Welcome to FinanceCom Workshop Series

Call for Papers: FinanceCom 2012

Enterprise Applications, Markets and Services in the Finance Industry Barcelona 10th June 2012

Advancements in Information and Communication Technologies have paved the way to new business models, markets, networks, services, and players in the financial services industry. FinanceCom 2012 invites papers that help to understand, drive and exploit the associated systems, technologies and opportunities.

After very successful FinanceCom workshops in Sydney, Regensburg, Montreal, Paris and Frankfurt, FinanceCom 2012 will be co-located with ECIS 2012 in Barcelona on 10th June 2012. The workshop spans multiple disciplines, including technical, services, economic, sociological and behavioral sciences. We welcome research from any of these disciplines, as well as cross-disciplinary work. We are open to various levels of analysis and methodology.

The topics of interest in this research area include but are not limited to:

Services

• Service-Oriented Computing and Architectures in Finance, Banking and Insurance
• Business Value of Service-Oriented Architectures
• Service-Oriented Modeling

Networks and business models

• Technology-Driven Transformation of the Financial Industry - towards Banking Value Networks
• Business process outsourcing/offshoring and Information Systems
• New e-Finance business models enabled by IT

Financial Markets

• Electronic Markets Design and Engineering
• Algorithmic and High Frequency Trading / Post Trading Systems and Infrastructures
• Regulation of Electronic Financial Markets (e.g. MiFiD, EMIR or Dodd-Frank)

Standardization

• Financial Business Process Standardization and standardized service modules
• Interoperability of heterogeneous financial systems and evolving international standards
• Synergetic usage of IFRS (IAS) and Basel II implementations in bank management

IT and implementations

• Role of new technologies (e.g. Web Services and Grid Computing)
• Implementation experiences and case studies
• Enabling decision support systems in banking and financial markets

Developing approaches for evaluating operational and credit risks as well as banking and market performance

• Agent-based Computational Economics (ACE)
• Other simulation and evaluation approaches

Important Dates

• Submission open: 15th February 2012
• Submission deadline: EXTENDED TO 2nd April 2012
• Notification of authors: 28th April 2012
• Deadline revision: 15th May 2012

Submission Details

Authors should submit papers of not more than 15 pages as per the Springer guidelines (see Instructions for LNBIP Authors)

All papers are to be submitted via Springer’s Online Conference Service (OCS) using the following link:

Instructions will be provided via a supplied email address (in case of any problems, please send an email to f.rabhi AT unsw.edu.au). Submitted papers will be reviewed by the program committee. All correspondence will be with the specified primary contact.

Publication

We plan to publish best papers as a post proceedings book in the Springer Lecture Notes in Business Information Processing series. For previous proceedings in this series, see LNBIP 4 and LNBIP 23. Further details about FinanceCom 2012 can be found on www.financecom.org

Conference Chairs

Fethi Rabhi, University of New South Wales
Peter Gomber, University of Frankfurt, E-Finance Lab

Registration and Program

To Register, Please Fill and Submit the Following Form

Provisional Program

• 9.30-10.00 Registration
• 10.00-10.15 Welcome address
• 10.15-10.45 Keynote address
• 10.45-11.15 Coffee break
• 11.15-12.45 Papers Session 1
• 12:45-2.00 Lunch break
• 2.00-3.00 Papers Session 2
• 3.00-3.30 Coffee break
• 3.30-4.30 Papers Session 3
• 4.30-5.00 Workshop close

Keynote Address

Dr Jorge Yzaguirre Scharfhausen, Bolsas y Mercados Españoles (BME)

Dr Jorge Yzaguirre Scharfhausen has a Ph. D. in Economics and Business Administration from Universidad Autonoma de Madrid. The title of his thesis was "Electronic Trading in Spanish Equity Market". He also has a Master´s Degree in Financial Management and Investment Analysis from Universidad Complutense de Madrid. He held the position of Associate Professor in International Finance and Spanish Financial System at Universidad Carlos III. He is the co-author of several reseach papers and books.

Currently, he is the Head of Equity Unit at the Bolsas y Mercados Españoles (BME). He is also Member of Coordination Committee at BME, Member of the Board of Directors in BME Market Data and a former member of the BME institute. He is Chairman of the Board of Director in Visual Trader Systems, Chairman of the FTSE Latibex Index Committee and Member of the ESME CWG since 2010.

FinanceCom 2012 Venue

The Workshop is running as a parallel event with the European Conference on Information Systems ECIS’2012. This will take place at the ESADE Business School in Barcelona.

ESADE Building 1
Av. Pedralbes, 60-62 08034
Barcelona, Spain

Paper Session 1: 11.15-12.45

Investigating the Market Impact of Media Sentiment and Investor Attention

Michael Siering (University of Frankfurt)

Media sentiment has been shown to be related to stock returns. However, one prerequisite for this influence has not been taken into account yet: the question whether investors actually pay attention to news and the related financial instruments. Within this study, we close this research gap by examining the interplay between media sentiment and investor attention.

Thereby, we find that the positive impact of media sentiment on returns is increased when investor attention is high. Furthermore, we evaluate whether these variables can be used to forecast future market movements. Although our results reveal that the obtained forecasting accuracy cannot be achieved by chance, we conclude that further information has to be included in the forecasting model to obtain satisfying results.

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Do insiders buy stocks after issuing bad news? Evidence from sentiment analysis
in corporate disclosures

Michael Hagenau (University of Freiburg), Adriana Korczak, Dirk Neumann

We analyze insider trading behavior and explain the impact of corporate and 3rd-party news on directors’ dealings activity. We extend previous approaches by adding the sentiment of news to the research setting.

We find evidence that insiders sell securities in those years where their respective companies issue positive news and vice versa. In the same way, insiders sell stocks in years when 3rd-party news coverage is advantageous and buy when unpleasant. The impact of corporate news on insider trading is higher than for 3rd-party news, as the former is subject to direct influence by the insiders.

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Towards Automated Event Studies Using High Frequency News And Trading Data

Nicolai Bohn (University of Paderborn), Fethi Rabhi, Dennis Kundisch, Lawrence Yao, Tobias Mutter

Event studies have a long history in academic research and were used in various research areas from disciplines as diverse as economics, law, information technology and marketing. One of the main challenges is that the process of undertaking such an event study is complex and many assumptions, trade-offs and design decisions need to be made.

This paper proposes a business process on how to undertake and partly automate complex event studies on effects of (un)scheduled news on stocks prices using high frequency trading and news data. This includes a case study which shows how to identify effects of unscheduled news on stock prices in the German DAX30 index.

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Paper Session 2: 2.00-3.00

The Role of Misbehavior in Efficient Financial Markets: Implications for Financial Decision Support

Michael Siering (University of Frankfurt), Jan Muntermann

The analysis of different data sources to support financial decision making has been a subject of research for several decades. While early approaches mostly focus on structured data, recent studies also take into account unstructured data. In this paper, we build upon these two research streams and explore potential benefits that can be achieved by combining both approaches.

Therefore, we present an approach that integrates both data types. From a theoretical perspective, our research angle is based on two fundamental theories in Finance: While the Efficient Market Hypothesis states that capital markets are information efficient, Behavioral Finance theory stresses that market efficiency may be limited, e.g. due to irrational behavior of market participants or market barriers. While the two theories provide arguments for and against the functioning of our approach, we can illustrate its superiority compared to other approaches. The implications are discussed from a methodological and theoretical perspective.

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Humans vs. Algorithms - Who follows Newcomb-Benford's Law better with Their Order Volume?

Martin Haferkorn (University of Frankfurt)

Newcomb-Benford's Law (NBL) is a well known regularity in the distribution of first significant digits (FSD) and therefore research in this field is manifold. As of 2012 research in the domain of financial markets is quite scarce, especially in the field algorithmic trading. We pose the question whether order submission volumes of algorithmic traders and human traders follow NBL.

Results in this context might help regulators to detect suspicious market activity and market participants to quantify the amount of algorithmic trading. Our findings indicate that the submitted order volumes of both groups follow NBL more than to the uniform distribution. Comparing these two groups, we proof that algorithmic traders match NBL better than human traders, as human traders tend to overuse "the FSD five".

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Paper Session 3: 3.30-5.00

The Effect of Single-Stock Circuit Breakers on the Quality of Fragmented Markets

Martin Haferkorn (University of Frankfurt), Marco Lutat, Kai Zimmermann

Since the May 6th, 2010 flash crash in the U.S., appropriate measures ensuring safe, fair and reliable markets become more relevant from the perspective of investors and regulators. Circuit breakers in various forms are already implemented for individual markets to ensure price continuity and prevent potential market failure and crash scenarios.

However, coordinated inter-market safeguards have hardly been adopted, but are essential in a fragmented environment to prevent situations, where main markets halt trading but stock prices continue to decline as traders migrate to satellite markets. The objective of this paper is to study empirically the impact of circuit breakers in a single market and an inter-market setup. We find a decline in market volatility after the trading halt at the home and satellite market, but at the cost of higher spreads. Moreover, the satellite market’s quality and price discovery during CBs are sorely afflicted and only restore as the other market restarts trading.

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A Case Study in Using ADAGE for Compute-Intensive Financial Analysis Processes

Lawrence Yao (University of New South Wales), Fethi Rabhi, Maurice Peat

The Ad hoc DAta Grid Environment (ADAGE) has been proposed as a framework that supports analysis processes for large repositories of ad hoc data. Its use of a service-oriented architecture (SOA) brings the promise of flexibility as well as enabling domain experts to define their own analysis processes at a high level of abstraction. However, these claims have not been verified empirically and the performance penalty of using additional abstract software layers has not been assessed on complex problems.

This paper describes a realistic case study involving a realistic analysis process conducted by an expert user. It assesses the benefits and drawbacks of using the ADAGE approach versus conventional analysis processes. This paper also outlines some avenues for future research to address existing limitations.

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XBRL: Impacts, Issues and Future Research Directions

Niels Mueller-Wickop (University of Hamburg), Martin Schultz, Markus Nattgens

Only 13 years ago in April 1998 Charles Hoffman, a CPA investigated how XML could be used for the reporting of business and financial information. By now many researchers are dealing with this topic. The high (practical) relevance of XBRL is emphasized by several laws and a large number of regulatory requirements stipulating the use of XBRL for business and financial reporting. Giving an overview of conducted research is complicated due to the rich diversity of XBRL.

On top, traditional literature reviews are focusing on the performed research, not including any indication of the relevance of the investigated topic. We will go one step further and include discussed impacts and issues weighted by their occurrence in literature. Based on this approach the paper concludes that frequently mentioned impacts and issues of XBRL are not yet researched but in turn minor research questions are well investigated.

Committees

FinanceCom 2012 Program Committee

Axel Winkelmann, University of Muenster, Germany
Daniel Veit, University of Mannheim, Germany
Dirk Neumann, University of Freiburg, Germany
Gregor Zellner, University of Regensburg, Germany
Helen Paik, University of New South Wales, Australia
Maurice Peat, SIRCA, Australia
Nikolay Mehandjiev, University of Manchester, UK
Oliver Hinz, University of Darmstadt, Germany
Rainer Riess, Deutsche Börse, Germany
Roman Beck, University of Frankfurt, Germany
Tim Weitzel, University of Bamberg, Germany

FinanceCom Steering Committee

Christof Weinhardt, Kalrsruhe Institute of Technology, Germany
Dennis Kundisch, University of Paderborn, Germany
Federico Rajola, Catholic University of Milan, Ita
Fethi Rabhi, University of New South Wales, Australia
Jan Muntermann, University of Frankfurt, Germany
Peter Gomber, University of Frankfurt, Germany
Ryan Riordan, Kalrsruhe Institute of Technology, Germany

FinanceCom 2012 Local Chair

Juan Miguel Gomez Berbis, Universidad Carlos III de Madrid, Spain

Contact

For any query about the FinanceCom workshops, please contact Fethi Rabhi

FinanceCom 2012 Venue

The Workshop is running as a parallel event with the European Conference on Information Systems ECIS’2012.

This will take place at the ESADE Business School in Barcelona.

ESADE Building 1
Av. Pedralbes, 60-62 08034
Barcelona, Spain
Tel. +34 93 280 61 62

For general information about travelling to Barcelona, where to stay and local information please contact:
Viajes Esade

Previous Workshops

Previous FinanceCom Workshops were organised as follows

• FinanceCom 2010 August 30th 2010, Frankfurt, Germany. Details

• FinanceCom 2008 (co-location with ICIS 2008) December 13th 2008, Paris, France. Details

• FinanceCom 2007 (co-location with ICIS 2007) December 8th 2007, Montreal, Canada. Details

• FinanceCom 2005 (co-location with ECIS 2005) May 25th 2005, Regensburg, Germany.

• FinanceCom 2003 July 24th 2003, Sydney, Australia.