Dewynne and Sam Howison. It is specialized
in Quantitative Finance Research and Development. Their trading
decision, portfolio allocation and
statistical audit system is used on automated models of
.
Their theories have also been used by a financial software company
ATSM is the editor of
Profiler, a risk control
and portfolio optimization software.
ATSM and S&F are currently
working together on the integration of S&F's risk control theory into ATSM's
front and middle office system Tradix. Also,
Rama Cont's
page at École Polytechnique. Rama Cont did his Ph.D with
Science & Finance.
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IJTAF is published by World Scientific that aims to bring together international experts involved in the theoretical modeling of financial instruments as well as the application of these models to global financial markets. |
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is a high tech company set up by physicists Mitchell Feigenbaum and Nigel Goldenfeld. Founded in January, 1996 NumeriX develops and markets derivatives pricing and risk management software. Posted on their site is Off the wall: a column about the interplay between the scientific and financial world, unfortunately this column will soon be discontinued. |
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Wilmott Associates was founded by Paul Wilmott, Jeff Dewynne and Sam Howison. It specializes in Quantitative Finance Research and Development. |
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The prediction Company was founded by chaos theorists Doyne Farmer and Norman Packard. Located in Santa Fe, they use their knowledge of non-linear science to try to predict movements of financial markets. |
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at Fribourg University (Swizerland), brought to you by Yi-Cheng Zhang. A site dedicated to the new field of Econophysics with the goal of setting up a Virtual Institute of this discipline. Currently the site hosts conference announcements and articles (with the possibility of commenting on them) but promises much much more...
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Genoa Econophysics Website. Set up by Gianaurelio Cuniberti and Marco Raberto,
this site gives information and links related to econophysics.
Among other things, there is a list of people working in the field.
Some useful links
We develop all kinds of computer softwares, using current state-of-the-art technics, in particular object-oriented programming (i.e. Java, C++,VB, Delphi etc.), symbolic computation (i.e. MATHEMATICA, MAPLE), parallel processing (i.e; MPI, PVM etc.) for various application, including financial system modeling and database application.
TING, J.-L. J., NCAR implementation on CDC NOS2, Sue-Tech Institute of Technology Report No.13, 257-279(1990).
TING, J.-L. J., Experiences on ETA10 (1) - (5), Academia Sinica computer center news letter, 7, No. 4-8(1991).
TING, J.-L. J., C Program for Cellular Automata Simulations, China Institute of Technology Report No. 6.
TING, J.-L. J., Amdahl Theory for Supercomputing, Tsing-Hua university computer center news letter,(1993)No.3 8-12.
TING, J.-L. J., CHECKPOINT on CONVEX, Tsing-Hua university computer center news letter,(1993)No.4.
TING, J.-L. J., Less-known Chinese-Character Input Methods, Tsing-Hua university computer center news letter,(1993) No.4, 8-14.
TING, J.-L. J., Aspects of Chinese-Character Input Methods, Chiao-Tung university computer center news letter,(1993)No. 79, 20-25.
TING, J.-L. J., Using Blink-Comparator to Compare Files, Tsing-Hua university computer center news letter,(1993)No.5,31-32.
TING, J.-L. J., Blinking-File-Comparators, Chiao-Tung university computer center news letter, No. 80, 5-7 (1993).
TING, J.-L. J., on Symbolic Computation, Education Ministry computer center news letter No. 8302(1994).
TING, J.-L. J., Disk Rescue Experiences, Education Ministry Computer Center News Letter, No. 8607, 49-52 (1997)
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We evaluate the project you want to invest for you. Or we can provide suggestions for your investment. There are many good projects spread over science literature for instance,
Ting, J.J.-L.,Super-conducting-propulsed Ships, Science Monthly, 14, No.2, 111-113,(1983)(reprinted by China Marine Institute Monthly, 2, No.4, 14-16)
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for mutual funds performance visit YAHOO or money fund Off my bookself:
Some professional Financial Engineering or
Bloomberg or
FiNeer or
Finet.
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