From rbcaldwell@delphi.com Thu Jul 7 14:10:36 EDT 1994 Article: 3418 of comp.ai.genetic Xref: glinda.oz.cs.cmu.edu comp.ai.genetic:3418 Path: honeydew.srv.cs.cmu.edu!nntp.club.cc.cmu.edu!godot.cc.duq.edu!news.duke.edu!news-feed-1.peachnet.edu!paperboy.wellfleet.com!noc.near.net!news.delphi.com!usenet From: rbcaldwell@delphi.com Newsgroups: comp.ai.genetic Subject: INFFC: Call For Participation Date: Tue, 5 Jul 94 20:32:09 -0500 Organization: Delphi (info@delphi.com email, 800-695-4005 voice) Lines: 362 Message-ID: <5S5zZnB.rbcaldwell@delphi.com> NNTP-Posting-Host: bos1d.delphi.com ************************************************************************* F I N A L A N N O U N C E M E N T ************************************************************************* FINAL <<<<<< Call For Participation >>>>>> ------------------------------------------------------------- The First INTERNATIONAL NONLINEAR FINANCIAL FORECASTING COMPETITION _____________________________________________________________ ******* * * ******** ******** ******** * * * * * * * * * * * ***** ***** * * * * * * * * ******* * * * * ******** ***** SPONSORS ***** NEUROVE$T Journal and Genesis Financial Data Services ***** PURPOSE ***** To test the performance of nonlinear technologies and machine intelligence applied to making financial predictions in an independent environment, to analyze and distribute results, and to establish a foundation for future work. Future work will include the test and analysis of these technologies applied to actual trading systems in a separate Competition. We are also encouraging a limited number of entries that use linear and semi-linear techniques. The following Distinguished Panel of Analysts will analyze and judge results of the Competition: E. Michael Azoff, Themisto Numerics Ltd. UK J. Doyne Farmer, The Prediction Company Gary W. Flake, Siemens Corporate Research Donald Hush, University of New Mexico Victor E. McGee, Dartmouth College John Moody, Oregon Graduate Institute Paul Refenes, London Business School Timothy D. Sauer, George Mason University Manoel F. Tenorio, Purdue University Andreas S. Weigend, University of Colorado Halbert White, University of California at San Diego ***** UPDATE ***** Please review the following carefully. Important changes have been made to the initial Call For Participation. ***** TRACKS ***** The Competition will include two Tracks: Scientific (disclosed) entries Professional (non-disclosed) entries ***** PREDICTION STRATEGIES ***** Two Prediction Strategies will be accepted (see Rule 3): Tracking Method 1 (prediction metric) Tracking Method 2 (simulated trading metric) ***** REGISTRATION AND PARTICIPATION PROCEDURE ***** In order to register and participate in the INFFC, all entrants must follow Rules 1-9. The basic procedure is summarized below: A. To Register **** 1. Select one Track and one Prediction Strategy. 2. Complete and provide (by email or postal mail) all information listed in REGISTRATION (Rule 1) by the Registration deadline. 3. Complete and provide (by postal mail only) a copy of the DATA AGREEMENT (Rule 9) by the Registration deadline. Upon our receipt of the above information, along with any relevant fees, you will be provided with the Training Data by postal air mail. B. To Participate **** 1.a. Scientific entrants must provide software code to the INFFC Chair for testing before the Software Submission deadline. Software must be in one of the allowable formats and operate on one of the allowable computer platforms.See SOFTWARE SUBMISSION (Rule 6). 1.b. Professional entrants must make arrangements with the INFFC for the testing of their software prior to registration. See SOFTWARE SUBMISSION (Rule 6). 2. All entrants must provide a Paper to the INFFC Organizer by the Paper Submission deadline. See PAPER SUBMISSION (Rule 4). IMPORTANT DATES: Training Data Available: Provided (by mail) upon completion of Registration Last Date for Registration: July 29, 1994 Software Submissions Due: December 16, 1994 Competition Begins: January 6, 1995 Paper Submissions Due: January 6, 1995 IMPORTANT ADDRESSES (include "INFFC" in the address): Data Information and Registration: Mail: Randall B. Caldwell (INFFC) P.O. Box 764 Haymarket, VA 22069 USA Email: rbcaldwell@delphi.com Software Submission: Mail: Manoel F. Tenorio (INFFC) Parallel Distributed Structures Lab School of Electrical Engineering Purdue University W. Lafayette, IN 47907 USA Paper Submission: Mail: Randall B. Caldwell (INFFC) P.O. Box 764 Haymarket, VA 22069 USA CONTACTS (include "INFFC" in the address): CHAIRMAN: Manoel F. Tenorio Mail: Manoel F. Tenorio (INFFC) Parallel Distributed Structures Lab School of Electrical Engineering Purdue University W. Lafayette, IN 47907 USA Email: tenorio@ecn.purdue.edu ORGANIZER: Randall B. Caldwell Mail: Randall B. Caldwell (INFFC) P.O. Box 764 Haymarket, VA 22069 USA Email: rbcaldwell@delphi.com **************************** RULES **************************** 1. REGISTRATION (see dates and addresses above): In order to qualify for registration and be provided with the necessary data, you must provide all of the information listed below before the registration deadline, including a completed copy of the DATA AGREEMENT (see Rule 9). Entrants must provide a Paper and the completed Copyright Transfer form according to the Paper Submission rules outlined below prior to the Paper Submission deadline in October. Otherwise, they will be disqualified. Information to be provided by the registration deadline: (Provide by postal mail only): Completed copy of the DATA AGREEMENT (Provide by email or postal mail): Name Postal address Email address Telephone numbers (voice and fax) Affiliations Biographic sketch (curriculum vitae - brief version) Qualifications Track (Scientific or Professional) Prediction Strategy: Tracking 1 or 2 (see FORECASTING) Fees (if applicable, see FEES) Overview (500 words) of the model to be applied in the Competition Computer platform (software and hardware) 2. FEES: There is no fee to register as a Scientific entry. Professional entries must make arrangements with the INFFC for the testing of their software prior to registration. Professional entries must include with Registration a check (U.S. dollars on a U.S. bank) or international postal money order for $200.00 made payable to: NEUROVE$T JOURNAL, P.O. Box 764, Haymarket, VA 22069 USA. Fees submitted are non-refundable. 3. FORECASTING: All entrants must use ONLY the data provided to them by the INFFC to train, develop, test and apply any tools to be used in the Competition, and to make specific predictions for the financial time series to be made available. Two Prediction Strategies will be accepted: Overview: Periodic data will be provided to the prediction system, which will update its input variables and submit its prediction (Tracking Method 1) or position (Tracking Method 2). Learn from a training set, then predict a future point (Tracking Method 1) or take a position (Tracking Method 2) at every minute in the series. Procedure: Find f() so that: x^(t+T) = f(x(t),x(t-d),...,x(t-dm)) for some distance T, delta d, and input size m+1; and with respect to one of the metrics below. (1) Tracking Method 1 (prediction metric): Metric: nRMSE: root-mean-squared-error between the actual and the predicted values, normalized by the standard deviation of the actual values. Software entries will provide values for x^(t+T). (2) Tracking Method 2 (simulated trading metric): Metric: Sharpe ratio: monthly gains minus a risk-free-interest-rate, normalized by the standard deviation of the gains. Based on x^(t+T) for any values of T > 0, software entries will provide one of three values for s(t+1); where s(t+1) = {1,-1,0} = market position to be taken at the CLOSE of the next minute; and where 1 = long position, -1 = short position and 0 = neutral position. Gains will be computed based on market positions, price variations and change-in-position costs. A single objective function will be provided to entrants. A more detailed description will be provided to registered entrants along with the delivery of the data. 4. PAPER SUBMISSION (see dates and addresses above): All entries *********************: a. All entrants are required to provide a high-quality, edited Paper, in English, including a completed copy of the provided Copyright Transfer form by the Paper Submission deadline on the model used in the Competition. Failure to provide the required Paper by the deadline will result in disqualification and forfeiture of any fees submitted. b. Resubmit all Registration information. c. All papers submitted will not be returned. d. It is the author's responsibility to ensure that all papers submitted to the INFFC have received approval of the necessary employer, institution or other relevant authority, and have not been submitted for publication elsewhere. The INFFC publisher reserves the right to perform extracts from all papers submitted, and to edit papers for the purpose of making grammatical and typographical corrections and as necessary to meet space requirements. e. Paper submissions must be provided in both hardcopy (3 copies, single-sided, double-spaced) and softcopy. The preferred software media format is IBM PC DOS, 3.5", 1.44MB. The preferred software file format is Word for Windows 2.0. Other acceptable software file formats are the following: WordPerfect 5.0/5.1 or Macintosh Word 4.0/5.0 using the preferred media format. Any standard ASCII text file format using the preferred media format, including bracketed notations for the locations of symbols, equations or other non-ASCII characters. Tex and LaTex may be used for the development and generation of the hardcopy version of the paper, provided that a softcopy version is also submitted in any standard ASCII text file format using the preferred media format, including bracketed notation for the locations of symbols, equations or other non-ASCII characters. Five or more graphics (charts, graphs, diagrams) illustrating the models and techniques applied to the Competition must be provided. The preferred softcopy format for graphics is in Windows compatible format (.pcx or .wmf format preferred). For other graphics formats, entrants must submit high-quality, printed copies. f. References must use the following formats: Journal Article: authors' names, article title (in double quotations), periodical title (in italics), publication date and suffix (as necessary), volume and number, pages cited Book: authors' names, book title (in italics), publisher, publisher location, publication date and suffix (as necessary), pages cited Chapter in Book/Proceedings: authors' names, chapter title (in double quotations), editors' names, book title (in italics), publisher, location, publication date and suffix (as necessary), pages cited ***** for example ***** Watson, John and Raymond McCoy, "Nonlinear Systems for Financial Forecasting," INFFC Publishing Co., New York, 1992a, pp.235-260. Text citations must use the following formats: [last name of authors, publication date and suffix (as necessary)] ***** for example ***** [Watson,McCoy,1992a] Scientific entries ***************** Scientific entries must provide a Paper of 5000 to 7000 words to include specific details on their models and techniques used for the Competition, including: abstract, introduction, design, training and testing, implementation, architecture, operation, tradeoffs performed, data preprocessing, conclusions, references. Professional entries *************** Professional entries must provide a Paper of 2000 to 4000 words. Specific model details are not required but, at a minimum, papers must include an abstract, introduction, general description of the models, training and testing, relevant discussion of techniques applied to the Competition, conclusions, references. 5. TECHNOLOGIES: All entrants must use software that applies nonlinear techniques to making specific predictions using ONLY the data provided and according to Forecasting rules. However, a few entries that do not satisfy this criterion will be accepted by the Chairman for comparison with nonlinear techniques. 6. SOFTWARE SUBMISSIONS (see dates and addresses above): A. Scientific entrants **** All Scientific entrants must submit software to the Chairman for testing by the INFFC. Software: Software must be provided in at least one of the following forms: a. Matlab code (v.3.5/4.0 for IBM PC, v.3.0 or higher for UNIX) b. GNU gcc compilable code c. executable standalone code (IBM PC or Sun Sparc workstation) Procedure: a. Resubmit all Registration information. b. Material submitted will not be returned. c. Following the Competition, all material will be destroyed. B. Professional entrants **** Professional entrants must have made arrangements with the INFFC for the testing of their software prior to registration. 7. DATA (see dates and addresses above): Training data will be available by postal air mail delivery only. There will be no charge for the data. To obtain the data, you must: (1) register according to the Rules (see Registration above) (2) sign and mail a copy of the DATA AGREEMENT (see DATA AGREEMENT below). Distribution of the data will be provided only in IBM PC-3.5"-1.44MB-disk format. The data provided will be an extensive financial time series in ASCII with the following fields: time; open(first), high, low, close(last) prices; and tick_volume; for each period as follows: TIME OPEN HIGH LOW CLOSE TICK_VOL 1314 34.5 35 34 34.3 8 A more detailed description, along with prediction output format requirements, will be provided to registered entrants with the delivery of the training data. 8. WINNING ENTRIES: The best Scientific entry for each of the two Prediction Strategies (see Forecasting) will receive a free copy of the INFFC Proceedings, a free subscription to the NEUROVE$T Journal, and share in free software and books provided by the Product Sponsors. ........................................................................... 9. DATA AGREEMENT: Entrants agree that, unless they obtain written permission from both the Chairman and the Organizer of the INFFC, they will not utilize any DATA provided by the INFFC for any purpose other than their participation in the INFFC, and that they will not distribute such DATA to anyone else. I agree to the above. Date _____________ Signature _________________________________________ Printed Name ___________________________________________________________ Address ________________________________________________________________ ________________________________________________________________ Complete and sign a copy of this DATA AGREEMENT. Mail an original copy to: INFFC, P.O. Box 764, Haymarket, VA 22069 USA ........................................................................... *************************************************************************** F I N A L A N N O U N C E M E N T ***************************************************************************