VFN-L September 1996

vfn-l@fam.tuwien.ac.at

3 participants
3 discussions

SE Artificial Financial Life
by Hans Mitloehner 24 Sep '96

24 Sep '96

* Einladung zum Forschungsseminar * 3840 Janko/Otruba/Mitloehner: Artificial Financial Life SE 2, Tuesday 17.00-19.00, S. 2.19 (A), Begin October 8, 1996. Interdisciplinary research seminar in connection with the SFB Adaptive Information Systems and Modelling in Economics and Management Science. There are two areas of work planned for this term: Analysis package: participants develop analysis instruments for financial time series, based on selected literature. This group should consist of participants with economics and computer science background. The tools - based on well-documented economic and statistical concepts - will be employed in future work in SFB projects. Financial robot competition: financial agents created by the participants compete against each other on an artificial electronic market. These robots should employ some form of adaptive behaviour. We aim to explore how even a population of very simple agents can show complex dynamic behaviour. The programming language C++ will be used for implementations. In preparation for the work within the SFB the seminar language will be English. The participants will work on projects in small groups and present their work in the seminar. Well-documented projects and good presentation will earn the students a seminar certificate for the SBWL Informationswirtschaft or VWL. Organized by Leopold.Soegner(a)wu-wien.ac.at (Dep. of Economics/Prof. Otruba) and Johann.Mitloehner(a)wu-wien.ac.at (Dep. of Applied Computer Science/Prof. Janko) On the web as http://www.wu-wien.ac.at/usr/ai/mitloehn/se/w96 Auf Ihre Teilnahme freuen sich Leopold Soegner & Johann Mitloehner Johann.Mitloehner(a)wu-wien.ac.at, Abt. Angewandte Informatik A-1090 Wien, Augasse 2-6, Tel: (+431) 31336-5202, Fax: -739 http://www.wu-wien.ac.at/usr/ai/mitloehn

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by Elke PENDL 23 Sep '96

23 Sep '96

Einladung zum Betriebswirtschaftlichen Forschungsseminar am BWZ Prof. Thaleia Zariphopoulou University of Wisconsin, Madison, USA Market frictions and Derivative Pricing Abstract: In this talk, I will address the problem of pricing derivative securities in markets with frictions, namely transaction costs and stochastic volatility. The approach is based on utility maximization and not on replication arguments. The mathematical tools stem from the theory of stochastic control and nonlinear differential equations. Dienstag, 1. Oktober 1996, 14.15 Uhr, HS 8 BWZ Bruennerstrasse 72, 1210 Wien o. Prof. W. Schachermayer =========================================================================

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FW: Old working paper now published
by Andrea Gaunersdorfer 11 Sep '96

11 Sep '96

>From Blake Sun Mar 19 17:27:57 2000 >From: Blake LeBaron To: OWNER-SNDE_L Subject: Old working paper now published Date: Wednesday, September 04, 1996 4:26PM Status: RO X-Status: X-Keywords: X-UID: 272 This paper has been in circulation as a working paper for nearly 10 years, but it has finally come out: A Test for Independence Based on the Correlation Dimension, W. A. Brock, W. D. Dechert, J. A. Scheinkman, B. LeBaron Econometric Reviews 15(3), 197-235, 1996. ABSTRACT: This paper presents a test of independence that can be applied to the estimated residuals of any time series model that can be transformed into a model driven by independent and identically distributed errors. The first order asymptotic distribution of the test statistic is independent of estimation error provided that the parameters of the model under test can be estimated sqrt(N)-consistently. Because of this, our method can be used as a model selection tool and as a specification test. Widely used software written by Dechert and LeBaron can be used to implement the test. Also, this software is fast enough that the null distribution of our test statistic can be estimated with bootstrap methods. Our method can be viewed as a nonlinear analog of the Box-Pierce Q statistic used in ARIMA methods. (For software info check http://www.econ.wisc.edu/~blake.) Note: Also, of related interest is the paper in the same issue, Nuisance Parameter Free Properties of Correlation Integral Based Statistics, P. J. F. de Lima, Econometric Reviews 15(3), 237-259, 1996. =========================================================================

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VFN-L September 1996