From: Martin Schweizer (mschweiz(a)math.TU-Berlin.DE)
Informal Workshop in Berlin:
Thursday noon, November 30 - Saturday afternoon, December 2.
The idea behind this workshop is to bring together a small group of young
researchers in Mathematical Finance so that they get to know each other and
can discuss their projects. In order to offer some views of key directions
in current research, we have decided to arrange four invited lectures of
about one hour.
Invited speakers: Mark Davis, Chris Rogers, Walter Schachermayer, Nizar Touzi.
Organizers: Hans Foellmer, Uwe Kuechler, Martin Schweizer.
Updated information on Conferences and more:
Financial and Actuarial Mathematics: Time Table (http://www.fam.tuwien.ac.at)
PV Schachermayer (Tuesday 16:30-18:00, TU FH, Turm A, 6.Stock, Seminarraum 107)
04.07.2000 : Thorsten Rheinlaender
Momentum Traders and Instabilities of Financial Markets
There is empirical evidence that price processes of financial assets show
stylized facts like volatility clusters and large price movements not
accompanied by any dramatic news events. We discuss whether this observed
behavior can be explained by the activity of momentum traders. These are
agents which take past price movements as a signal for their investment
decisions in a trend-chasing fashion. This is joint work together with
Marcus Steinkamp, TU Berlin.