Forecasting in the Face of Uncertainty and Risk

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Held at Morgan Stanley World Headquarters, 41st Floor, 1585 Broadway, New York, NY

Wednesday, October 5, 2011

Webcast Available Here on the day of the meeting.

Meeting Organizers:

Michael Mauboussin, Legg Mason Capital Management and SFI

John Rundle, UC Davis and SFI

Juan-Luis Perez, Morgan Stanley

Chris Wood, Santa Fe Institute

Forecasting in the Face of Risk and Uncertainty

As members of the financial services industry know only too well, forecasting in the face of risk and uncertainty is a deep and challenging problem. The recent experience of hurricane Irene illustrates both the successes and the challenges of forecasting: While Irene's trajectory, timing, and intensity were forecast relatively well, the advance damage estimates were understandably focused on coastal areas whereas the likelihood of major flooding far inland was generally overlooked.

This topical meeting will explore the challenges of forecasting by examining its successes and failures across a wide range of applications, from sports and politics, to major catastrophes, to climate change. As will be demonstrated, there are important elements of forecasting that apply regardless of application, whereas there are also domain-specific elements associated with each particular application.

A panel of distinguished members of the financial community will consider the implications of these applications of forecasting for financial applications.


Nate Silver, Statistician and New York Times columnist
John Seo, Physicist and Investment Manager, Fermat Capital Management
Marcia McNutt, Geophysicist and Director, US Geological Survey
Ole Peters, Physicist, Department of Mathematics, Imperial College, London
Susan Avery, Atmospheric Physicist, President, Woods Hole Oceanographic Institution

Concluding Panel Discussion:
Rick Bookstaber, Senior Policy Advisor, Financial Stability Oversight Council, SEC
Henry Kaufman, President, Henry Kaufman & Company
Bill Miller, Chairman and Chief Investment Officer, Legg Mason Capital Management, and Chairman Emeritus, SFI Board of Trustees
Moderator: Marty Leibowitz, Managing Director, US Equity Strategy, Morgan Stanley