The shortlist for the end-of-season showpiece also includes the northern English city of Manchester and Italy's Turin, while the London deal, which runs until 2020, could be extended.
The announcement of the candidates follows an extensive bid application process that began in August, in which more than 40 cities worldwide expressed an interest in hosting the event.
The final phase will see the ATP visit the cities, with a decision on the successful candidate to be made not before March 2019.
"The level of interest we have received worldwide throughout the bid application process reflects the rich heritage of this unique tournament, as well as the success of the event at the O2 since 2009," said Chris Kermode, ATP executive chairman and president.
The ATP Finals were first held in Tokyo in 1970 and have been staged in some of the major cities around the world, including New York, Sydney, and Shanghai.
Its longest stay in a single venue was across 13 consecutive editions at Madison Square Garden from 1977 to 1989 but it has been held at London's O2 arena since 2009 -- drawing more than 250,000 fans annually.
The tournament has been won by many of the all-time greats, including Bjorn Borg, John McEnroe, Pete Sampras, Roger Federer and Novak Djokovic.
The season-ending event features only the world's best eight qualified singles players and doubles teams following a year-long race to qualify.
Federer and Djokovic were split at last month's tournament, won for the first time by Germany's Alexander Zverev, over whether it should remain in London.
Federer, who has won the event a record six times, twice in London, said the British capital was the perfect fit.
But world number one Djokovic, who has won the event five times -- four times in London -- said he was in favour of moving the tournament around to promote the sport.