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Terminaenderung: Vortrag Dr. Gaunersdorfer
by Alexander STOMPER 17 Nov '97

17 Nov '97

TERMINAENDERUNG Der Vortrag von Dr. Andrea Gaunersdorfer am Fr., 21.11.1997, findet - durch terminliche Probleme bedingt - nicht statt! Wir hoffen den Vortrag im Jaenner nachzuholen. Eine gesonderte Ankuendigung folgt! =========================================================================

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Ankündigung
by Erika Ristl "fuer Prof. Streissler" 14 Nov '97

14 Nov '97

EINLADUNG WIRTSCHAFTSTHEORETISCHES FORSCHUNGSSEMINAR der Wiener Universiaeten gemeinsam mit dem Institut f=FCr Hoehere Studien und der Nationaoe=F6konomischen Gesellschaft 20. November 1997: 16.00 s.t.: Franz WIRL (Otto-von-Guericke Universit=E4t Magdeburg) "Entitling the Pollutee: The Polluter Pays Principle and Injunctions under Asymmetric Information" 17.30 s.t.: Georg GOETZ (Universiaet Wien) "Strategic Timing of Adoption of New Technologies under Uncertainty" Die Vortraege finden im Institut f=FCr Hoehere Studien, Stumpergasse 56, 1060 Wien, UND ZWAR AUSNAHMSWEISE IM SITZUNGSZIMMER (SZ VI) statt. Das Seminar steht allen Interessierten offen. Insbesondere wird die Teilnahme von fortgeschrittenen Studierenden begrue=DFt. Die naechsten Vortraege finden am 11. Dezember 1997 und 15. und 22. Jaenner 1998 statt. Egbert Dierker e _________________________ Erika Ristl Department of Economics, University of Vienna Hohenstaufengasse 9, A-1010 Vienna / Austria Tel.:+43-1-4277-37405 ------ Fax:+43-1-4277-9374 e-mail: erika.ristl(a)univie.ac.at =========================================================================

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Vortrag von Prof. Levi
by Alexander STOMPER 14 Nov '97

14 Nov '97

BETRIEBSWIRTSCHAFTLICHES FORSCHUNGS-SEMINAR: Am Do., 4.12.1997 von 14.30-16.00 haelt im HS 9 des Betriebswirtschaftszentrums, Bruennerstrasze 72, 1210 Wien, Prof. Maurice Levi (University of British Columbia) zwei Vortraege zu den Themen "Losing Sleep at the Market: The Daylight-Savings Anomaly" und "A Portfolio Analysis of Alternative Configurations of the European Union". Eine Kopiervorlage der Papers liegt - soweit vorhanden - im Sekretariat von Prof. Zechner am Betriebswirtschaftszentrum auf. ------------- Informationen ueber die Vortraege des betriebswirtschaftlichen Forschungsseminars: <http://www.bwl.univie.ac.at/bwl/fiwi1/teaching/dipldiss/vortrag.htm =========================================================================

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Vortrag von Dr. Gaunersdorfer
by Alexander STOMPER 14 Nov '97

14 Nov '97

BETRIEBSWIRTSCHAFTLICHES FORSCHUNGS-SEMINAR: Am Fr., 21.11.1997 von 15.30-17.00 haelt im HS 8 des Betriebswirtschaftszentrums, Bruennerstrasze 72, 1210 Wien, Dr. Andrea Gaunersdorfer (Universitaet Wien) einen Vortrag ueber Ihre gemeinsame Arbeit mit Engelbert J. Dockner und Helmut Elsinger, ''The Strategic Role of Dividends and Debt in Markets with Imperfect Competition'' Eine Kopiervorlage des Papers liegt im Sekretariat von Prof. Zechner am Betriebswirtschaftszentrum auf. ------------- Informationen ueber die Vortraege des betriebswirtschaftlichen Forschungsseminars: <http://www.bwl.univie.ac.at/bwl/fiwi1/teaching/dipldiss/vortrag.htm =========================================================================

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JCIF: Final CFP "Complexity and Dimensionality Reduction in Finance
by Andrea Gaunersdorfer 04 Nov '97

04 Nov '97

******************************************************************* F I N A L C A L L F O R P A P E R S ******************************************************************* Journal of Computational Intelligence in Finance Final Call for Papers Special Issue on "Complexity and Dimensionality Reduction in Finance" The Journal of Computational Intelligence in Finance, a peer-reviewed technical journal, published by Finance & Technology Publishing, is seeking papers for review and publication in 1998 on "Complexity and Dimensionality Reduction in Finance". The Journal of Computational Intelligence in Finance publishes applied research and practical applications of high quality that are based on sound theoretical, empirical or quantitative analysis. It provides the international forum for the convergence of the new multi-disciplined field of computational intelligence in finance. Papers published in the Journal are eligible for entry in an Annual Essay Award Contest. The Editorial Advisory Board of the Journal selects the best paper for which a cash award is presented each year. EDITORIAL BOARD Randall B. Caldwell, Editor-in-Chief Emilio Barucci, University of Florence - Italy Richard J. Bauer, Jr., St. Mary's University, Texas - USA Neil Burgess, London Business School - UK Oscar Castillo, UABC University - USA Jerry Connor, London Business School - UK Eric de Bodt, Universite Catholique de Louvain - France James F. Derry, Mgmt. Engineering Productivity Systems - USA Athanasios Episcopos, National Bank of Greece Andrew Flitman, Monash University - Australia Susan Garavaglia, Dun and Bradstreet - USA Ramo Gencay, University of Windsor - Canada Sabyasachi Ghoshray, Florida International University - USA Lee Giles, NEC Research Institute - USA Christian Haefke, University of California at San Diego - USA Ypke Hiemstra, Vrije Universiteit - The Netherlands Yuval Lirov, Lehman Brothers - USA Ralph Neuneier, Siemens AG Corporate Research Center - Germany Zoran Obradovic, Washington State University - USA Marimuthu Palaniswami, University of Melbourne - Australia Carlos E. Pedreira, Catholic University, Rio - Brazil David B. Skalak, IBM, New York - USA Stephen Slade, Stern Business School, New York University - USA Leon Sterling, University of Melbourne - Australia Manoel F. Tenorio, Purdue University - USA Halbert White, University of California at San Diego - USA Lei Xu, The Chinese University of Hong Kong SPECIAL TOPIC Complexity and Dimensionality Reduction in Finance PUBLICATION DATE May 1998 PAPER SUBMISSION DEADLINE December 15, 1997 SCOPE In the broad sense, all intelligent perception and data understanding seeks to reduce redundancy in data and, thus, its complexity and dimensionality. This special issue of JCIF focuses on a narrower scope: the theories, methods and algorithms for mapping financial data from its original representation into another form with reduced complexity and/or dimensionality that appear beneficial to financial applications. Of particular interest are techniques which can serve as preprocessors to data-driven models and data mining technologies, including those which address or utilize one or more of the following: complexity and dimensionality characterization, identification and analysis; data compression; feature extraction techniques; regularity discovery; inductive reasoning; randomness tests; algorithmic entropy; informational distance; minimal description length; adaptive and nonlinear PCA and other alternatives to standard forms of linear PCA; finite sequence statistics; variable combining methods; data filtering; categorical versus continuously- valued inputs; high-dimensional visualization analysis; and input space reduction techniques. MOTIVATION In finance, we inevitably encounter an unavoidable dilemma: an interest in collecting and utilizing as much data as possible in its original form so that potentially useful information is not lost, although this often results in data with high complexity and/or dimensionality that increases costs and reduces performance. Despite this, the notion that more input data is better persists. The need for managing complexity and dimensionality arises from eroding profit margins, diminishing arbitrage opportunities, lowered barriers to entry, increasingly segmented markets, increased costs, and, in general, the reduced performance (e.g., generalization ability) of tools applied, such as data-driven models and data mining technologies. Thus, the topic of this special issue represents very important areas of applied research across multiple disciplines relevant to computational intelligence in finance. DATA REFERENCES Authors may use any financial datasets of interest. For possible existing datasets, see the following Web pages: http://ourworld.compuserve.com/homepages/ftpub/dd.htm http://ourworld.compuserve.com/homepages/ftpub/other.htm http://www.cs.colorado.edu/~andreas/Time-Series/Data/Exchange.Rates.Daily BOOK/ARTICLE REFERENCES Abarbanel, Henry D.I. [1996] Analysis of Observed Chaotic Data, Springer-Verlag, New York. Bishop, Christopher M. [1995] Neural Networks for Pattern Recognition, Oxford University Press, Oxford and New York. Calude, C. [1994] Information and Randomness: An Algorithmic Perspective, Springer-Verlag, New York. Devijver, P.A. and J. Kittler [1982] Pattern Recognition: A statistical approach, Prentice-Hall. Frison, Ted W. [1995] "Chaos and Prediction Horizons in Silver Futures Trading," NeuroVest Journal, Vol.3, No.3, pp.22-29. Gershenfeld, N.A. and A.S. Weigend [1994] "The Future of Time Series: Learning and Understanding," in Time Series Prediction (A.S. Weigend and N.A. Gershenfeld, editors), Addison-Wesley, Reading, MA, pp.1-70. Keuzenkamp, H.A. and M. McAleer [1995] "Simplicity, Scientific Inference and Econometric Modelling," The Economic Journal, Vol.105, pp.1-21. Kohonen, Teuvo [1995] Self-Organizing Maps, Springer-Verlag, Berlin. Li, Ming and Paul Vitanyi [1997] An Introduction to Kolmogorov Complexity and Its Applications, Second Edition, Springer-Verlag, New York. Linial, N., Mansour, Y. and R.L. Rivest [1991] "Results on Learnability and the Vapnik-Chervonenkis Dimension," Information and Computation, 90:pp.33-49. Oja, E. [1983] Subspace Methods of Pattern Recognition, Research Studies Press, Letchworth, UK. Samon, John W., Jr. [1969] "A Nonlinear Mapping for Data Structure Analysis," IEEE Trans. on Computers, Vol.C-18, No.5, May. Staiger, L. [1993] "Kolmogorov Complexity and Hausdorff Dimension," and Computation, 120(2):pp.159-194. Storer, D. [1988] Data Compression: Method and Theory, Computer Science Press, New York. Tenorio, M.F., Pedreira, C.E. and N.M. Roehl [1997] "The Cotton Time Series: A Study of the Competition Series Behavior and Statistics," In Nonlinear Financial Forecasting: Proceedings of the First INFFC (R.B. Caldwell, editor), Finance & Technology Publishing, Haymarket, VA, pp.23-48. Tukey, John W. [1977] Exploratory Data Analysis, Addison-Wesley, Mass. Van Bussel, Joroen and Leo P.J. Veelenturf [1997] "Company Viability Prediction using Neural Networks with Sparse Data," J. of Computational Intelligence in Finance, Vol.5, No.4, pp.5-13. Watanabe, O. (editor) [1992] Kolmogorov Complexity and Computational Complexity, Spinger-Verlag, New York. Warwick, Keven and Miroslav Karny (editors) [1997] Computer-Intensive Methods in Control and Signal Processing: The Curse of Dimensionality, Birkhauser, Boston. Zurek, W.H. (editor) [1991] Complexity, Entropy and the Physics of Information, Addison-Wesley, Reading, MA. ABSTRACTS Submit 150 to 300 word abstract including full name(s) and affiliation(s) of the author(s), complete mailing address, email address and telephone numbers of all authors. Authors should provide a brief biographic sketch of themselves. Send to either of the postal or email addresses below: Post: Editors JCIF P.O. Box 764 Haymarket, VA 20168 USA E-mail: ftpub(a)compuserve.com PAPERS Submit three copies of each paper. Papers should be double- spaced, single-sided. Authors should provide a brief biographic sketch of themselves. Each copy submitted should include a page that contains the title of the paper, the full name(s) and affiliation(s) of the author(s), complete mailing address, email address and telephone numbers of all authors, and a 150 to 300 word abstract. The Journal reserves the right to edit all material to meet space requirements and to make grammatical and typographical corrections. The final text should be 4000 to 5000 words in length, containing no more than about 15 references, and be provided as follows: (1) Hardcopy: printed and double-spaced, with notations for the location of graphics, mathematical equations, given thereon, as necessary, (2) Softcopy: The preferred media format is IBM PC 3.5", 1.44MB. The preferred file format is Word 6/95/97 for Windows 3.1/95. Other acceptable software files (in the IBM PC format) are the following: Word/DOS 3.0 or later Word/Mac 4.0 or later Word/Win 2.0 through 7 WordPerfect 5.1 or later (for DOS or Windows 3.1/95). Any standard ASCII text file format using the preferred media format, including bracketed notations for the locations of symbols, equations or other non-ASCII characters. Tex and LaTex may be used for the development and generation of the hardcopy version of the paper, provided that a softcopy version is also submitted in any standard ASCII text file format using the preferred media format, including bracketed notations for citations and for the locations of symbols, equations or other non-ASCII characters. GRAPHICS The preferred graphics format is a Windows compatible format (.pcx, .bmp, .wmf). For other graphics formats, submit high-quality, camera-ready hardcopy. TEXT CITATIONS AND REFERENCES Papers should be limited to about 15 references. Encouraged are references to: (a) peer-reviewed journals and (b) books. Text citations must use the following format: last name(s) of author(s), publication date and suffix (as necessary) in brackets. Example: Watkins and McCoy [1993a] References must be listed alphabetically by the last name of the first author according to the following formats: Journal Article: authors' names, publication date and suffix (as necessary) in brackets, article title (in double quotations), periodical title (in italics), volume and number, pages cited. Book: authors' names, publication date and suffix (as necessary) in brackets, book title (in italics), publisher, publisher location, pages cited. Chapter in Book: authors' names, publication date and suffix (as necessary) in brackets, chapter title (in double quotations), editors' names, book title (in italics), publisher, location, pages cited. Send all manuscripts to the following postal address: Editors JCIF P.O. Box 764 Haymarket, VA 20168 USA ******************************************************************* F I N A L C A L L F O R P A P E R S ******************************************************************* =========================================================================

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Vortrag von Prof. Duane Seppi
by Alexander STOMPER 04 Nov '97

04 Nov '97

VORTRAGSANKUENDIGUNG PROF. DUANE SEPPI (Carnegie Mellon University) haelt am Do, 13.11.1997, 14.30-16.00, im Rahmen des Betriebswirtschaftlichen Forschungsseminars einen Vortrag zum Thema "EQUILIBRIUM FORWARD CURVES FOR COMMODITIES". Der Vortrag findet im Hoersaal 7 des Betriebswirtschaftszentrums der Universitat Wien, Bruennerstrase 72, 1210 Wien, statt. Alle Interessenten sind herzlich eingeladen! =========================================================================

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(Fwd) fwd: ERN Professional Announcements
by Andrea Gaunersdorfer 29 Oct '97

29 Oct '97

------- Forwarded Message Follows ------- >From McClelland_R(a)bls.gov Sun Mar 19 17:27:57 2000 >From: McClelland_R <McClelland_R(a)bls.gov> To: "SNDE Mailing List" <SNDE(a)fas-econ.rutgers.edu> Subject: fwd: ERN Professional Announcements Date: Tue, 28 Oct 1997 09:31:01 -0500 Status: RO X-Status: X-Keywords: X-UID: 293 Both of the announcements here may be of interest. ____________________________________________________________ E C O N O M I C S R E S E A R C H N E T W O R K P R O F E S S I O N A L A N N O U N C E M E N T S October 23, 1997 (146,235 served to 12,339 ERN subscribers in 70+ countries) Publisher: The Economics Research Network (ERN) a division of Social Science Electronic Publishing, Inc., (SSEP, Inc.) and Social Science Research Network (SSRN) Copyright: SSEP, Inc. 1997. All rights reserved. YOU MAY REDISTRIBUTE THIS DOCUMENT During the start-up phase, SSEP provides permission to redistribute ERN Professional Announcements. No one may charge for redistribution, and the issue must be distributed in its entirety. We encourage distribution to faculty and students in business schools, economics and public policy programs, as well as to practitioners and policy makers in the private and public sectors. FREE SUBSCRIPTIONS Subscriptions to ERN abstract journals are available at no charge during the start-up phase. Subscriptions are available through the form at the end of this issue, by filling out our on-line subscription form available from our web page at http://www.SSRN.Com/Subscription.html or by contacting MAILTO:Trial@SSRN.Com SIGN OFF To stop delivery of one or more of the SSRN journals, write to MAILTO:Remove@SSRN.Com Include the JOURNAL name or the NETWORK name or ALL in the subject line. ALIGNMENT If this document is misaligned, please set type face to a non-proportional font such as Courier 10. T A B L E of C O N T E N T S ____________________________________________________________ CALL FOR PAPERS * Risk Theory Society 1998 Annual Meeting, Athens, Georgia CALL FOR PAPERS * 1998 International Meeting of the Society for Computational Economics, Cambridge, UK ____________________________________________________________ E R N Information * Administrative Information for ERN Missing Issues & Change of Address Submission of Announcements * Complimentary Trial Subscriptions to ERN and SSRN's Affiliated Networks ERN does not endorse or warrant any product, service or notice listed in our announcements and assumes no liability regarding these products, services, and notices. When answering queries, please say you saw it on ERN. ____________________________________________________________ P R O F E S S I O N A L Announcements CALL FOR PAPERS Risk Theory Society 1998 Annual Meeting April 17-19, 1998 University of Georgia Athens, Georgia The Risk Theory Society will be holding its annual Seminar on April 17-19, 1998 at the University of Georgia. ABOUT THE ORGANIZATION: The Risk Theory Society is a group of economists, financial economists, and actuaries that undertake theoretical and applied research in the broad area of insurance economics, financial economics related to the insurance industry, and actuarial science. Membership in the society is earned by presenting a paper at the yearly Risk Theory Society. PAPER PRESENTATION: The Risk Theory Society invites interested parties to submit a paper. Authors of selected papers present their research to the members in a seminar setting. Historically, the seminar has been thought provoking and its "no holds barred" approach has allowed for rigorous discussion of an author's findings. PAPER SUBMISSION/DEADLINE: Five page abstracts (or a rough draft of a paper) on any relevant topic are due by December 15th to: CONTACT: Dr. Richard J. Butler Center of Industrial Relations University of Minnesota 271 19th Avenue South Minneapolis, MN 55455 Tel: 612-624-0581 Fax: 612-624-8360 E-Mail: MAILTO:rbutler@csom.umn.edu The program committee will notify successful authors by January 15th. Papers must be completed by March 15th. Financial support for travel (North American portion only) for one author per paper is available. For more information, please contact Professor Butler. ________________________________________ CALL FOR PAPERS Volatility Analysis, Risk and the Range Process Session to be held at the 1998 International Meeting of the Society for Computational Economics Cambridge, UK June 29-July 1st 1998 SCOPE: Volatility measurement and estimation and its relationship to risk analysis are assuming an increased importance in finance and economics. This session seeks papers and presentations that deal with such problems. PAPERS: Some of the papers to be presented include at this time : P. Vallois & C.S. Tapiero: R/S Analysis and the Estimation of Volatility. F. Longin: VaR and Extreme Values. J.P. Indjehagopian: A review of Stochastic Volatility Models. SUBMISSION PROCEDURE/DEADLINES: Authors wishing to make contributions are invited to contact C.S. Tapiero (Tapiero(a)edu.essec.fr) below according to the following deadlines. December 1st, 1997, for papers to be included in the Proceedings of the conference. January 15, 1998 for papers to be included in the program. Please contact: CONTACT: C.S. Tapiero E-Mail: MAILTO:p_tapiero@edu.essec.fr Postal: ESSEC, BP 105 95021 Cergy Pontoise, France ____________________________________________________________ CLICKABLE E-MAIL AND WEB ADDRESSES All e-mail and web references in this journal are in a form that enables compliant e-mail programs and web browsers to recognize them. This feature is supported by Claris Emailer 1.1v3, NetScape 2.0 or higher, and Eudora 3.0 A reader can then click on an e-mail address to obtain a pre- addressed e-mail form or click on a web address to go directly to the web page. PLEASE IGNORE the "MAILTO:" command preceding each e-mail address when copying addresses directly into your mailer. You can obtain e-mail and web browsers with this new feature at: Claris Emailer (Mac only. 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If you would like to become a regular paid ARN member, please contact MAILTO:Subscribe@SSRN.Com [ ] Auditing, Litigation and Tax Abstracts [ ] Financial Accounting Abstracts [ ] Managerial Accounting Abstracts [ ] ARN Professional Announcements [ ] ARN Professional Job Openings ____________________________________________________________ SSEP, Inc. http://www.SSRN.Com/ Leading Social Science Research Delivered to Your Desktop Copyright by SSEP, Inc. 1997 All rights reserved. ____________________________END_____________________________ ---------------------------------------------------- Dr. Andrea Gaunersdorfer Department of Business Administration University of Vienna Bruenner Strasse 72 A - 1210 Wien Tel.: +43-1-29 1 28-466, Fax: 464 e-mail: gauner(a)finance2.bwl.univie.ac.at http://www.bwl.univie.ac.at/bwl/fiwi1/members/gauner/gauner.htm

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None
by Andrea Gaunersdorfer 27 Oct '97

27 Oct '97

Hinweis auf einen Vortrag im Rahmen des KOLLOQUIUM aus Statistik, Operations Research und Informatik (ISOC-Kolloquium) Montag, 1. Dezember 1997, 17:00 (puenktlich) R. Frey (ETH Zuerich): "GARCH-type models, their diffusion limits and applications to derivative pricing" Ort: Seminarraum des Instituts fuer Statistik, Operations Research und Computerverfahren (ISOC), 1010 Wien, Universitaetsstr.5/3.Stock (Lift!) ---------------------------------------------------- Dr. Andrea Gaunersdorfer Department of Business Administration University of Vienna Bruenner Strasse 72 A - 1210 Wien Tel.: +43-1-29 1 28-466, Fax: 464 e-mail: gauner(a)finance2.bwl.univie.ac.at http://www.bwl.univie.ac.at/bwl/fiwi1/members/gauner/gauner.htm =========================================================================

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(Fwd) Forwarded mail....
by Andrea Gaunersdorfer 03 Oct '97

03 Oct '97

------- Forwarded Message Follows ------- >From jh(a)banach.mat.univie.ac.at Sun Mar 19 17:27:57 2000 Date: Fri, 3 Oct 1997 13:49:22 +0100 >From: Josef Hofbauer <jh(a)banach.mat.univie.ac.at> Subject: Forwarded mail.... To: Andrea Gaunersdorfer <GAUNER(a)finance2.bwl.univie.ac.at> Status: RO X-Status: X-Keywords: X-UID: 289 ---------- Forwarded message ---------- >From bachelie(a)mi.ras.ru Sun Mar 19 17:27:57 2000 Date: Fri, 03 Oct 1997 15:25:56 +0300 (MSK) >From: CongrFinMaths <bachelie(a)mi.ras.ru> To: "Undisclosed.recipients": ; Subject: Status: RO X-Status: X-Keywords: X-UID: 290 INFORMATION BULLETIN N 1 CALL FOR PAPERS and REGISTRATION of THE FIRST BACHELIER FINANCE SOCIETY CONGRESS (August 6-12, 1998, Moscow) ORGANIZERS: The Russian Academy of Sciences (RAS) Bachelier Finance Society (BFS) CO-CHAIRMEN: Yu. S. Osipov - President of the RAS A. N. Shiryaev - President of the BFS CHAIRMAN OF THE INTERNATIONAL PROGRAMM COMMITTEE (IPC): J. Aa. Nielsen MEMBERS OF THE IPC: M. H. A. Davis F. Delbaen D. Duffie T. Kariya E. Platen S. Pliska A. N. Shiryaev D. Sondermann THE BACHELIER AND BLACK LECTURERS: M. H. A. Davis H. Follmer STRUCTURE OF THE PROGRAM Plenary invited lectures (1 hour) and contributed papers (30 min). See also below "Preliminary Format of the Programm". PAPER SUBMISSIONS AND DEADLINES FOR CONTRIBUTED PAPERS: Send a two-page abstract by e-mail: bachelie(a)mi.ras.ru or three hard copies by ordinary mail before February, 1, 98 to the address of ROC given below. Abstracts should be prepared according to the style of the first printed page of papers in journal "Finance and Stochastics" ACCOMODATION The Organizing Committee has reserved about 300 rooms in the hotel "Orlenok" located in the picturesque place, Vorobievy Gory near Moscow river, Moscow State University and the Main Building of the Russian Academy of Sciences - the host of the Congress (less than 1 km from hotel). PRICES (in the case of registration and reservation before 30.12.97) Room (two beds) - 70 USD Room (one bed) - 45 USD Luxe - 95 USD ------------------------------------------------------ ------------------------------------------------------ PRELIMINARY REGISTRATION FORM Family name: Given name: Title: Date of birthday: Affiliation: Address: town/city: state : postcode : country : Badge names(First, Surname, Affiliation ...) Do you intend to give a talk? Yes (title) No ------------------------------------------------------- ------------------------------------------------------- REGISTRATION FEE including lunches and Congress dinner (if payed before June 15) Academicians: 200 USD for member of BFS 250 USD for others Practitioners: 400 USD for member of BFS 450 USD for others Accompanying persons 75 USD For payments after June 15 add 50 USD Form of payments will be published in Information Bulletin N 2 (February, 1998) MEMBERSIP OF BACHELIER FINANCE SOCIETY Write to Prof. J. Aa. Nielsen E-mail: atsjan(a)mi.aau.dk PRELIMINARY FORMAT OF THE CONGRESS Thursday, August 6: 2-2.15 Opening ceremony 2.15-3.15 Bachelier Lecture by M.H.A. Davis 3.15-4.15 Plenary invited lecture 4.30-5.30 Plenary invited lecture Friday, August 7: 9-10 Plenary invited lecture 10.15-11.15 Plenary invited lecture 11.15-11.45 Coffee 11.45-12.45 Contributed papers with relevance for practitioners (3 parallel sessions) 12.45-2.15 Lunch 2.15-3.15 Contributed papers with relevance for practitioners (3 parallel sessions) 3.15-3.45 Coffee 3.45-4.45 Contributed papers with relevance for practitioners (3 parallel sessions) Saturday, August 8: 9-11.15 Contributed papers with relevance for practitioners (3 parallel sessions) 11.15-11.45 Coffee 11.45-12.45 Plenary invited lecture 12.30-2 Lunch Time for discussions, lecture halls will be open 7.00 Congress dinner Sunday, August 9: Excursions Monday, August 10: 9.00-10.00 Plenary invited lecture 10.15-11.15 Plenary invited lecture 11.15-11.45 Coffee 11.45-12.45 Contributed papers with relevance for practitioners (3 parallel sessions) 12.45-2.15 Lunch 2.15-3.15 Contributed papers with relevance for practitioners (3 parallel sessions) 3.15-3.45 Coffee 3.45-4.45 Contributed papers with relevance for practitioners (3 parallel sessions) Tuesday, August 11: 9.00-10.00 Plenary invited lecture 10.15-11.15 Plenary invited lecture 11.15-11.45 Coffee 11.45-12.45 Contributed papers with relevance for practitioners (3 parallel sessions) 12.45-2.15 Lunch 2.15-3.15 Contributed papers with relevance for practitioners (3 parallel sessions) 3.15-3.45 Coffee 3.45-4.45 Contributed papers with relevance for practitioners (3 parallel sessions) Wednesday, August 12 9.00-10.30 Contributed papers with relevance for practitioners (3 parallel sessions) 10.30-11 Coffee 11-12 Black lecture by Follmer ADDRESS OF ROC (RUSSIAN ORGANIZING COMMITTEE) Prof. A.N. Shiryaev Bachelier Congress Actuarial-Financial Center Steklov Mathematical Institute Gubkina str. 8, 117966, Moscow Russia E-mail: bachelie(a)mi.ras.ru Tel: (7-095) 938 3737 Fax: (7-095) 938 1880 ---------------------------------------------------- Dr. Andrea Gaunersdorfer Department of Business Administration University of Vienna Bruenner Strasse 72 A - 1210 Wien Tel.: +43-1-29 1 28-466, Fax: 464 e-mail: gauner(a)finance2.bwl.univie.ac.at http://www.bwl.univie.ac.at/bwl/fiwi1/members/gauner/gauner.htm =========================================================================

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Einladung
by Erika Ristl 24 Sep '97

24 Sep '97

WIRTSCHAFTSTHEORETISCHES FORSCHUNGSSEMINAR der Wiener Universit=E4ten gemeinsam mit dem Institut f=FCr H=F6here Studien und der National=F6konomischen Gesellschaft 16. Oktober 1997: 16.00 s.t.; Saqib JAFAREY (University of Essex) "Effects of Credit Rationing Equilibria upon Growth" 17.30 s.t.: Alexander STOMPER (Universit=E4t Wien) "Bank from Relationship in Industry Equilibrium" 23. Oktober 1997: 16.00 s.t.: David ANDOLFATTO (University of Waterloo) "Unemployment Insurance and Labour Market Activity in Canada" 17.30 s.t.: Timo TERAESVIRTA (Stockholm School of Economics) "Stylized facts of daily return series and the Hidden Markov Model" 6. November 1997: 16.00 s.t.: Rudolf KERSCHBAMER (Universit=E4t Wien) "Excess Capacity as an Incentive Device" 17.30 s.t.: Jonathan P. CAULKINS (Carnegie Mellon Univ., Pittsburgh) "Is Incarceration an Effective Way to Control Illicit Drugs?" Abstracts (soweit vorhanden) koennen uebermittelt werden. Die Vortraege finden im Institut f=FCr Hoehere Studien, Stumpergasse 56, 1060 Wien, Hoersaal II, statt. Das Seminar steht allen Interessierten offen. Insbesondere wird die Teilnahme von fortgeschrittenen Studierenden begruesst. Egbert Dierker _________________________ Erika Ristl Department of Economics, University of Vienna Hohenstaufengasse 9, A-1010 Vienna / Austria Tel.:+43-1-4277-37405 ------ Fax:+43-1-4277-9374 e-mail: erika.ristl(a)univie.ac.at

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Ausschreibung einer Assistent/inn/enstelle
by Reinhard Moser 23 Sep '97

23 Sep '97

Am Institut f=FCr Betriebswirtschaftslehre des Au=DFenhandels der Wirtschaftsuniversit=E4t Wien ist voraussichtlich ab 01. November 1997 ein Universit=E4tsassistent/inn/enposten, allenfalls zwei Vertragsassistent/inn/enposten (halbbesch=E4ftigt) zu besetzen. Gesetzliche Aufnahmebedingungen: Abgeschlossenes Studium der Sozial- und Wirtschaftswissenschaften Zus=E4tzlich erw=FCnschte Kenntnisse: Fundierte Kenntnisse im Bereich der Betriebswirtschaftlehre des Au=DFenhandels (facheinschl=E4gige wissenschaftliche Arbeiten und/oder einschl=E4gige praktische Erfahrungen), =FCberdurchschnittlicher Studienerfo= lg, Fremdsprachenkenntnisse, F=E4higkeit zur Betreuung wissenschaftlicher Forschungsprojekte, p=E4dagogische Ausbildung und Lehrerfahrung, Bereitschaf= t zur Mitarbeit in der Institutsadministration, Stre=DFresistenz, Flexibilit= =E4t und hohe Selbstmotivation Schriftliche Bewerbungen mit Lebenslauf und Angabe =FCber den Studienerfolg (ohne Originalzeugnisse) sind an die Personalabteilung im Wege der Universit=E4tsdirektion der WU Wien, Augasse 2-6, 1090 Wien zu richten. Bewerbungsfrist: bis 8. Oktober 1997 Bewerber/innen haben keinen Anspruch auf Abgeltung der aufgelaufenen Reise- und Aufenthaltskosten, die aus Anla=DF des Aufnahmeverfahrens entstanden= sind. Die Wirtschaftsuniversit=E4t Wien hat sich eine Erh=F6hung des Frauenanteils= am wissenschaftlichen Personal zum Ziel gesetzt. Deshalb werden nachdr=FCcklich Frauen aufgefordert, sich zu bewerben. Es wird darauf hingewiesen, da=DF Frauen bei gleicher Qualifikation bevorzugt aufgenommen werden und da=DF an der Wirtschaftsuniversit=E4t ein Arbeitskreis f=FCr Gleichbehandlungsfragen eingerichtet ist. -- =========================================================================

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Ausschreibung einer Assistenplanstelle
by Roland Dipplinger 15 Sep '97

15 Sep '97

Am Institut f=FCr Finanzierung und Finanzm=E4rkte der Wirtschaftsuniversit= =E4t Wien,=20 Ordinariat Univ.Prof. Dr. Otto Loistl, ist voraussichtlich ab 1. November 1997 ein Universit=E4tsassistentposten zu besetzen. Gesetzliche Aufnahmebedingungen: Abgeschlossenes Studium der Sozial- und Wirtschaftswissenschaften oder abgeschlossenes Studium der Informatik Zus=E4tzlich erw=FCnschte Kenntnisse: Studium der Speziellen BWL =91Finanzierung=92, vertiefende Kenntnisse =FCber betriebliche Finanzierung und Kapitalm=E4rkte, praktische Programmiererfahrungen in C++, Erfahrung als Netzadmistrator f=FCr Internetdienste, Erfahrungen mit Hard- und Softwareinstallationen. Schriftliche Bewerbungen mit Lebenslauf und Angabe =FCber den Studienerfolg (ohne Originalzeugnisse) sind an die Personalabteilung im Wege der Universit=E4tsdirektion, Augasse 2-6, A 1090 Wien zu richten. Bewerbungsfrist: 8. Oktober 1997. Bewerber/innen haben keine Anspruch auf Abgeltung der aufgelaufenen Reise- und Aufenthaltskosten, die aus Anla=DF des Aufnahmeverfahrens entstanden= sind. Die Wirtschaftsuniversit=E4t Wien hat sich eine Erh=F6hung des Frauenanteile= s am wissenschaftlichen Personal zum Ziel gesetzt. Deshalb werden nachdr=FCcklich Frauen aufgefordert, sich zu bewerben. Es wird darauf hingewiesen, da=DF Frauen bei gleicher Qualifikation bevorzugt aufgenommen werden und da=DF an der Wirtschaftsuniversit=E4t Wien ein Arbeitskreis f=FCr Gleichbehandlungsfragen eingerichtet ist. =========================================================================

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Announcement: Austrian Political Stock Markets 1997
by Gerhard Ortner 06 Aug '97

06 Aug '97

Announcement: Austrian Political Stock Markets 1997 Seit heute ist am AEM ein neuer Markt verfuegbar und zum Handel freigegeben. Dieser Markt beschaeftigt sich mit der oesterreichischen Arbeitslosenrate im September '97. Detailierte Infos bzw. alles was zur Teilnahme erforderlich ist, ist - wie gewohnt - unter: http://ebweb.tuwien.ac.at/apsm/ auf unserem Webserver zu finden. MfG, Gerhard Ortner --------------------------------------------------------------------------- University of Technology Vienna Institut of Industrial Engineering, Ergonomics and Business Economics Theresianumgasse 27, A-1040 Vienna, Austria Phone: +43-1-505 73 19 /43 Fax: +43-1-504 14 99 EMail: ortner(a)ebwnov.tuwien.ac.at WWW : http://ebweb.tuwien.ac.at/ortner/home.html --------------------------------------------------------------------------- THIS MESSAGE HAS BEEN COMPOSED USING 100% RECYCLED ELECTRONS

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neuer AEM Markt
by Gerhard Ortner 23 Jul '97

23 Jul '97

Announcement: Austrian Political Stock Markets 1997 Seit heute ist am AEM ein neuer Markt verfuegbar und zum Handel freigegeben. Dieser Markt beschaeftigt sich mit der Abstimmung ueber die Bewerbung Salzburgs fuer die Olympischen Winterspiele 2006. Detailierte Infos bzw. alles was zur Teilnahme erforderlich ist, ist - wie gewohnt - unter: http://ebweb.tuwien.ac.at/apsm/ auf unserem Webserver zu finden. MfG, Wir freuen uns ueber jede/n neue/n MarkteilnehmerIn! Gerhard Ortner --------------------------------------------------------------------------- University of Technology Vienna Institut of Industrial Engineering, Ergonomics and Business Economics Theresianumgasse 27, A-1040 Vienna, Austria Phone: +43-1-505 73 19 /43 Fax: +43-1-504 14 99 EMail: ortner(a)ebwnov.tuwien.ac.at WWW : http://ebweb.tuwien.ac.at/ortner/home.html --------------------------------------------------------------------------- THIS MESSAGE HAS BEEN COMPOSED USING 100% RECYCLED ELECTRONS

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Vortragsankuendigung 26.6.
by Thomas Hudetz 19 Jun '97

19 Jun '97

Vortragsankuendigung: Im gemeinsamen Seminar von Univ.Prof. Schachermayer und Univ.Prof. Strasser spricht Univ.Prof.Dr. R. F. Tichy (TU Graz) Ort: WU Wien, Zentrum fuer Statistik und Informatik (UZA II), Seminarraum des Instituts fuer Statistik (4. Stock) Datum: Donnerstag, 26. Juni 1997 Zeit: 17:00 Uhr Vortragstitel: Risikomodelle und zahlentheoretische Simulation Zentrales Thema des Vortrags sind stochastische Modelle der Versicherungsmathematik. Es werden ausgehend von einem klassischen Risikomodell von Gerber verschiedene Weiterentwicklungen und Loesungsverfahren untersucht. Fuer spezielle Schadensverteilungen werden analytische Verfahren mit Simulationsverfahren verglichen. Dabei spielen sowohl Symbolic Computation als auch Monte-Carlo Verfahren eine Rolle. Ferner werden zahlentheoretische Algorithmen zur Loesung der Modellgleichungen vorgestellt, wie sie auch seit Paskov und Traub in der Finanzmathematik zur Optionspreisberechnung eingesetzt werden. Schliesslich werden aktuelle Ruinmodelle mit stochastischem Zins und kombiniert mit Optionen vorgestellt.

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Seminar in Finance
by Gerti Scheiner 18 Jun '97

18 Jun '97

SEMINAR IN FINANCE Christian Helmenstein, Gabriel Lee (Biweekly Mondays) Monday, June 23, 1997 Dmitri Shemetilo (WoodCommerz Commerzbank, Prague) "Predicting Commercial Banks' Failure in Russia" Place: Institute for Advanced Studies, Stumpergasse 56, 1060 Vienna, SZ VI Time: 17:00h-18:30h Info: http://www.ihs.ac.at/fin/finsem.html =========================================================================

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Vortragsankuendigung 19.06.
by Thomas Hudetz 12 Jun '97

12 Jun '97

Vortragsankuendigung: Prof. M. Frittelli (Univ. Mailand) Ort: WU Wien, Zentrum fuer Statistik und Informatik (UZAII), Seminarraum des Instituts fuer Statistik (4. Stock) Datum: Donnerstag, 19.06.1997 Zeit: 17:00 Uhr Title: Certainty Equivalent and No Arbitrage Pricing in Incomplete Markets Abstract: We describe a general methodology for the valuation problem in incomplete financial markets that reconciles the utility and martingale approaches. We develop a utility based criterion to select the no-arbitrage linear pricing functional that is ''closest'' to the Certainty Equivalent pricing functional. As special cases we derive the variance optimal and the minimal entropy martingale measures. =========================================================================

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Seminar in Finance
by Gerti Scheiner 12 Jun '97

12 Jun '97

SEMINAR IN FINANCE Christian Helmenstein, Gabriel Lee (Biweekly Mondays) Monday, June 16, 1997 Marcus Klug (Creditanstalt IB, Vienna) "Assessing the current demand for CEE derivatives and their implications for the local capital markets" Place: Institute for Advanced Studies, Stumpergasse 56, 1060 Vienna, SZ VI Time: 17:00h-18:30h Info: http://www.ihs.ac.at/fin/finsem.html =========================================================================

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None
by Elke PENDL 10 Jun '97

10 Jun '97

Einladung zum Privatissimum des Institutes fuer Betriebswirtschaftslehre der Universitaet Wien A-1210 Wien, Bruennerstrasse 72 Donnerstag, 12. 6. 1997, 15.00 Uhr Seminarraum 1 (BWZ) Professor Dr. Baumgartner "Assessing Measurement Invariance in Cross-National Consumer Research" Freitag, 20. 6. 1997, 10.00 Uhr Seminarraum 1 (BWZ) Professor Dr. Cravens "Investigating the relationships among sales, management control, sales territory design, salesperson performance, and sales organization effectiveness" Donnerstag, 26. 6. 1997, 15.00 Uhr Seminarraum 1 (BWZ) Professor Bemmaor "How Grounded Are Individual - Level Purchase Intent Data? =========================================================================

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None
by Elke PENDL 06 Jun '97

06 Jun '97

VSX WORKSHOP ACHTUNG AENDERUNG !!!!!!!!!!!!!!!! Der Vortrag von Professor Michel Habib, ''Debt and Equity as Information Revelation Mechanisms'', findet am Freitag, 13. Juni 1997 von 16:00 - 17:30 im Freizeitraum (erstes Untergeschoss) der Wirtschaftsuniverstaet Wien statt. =========================================================================

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Announcement: Austrian Political Stock Markets 1997
by Gerhard Ortner 03 Jun '97

03 Jun '97

Announcement: Austrian Political Stock Markets 1997 Wie schon in den letzten Jahren (1994-96) starten im Rahmen des Austrian Electronic Market Experimentes wieder einige experimentelle Aktienmaerkte an der TU Wien. Im diesjaehrigen Experiment wird aber erstmals eine neue - voellig WWW basierende - Software eingesetzt. Die momentan verfuegbaren Maerkte beziehen sich auf die Oberoesterreichischen Landtagswahlen im Oktober 1997 und auf die oesterreichische Arbeitslosenrate im Juli 1997. Alle Maerkte sind als Double Auction Markets, die rund um die Uhr verfuegbar sind, realisiert. Detailierte Infos bzw. alles was zur Teilnahme erforderlich ist, ist - wie gewohnt - unter: http://ebweb.tuwien.ac.at/apsm/ auf unserem Webserver zu finden. Wir freuen uns ueber jede/n neue/n MarktteilnehmerIn! MfG, Gerhard Ortner --------------------------------------------------------------------------- University of Technology Vienna Institut of Industrial Engineering, Ergonomics and Business Economics Theresianumgasse 27, A-1040 Vienna, Austria Phone: +43-1-505 73 19 /43 Fax: +43-1-504 14 99 EMail: ortner(a)ebwnov.tuwien.ac.at WWW : http://ebweb.tuwien.ac.at/ortner/home.html --------------------------------------------------------------------------- THIS MESSAGE HAS BEEN COMPOSED USING 100% RECYCLED ELECTRONS =========================================================================

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Einladung
by Erika Ristl 02 Jun '97

02 Jun '97

WIRTSCHAFTSTHEORETISCHES FORSCHUNGSSEMINAR der Wiener Universitaeten gemeinsam mit dem Institut fuer Hoehere Studien und der Nationaoekonomischen Gesellschaft 12. Juni 1997: 16.00 s.t.: Bhaskar DUTTA (Indian Statistical Institute, New Delhi "Incentice Compatible Reward Schemes" 17.30 s.t.: Zvika NEEMAN (Boston University) "The Freedom to Contract and the Free Rider Problem" 26. Juni 1997: 16.00 s.t.: Giuseppe BERTOLA (Univertaet Turin) "Income Distribution and Growth" 17.30 s.t.: Clemens PUPPE (Universitaet Wien) "Neutrality and Non-normality: The Voluntary Contribution Mechanism Revisited" Die Vortr=E4ge finden im Institut fuer Hoehere Studien, Stumpergasse 56, 1060 Wien, H=F6rsaal II, statt. Das Seminar steht alles Interessierten offen. Insbesondere wird die Teilnahme von fortgeschrittenen Studierenden begruesst. Egbert Dierker ------------------ Erika Ristl Department of Economics University of Vienna Hohenstaufengasse 9 A-1010 Vienna / Austria Phone: +43-1-40103-3374 Fax: +43-1-532 1498 e-mail: erika.ristl(a)univie.ac.at =========================================================================

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Gastvortrag
by Roland Dipplinger 28 May '97

28 May '97

Einladung zum Gastvortrag: Chancen und Risken aus Globalisierung und Euro f=FCr den regionalen= Wettbewerb=20 - am Beispiel des Wirtschaftsraumes Stuttgart Dr. Thomas R. FISCHER=20 Vorstandsvorsitzender Landesgirokasse Stuttgart Mo. 9. Juni 1997, 12:00 Uhr Hs 0001, UZA III Althanstra=DFe 39-45 A-1090 Wien ____________________________________________________________ Mag. Roland Dipplinger, Institut fuer Finanzierung und Finanzmaerkte Wirtschaftsuniversitaet Wien, Althanstrasse 39-45, A-1090 WIEN Tel.: ++431-31336-4173, Fax: -761, @: Roland.Dipplinger(a)wu-wien.ac.at "In practice, this works, but how about in theory?" Attributed to a French mathematician

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Seminar of Finance
by Gerti Scheiner 27 May '97

27 May '97

INSTITUT F=DCR H=D6HERE STUDIEN INSTITUTE FOR ADVANCED STUDIES =09 A-1060 Wien, Stumpergasse 56 Telefon: (0222) 59 9 91 Telefax: (0222) 597 06 35 SEMINAR IN FINANCE Christian Helmenstein, Gabriel Lee (Biweekly Mondays) Monday, 2. June 1997 E. J. Dockner, H. Elsinger, A. Gaunersdorfer (University of Vienna) "The Strategic Role of Dividends and Debt in Markets=20 with Imperfect Competition" Abstract While many existing models in the literature on financial structure do ignore product market strategies, Brander and Lewis (1986) argue that there are important linkages between the two. In particular they show that oligopolistic firms with limited liability follow a more aggressive output strategy as their leverage increases. In a follow up paper Glazer (1994) points out that this result crucially depends on the assumption that debt is short-term. If on the contrary debt is long-term and rival firms chose their equilibrium in period one and two, they do have an incentive to be more collusive in the first period than static oligopolists would be and hence output decreases. On the basis of this result Glazer concludes that the degree of price fluctuations on product market will increase with the level of firm=92s debt. In this paper we argue that the incentive to collude is driven by limited liability and the dividend policy of the firm. We find that increasing leverage causes firms in both periods to increase their output and hence be more aggressive. Moreover, we show by means of a numerical example that the symmetric game admits multiple equilibria some of which cause firms to choose asymmetric product market strategies. This leads us to conclude that firms with similar leverage and product market characteristics might very well choose quite different product market stragegies. Place: Institute for Advanced Studies, Stumpergasse 56, 1060 Vienna, SZ VI= =20 Time: 17:00h-18:30h Info: http://www.ihs.ac.at/fin/finsem.html =========================================================================

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(Fwd) JCIFinance - Final CFP - Special issue on "Improving Gen
by Andrea Gaunersdorfer 26 May '97

26 May '97

------- Forwarded Message Follows ------- >From RBCALDWELL(a)DELPHI.COM Sun Mar 19 17:27:57 2000 >From: RBCALDWELL(a)DELPHI.COM To: "SNDE Mailing List" <SNDE(a)fas-econ.rutgers.edu> Subject: JCIFinance - Final CFP - Special issue on "Improving Generalization Date: Thu, 22 May 1997 20:36:11 -0400 (EDT) Status: RO X-Status: X-Keywords: X-UID: 265 ******************************************************************* F I N A L C A L L F O R P A P E R S ******************************************************************* Journal of Computational Intelligence in Finance Final Call for Papers Special Issue and Competition on "Improving Generalization for Nonlinear Financial Forecasting Models" The Journal of Computational Intelligence in Finance, a peer-reviewed technical journal, published by Finance & Technology Publishing, is seeking papers for review and publication in 1997 on "Improving Generalization for Nonlinear Financial Forecasting Models". For comparison of methods submitted, the target variable series and performance metrics are specified (though not required). The Journal of Computational Intelligence in Finance publishes applied research and practical applications of high quality that are based on sound theoretical, empirical or quantitative analysis. It provides the international forum for the convergence of the new multi-disciplined field of computational intelligence in finance. Papers published in the Journal are eligible for entry in an Annual Essay Award Contest. The Editorial Advisory Board of the Journal selects the best paper for which a cash award is presented each year. EDITORIAL ADVISORY BOARD Emilio Barucci, University of Florence - Italy Richard J. Bauer, Jr., St. Mary's University, Texas - USA Neil Burgess, London Business School - UK Oscar Castillo, UABC University - USA Jerry Connor, London Business School - UK Eric de Bodt, Universite Catholique de Louvain - France James F. Derry, Mgmt. Engineering Productivity Systems - USA Athanasios Episcopos, National Bank of Greece Andrew Flitman, Monash University - Australia Susan Garavaglia, Dun and Bradstreet - USA Ramo Gencay, University of Windor - Canada Sabyasachi Ghoshray, Florida International University - USA Lee Giles, NEC Research Institute - USA Christian Haefke, University of California at San Diego - USA Ypke Hiemstra, Vrije Universiteit - The Netherlands Yuval Lirov, Lehman Brothers - USA Ralph Neuneier, Siemens AG Corporate Research Center - Germany Zoran Obradovic, Washington State University - USA Marimuthu Palaniswami, University of Melbourne - Australia Carlos E. Pedreira, Catholic University, Rio - Brazil David B. Skalak, University of Massachusetts - USA Stephen Slade, Stern Business School, New York University - USA Leon Sterling, University of Melbourne - Australia Manoel F. Tenorio, University of Purdue - USA Halbert White, University of California at San Diego - USA Lei Xu, The Chinese University of Hong Kong SPECIAL TOPIC Improving Generalization for Nonlinear Financial Forecasting Models PUBLICATION DATE November 1997 PAPER SUBMISSION DEADLINE June 30, 1997 MOTIVATION The critical issue in applying neural networks and other data-driven forecasting systems is generalization, the performance on data not used for training. The key to generalization behavior is model complexity. Too simple a model cannot approximate the true relationship, and overly complex models adjust to the noise in the data. Nearly all financial applications of nonparametric models (such as neural networks and genetic algorithms) vary model complexity by adjusting the number of parameters. This special issue intends to highlight other methods to improve generalization, in particular regularization (e.g., neural network weight decay and smoothing) and techniques for combining models. Of particular interest are nonlinear methods including neural networks, genetic algorithms, nearest neighbor networks, polynomial networks, fuzzy logic, and hybrids. Nearly all studies apply cross-validation to select the best model. Alternatives to cross-validation include 'analytical' selection rules such as Akaike's Information Criterion, Schwartz's Information Criterion, and a number of others. Of particular interest are the statistical properties (i.e., bias and variance) of model selection methods in estimating out-of-sample performance. DATA, TARGET VARIABLES and PERFORMANCE METRICS Data: daily prices of a financial time series (see below) Target Variable: the relative difference in percent (RDP) between today's closing price and the price five (5) days ahead Performance Metrics: MSE (target). nRMSE and DS (to be used in the analysis). Participants are encouraged to use the forecast data, target variable and performance metrics specified for this special issue, which are available on the Web to those who submit a satisfactory abstract (including brief biography) as outlined below. Participants are not be restricted regarding the data used as inputs to their predictors. Especially interesting original methods using other forecast data, target variables and performance metrics will also be considered. The forecast series is derived from daily closing prices for a financial time series. The target variable is the relative difference in percent (RDP) between today's closing price and the closing price five (5) days ahead. The date, the underlying price series and the target variable series are all provided in the downloadable data file. The target metric is the MSE. Also, authors' analysis should include the normalized RMSE (RMSE normalized using the standard deviation of actual RDP values), and Directional Symmetry (percentage of correctly predicted directions with respect to the target variable). The forecast data provided is separated into in-sample (10 years of daily data) and out-of-sample (2 years of daily data) sets. Participants are not restricted regarding the data used as input to their predictors. However, all data used should be disclosed in the paper presentaton, including the details of all techniques and formulas used to pre-process the data. Details on the predictor and the methods used for improving generalization should be presented in the paper. FORECAST HORIZON AND RE-TRAINING Participants should test performance of their predictors over the entire two-year out-of-sample dataset. Of interest are results of analyses and performance of predictors over the entire two-year prediction period: (1) without re-training and (2) with re-training (optional). The results from (1) and (2) can be useful for estimating the limits of the forecasting horizon for the prediction methods presented. For additional details on the forecast data, target variable and performance metrics, see: http://ourworld.compuserve.com/homepages/ftpub/call.htm Suggested references for the topic include: 1) Abu-Mostafa, J.S. [1990] "Learning from hints in neural networks", Journal of Complexity, 6, June, pp. 192. 2) Bishop C.M. [1995] Neural Networks for Pattern Recognition, Oxford University Press. 3) Caldwell, R.B. (editor) [1997] Nonlinear Financial Forecasting: Proceedings of the First INFFC, Finance & Technology Publishing. 4) Elder, John F. and Mark T. Finn [1991] "Creating `Optimally Complex` Models for Forecasting," Financial Analysts Journal, Jan/Feb, pp. 73-79. 5) Haykin, Simon [1994] Neural Networks: A Comprehensive Foundation, IEEE Press. 6) Ripley, Brian D. [1996] Pattern Recognition and Neural Networks, Cambridge University Press. 7) Swanson, N.R. and H. White [1995] "A Model Selection Approach to Assessing the Information in the Term Structure Using Linear Models and Artificial Neural Networks", Journal of Business and Economic Statistics 13. ABSTRACTS Submit 150 to 300 word abstract including full name(s) and affiliation(s) of the author(s), complete mailing address, email address and telephone numbers of all authors. Authors should provide a brief biographic sketch of themselves. Send to either the postal or email addresses below: Post: Editors JCIF P.O. Box 764 Haymarket, VA 20168 USA E-mail: 72672.261(a)compuserve.com PAPERS Submit three copies of each paper. Papers should be double- spaced, single-sided. Authors should provide a brief biographic sketch of themselves. Each copy submitted should include a page that contains the title of the paper, the full name(s) and affiliation(s) of the author(s), complete mailing address, email address and telephone numbers of all authors, and a 150 to 300 word abstract. The Journal reserves the right to edit all material to meet space requirements and to make grammatical and typographical corrections. The final text should be 4000 to 5000 words in length, containing no more than about 10 references, and be provided as follows: (1) Hardcopy: printed and double-spaced, with notations for the location of graphics, mathematical equations, given thereon, as necessary, (2) Softcopy: The preferred media format is IBM PC 3.5", 1.44MB. The preferred file format is Word 6/95/97 for Windows 3.1/95. Other acceptable software files (in the IBM PC format) are the following: Word/DOS 3.0 or later Word/Mac 4.0 or later Word/Win 2.0 through 7 WordPerfect 5.1 or later (for DOS or Windows 3.1/95). Any standard ASCII text file format using the preferred media format, including bracketed notations for the locations of symbols, equations or other non-ASCII characters. Tex and LaTex may be used for the development and generation of the hardcopy version of the paper, provided that a softcopy version is also submitted in any standard ASCII text file format using the preferred media format, including bracketed notations for citations and for the locations of symbols, equations or other non-ASCII characters. GRAPHICS The preferred graphics format is a Windows compatible format (.pcx, .bmp, .wmf). For other graphics formats, submit high-quality, camera-ready hardcopy. TEXT CITATIONS AND REFERENCES Papers should be limited to about 10 references. Encouraged are references to peer-reviewed journals as well as to books. Conference proceedings/compendiums are discouraged. Text citations must use the following format: last name(s) of author(s), publication date and suffix (as necessary) in brackets. Example: Watkins and McCoy [1993a] References must be listed alphabetically by the last name of the first author according to the following formats: Journal Article: authors' names, publication date and suffix (as necessary) in brackets, article title (in double quotations), periodical title (in italics), volume and number, pages cited. Book: authors' names, publication date and suffix (as necessary) in brackets, book title (in italics), publisher, publisher location, pages cited. Chapter in Book: authors' names, publication date and suffix (as necessary) in brackets, chapter title (in double quotations), editors' names, book title (in italics), publisher, location, pages cited. Send all manuscripts to the following postal address: Editors JCIF P.O. Box 764 Haymarket, VA 20168 USA *********************************************************************** F I N A L C A L L F O R P A P E R S *********************************************************************** ------------------------------------------------------------------ Dr. Andrea Gaunersdorfer Department of Business Administration University of Vienna Tel.: +43-1-29 1 28-466 Bruenner Strasse 72 FAX: +43-1-29 1 28-464 A - 1210 Wien e-mail: gauner(a)finance2.bwl.univie.ac.at http://www.bwl.univie.ac.at/bwl/fiwi1/members/gauner/gauner.htm =========================================================================

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None
by Elke PENDL 13 May '97

13 May '97

VSX WORKSHOPS Einladungen zu den Vortraegen "Bewertung von Zinsoptionen: Eine empirische Studie fuer den deutschen Optionsmarkt'' Professor Wolfgang Buehler (Universitaet Mannheim) Freitag, 23. Mai 1997 von 15:30 - 17:00 im Hoersaal 8 des Betriebswirtschaftlichen Zentrums der Universitaet Wien, Bruenner Strasse 72, 1210 Wien "Components of the Bid-Ask Spread: a General Approach'' Professor Hans Stoll (Vanderbilt University) Freitag, 6. Juni 1997 von 15:30 - 17:00 im Hoersaal 8 des Betriebswirtschaftlichen Zentrums der Universitaet Wien, Bruenner Strasse 72, 1210 Wien "Debt and Equity as Information Revelation Mechanisms'' Professor Michel Habib (London Business School) Freitag, 13. Juni 1997 von 15:30 - 17:00 im Hoersaal 8 des Betriebswirtschaftlichen Zentrums der Universitaet Wien, Bruenner Strasse 72, 1210 Wien =========================================================================

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(Fwd) Computational Finance Graduate Programs
by Andrea Gaunersdorfer 09 May '97

09 May '97

------- Forwarded Message Follows ------- >From compfin(a)CSE.OGI.EDU Sun Mar 19 17:27:57 2000 >From: Computational Finance <compfin(a)CSE.OGI.EDU> To: "SNDE Mailing List" <SNDE(a)fas-econ.rutgers.edu> Subject: Computational Finance Graduate Programs Date: Wed, 7 May 1997 11:53:59 -0700 (PDT) Reply-to: Computational Finance <compfin(a)CSE.OGI.EDU> Status: RO X-Status: X-Keywords: X-UID: 262 ======================================================================= COMPUTATIONAL FINANCE at the Oregon Graduate Institute of Science & Technology (OGI) Master of Science Concentrations in Computer Science & Engineering (CSE) Electrical Engineering (EE) Upcomming MS Application Deadline for Fall 1997: May 15 & June 15! New! Certificate Program Designed for Part-Time Students. For more information, contact OGI Admissions at (503)690-1027 or admissions(a)admin.ogi.edu, or visit our Web site at: http://www.cse.ogi.edu/CompFin/ ======================================================================= Computational Finance Overview: Advances in computing technology now enable the widespread use of sophisticated, computationally intensive analysis techniques applied to finance and financial markets. The real-time analysis of tick-by-tick financial market data, and the real-time management of portfolios of thousands of securities is now sweeping the financial industry. This has opened up new job opportunities for scientists, engineers, and computer science professionals in the field of Computational Finance. The strong demand within the financial industry for technically sophisticated graduates is addressed at OGI by the Master of Science and Certificate Programs in Computational Finance. Unlike a standard two year MBA, the programs are directed at training scientists, engineers, and technically oriented financial professionals in the area of quantitative finance. The master's programs lead to a Master of Science in Computer Science and Engineering (CSE track) or in Electrical Engineering (EE track). The MS programs can be completed within 12 months on a full-time basis. In addition, OGI has introduced a Certificate program designed to provide professionals in engineering and finance a means of upgrading their skills or acquiring new skills in quantitative finance on a part-time basis. The Computational Finance MS concentrations feature a unique combination of courses that provides a solid foundation in finance at a non-trivial, quantitative level, plus the essential core knowledge and skill sets of computer science or the information technology areas of electrical engineering. These skills are important for advanced analysis of markets and for the development of state-of-the-art investment analysis, portfolio management, trading, derivatives pricing, and risk management systems. The MS in CSE is ideal preparation for students interested in securing positions in information systems in the financial industry, while the MS in EE provides rigorous training for students interested in pursuing careers as quantitative analysts at leading-edge financial firms. The curriculum is strongly project-oriented, using state-of-the-art computing facilities and live/historical data from the world's major financial markets provided by Dow Jones Telerate. Students are trained in the use of high-level numerical and analytical software packages for analyzing financial data. OGI has established itself as a leading institution in research and education in Computational Finance. Moreover, OGI has strong research programs in a number of areas that are highly relevant for work in quantitative analysis and information systems in the financial industry. ----------------------------------------------------------------------- Admissions ----------------------------------------------------------------------- Applications for entrance into the Computational Finance MS programs for Fall Quarter 1997 are currently being considered. The deadlines for receipt of applications are: May 15, 1997 Notification by June 15, 1997 June 15, 1997 Notification by July 15, 1997 In keeping with OGI policy, we will consider applications received after June 15, 1997 on a space available basis. A candidate must hold a bachelor's degree in computer science, engineering, mathematics, statistics, one of the biological or physical sciences, finance, econometrics, or one of the quantitative social sciences. Candidates who hold advanced degrees in these fields or who have experience in the financial industry are also encouraged to apply. Applications for the Certificate Program are considered on an ongoing basis for entrance in any quarter. ---------------------------------------------------------------------- Contact Information ---------------------------------------------------------------------- For general information and admissions materials: Visit our web site at: http://www.cse.ogi.edu/CompFin/ or contact: Office of Admissions Oregon Graduate Institute P.O.Box 91000 Portland, OR 97291-1000 E-mail: admissions(a)admin.ogi.edu Phone: (503)690-1027 For special inquiries: E-mail: compfin(a)cse.ogi.edu ====================================================================== ------------------------------------------------------------------ Dr. Andrea Gaunersdorfer Department of Business Administration University of Vienna Tel.: +43-1-29 1 28-466 Bruenner Strasse 72 FAX: +43-1-29 1 28-464 A - 1210 Wien e-mail: gauner(a)finance2.bwl.univie.ac.at http://www.bwl.univie.ac.at/bwl/fiwi1/members/gauner/gauner.htm =========================================================================

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Externe Performance Attribution
by Stefan Pichler 29 Apr '97

29 Apr '97

Technische Universitaet Wien Abteilung Industriefinanzierung / Investment Banking Einladung zum Vortrag "Externe Performance Attribution" Dr. Peter Reichling Universitaet Mainz Dienstag, 6. Mai 1997, 17.30-19.00 Floragasse 7, Seminarraum Parterre Dr. Stefan Pichler Department of Finance Vienna University of Technology Floragasse 7/4, A-1040 Wien Phone: ++43-1-5051973-15 Fax: ++43-1-5051973-17

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Going Public
by Stefan Pichler 29 Apr '97

29 Apr '97

Prof. Helmut Uhlir Seminar aus Industriefinanzierung Einladung zum Vortrag "Der Gang an die Boerse am Beispiel KTM" Mag. Paul Severin Leiter der Aktienanalyse, Creditanstalt/Bankverein Mittwoch, 30. April 1997, 17.00-18.30 Floragasse 7/4, Seminarraum im Parterre Dr. Stefan Pichler Department of Finance Vienna University of Technology Floragasse 7/4, A-1040 Wien Phone: ++43-1-5051973-15 Fax: ++43-1-5051973-17 =========================================================================

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Seminar in Finance
by Scheiner Gertrude 15 Apr '97

15 Apr '97

SEMINAR IN FINANCE Christian Helmenstein, Gabriel Lee (Biweekly Mondays) Monday, 21. April 1997 Wolfgang AUSSENEGG (Technical University of Vienna Short and Long-Run Performance of IPOs in the Austrian Stock Market Abstract: This paper investigates the price behaviour of initial public offerings (IPOs) of equities listed on the Vienna Stock Exchange during the period from 1984 to 1996. In accordance with the findings for other markets, the average initial returns of Austrian IPOs are significantly positive. For a total sample of 66 IPOs, an average first day return of 6.5 per cent is documented which is lower than for most other IPO markets. More than a quarter of all IPOs are overpriced with negative initial returns. Several hypotheses to explain the observed unterpricing of Austrian IPOs are tested. The short-run aftermarket performance (first year) is found to be not significantly different from zero, whereas in the long-run (first three years) the total sample of Austrian IPOs underperform benchmark firms. An investor would have had to invest 22 per cent more money in IPOs than in non IPO firms of similar size to have the same wealth three years after the offering date. There is also evidence that the main reason for this underperformance are poorly performing family-owned IPOs. Place: Institute for Advanced Studies, Stumpergasse 56, 1060 Vienna, SZ VI Time: 17:00h-18:30h Info: http://www.wsr.ac.at/ihs-html/fin/finsem.html =========================================================================

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EINLADUNG
by Erika Ristl 04 Apr '97

04 Apr '97

WIRTSCHAFTSTHEORETISCHES FORSCHUNGSSEMINAR der Wiener Universit=E4ten gemeinsam mit dem Institut f=FCr H=F6here Studien und der National=F6konomischen Gesellschaf= t 10. April 1997 16.00 s.t.: Matthias RAITH (Universitaet Bielefeld) "Optimizing Multi-Stage Negotiations" 17.30 s.t.: Nina MADERNER (Universitaet Wien) "Optimal Contracts with Type-Dependent Reservation Utilities" 24. April 1997: 16.00 s.t.: Rabah AMIR (Wissenschaftszentrum Berlin) "Modelling Imperfectly Appropriable R & D via Spillovers 17.30 s.t.: Gerhard CLEMENZ (Universitaet Wien) Imperfectly Observable Emissions, Adverse Selection and Output Restrictions" Die Vortraege finden im Institut f=FCr Hoehere Studien, Stumpergasse 56, 1060 Wien, H=F6rsaal II, statt. Das Seminar steht allen Interessierten offen. Insbesondere wird die Teilnahme von fortgeschrittenen Studierenden begruesst. Die naechsten Vortraege finden am 15. und 22. Mai 1997 statt. Egbert Dierker =========================================================================

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Finance Forschungsseminar
by Scheiner Gertrude 03 Apr '97

03 Apr '97

SEMINAR IN FINANCE Christian Helmenstein, Gabriel Lee (Biweekly Mondays) Monday, 07. April 1997 Martin Scheicher (University of Vienna, Department of Economics) "Modeling Polish Stock Returns" Abstract: This paper studies the econometric modeling of returns from the Warsaw Stock Exchange. We collect the statistical properties of returns and compare them to a sample from the German stock market. Then we evaluate the fit of two types of models: GARCH and Poisson Jump processes. We find that GARCH dominates the Jump model. Place: Institute for Advanced Studies, Stumpergasse 56, 1060 Vienna, SZ VI Time: 17:00h-18:30h Info: http://www.wsr.ac.at/ihs-html/fin/finsem.html =========================================================================

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Terminkorrektur
by Andrea Gaunersdorfer 02 Apr '97

02 Apr '97

Der Vortrag "The Homeownership Choice, Life Cycle Savings and Household Demand for Debt: Some Issues'' von Prof. Larry Jones (University of British Columbia) im Rahmen des Betriebswirtschaftlichen Forschungsseminars des Instituts fuer Betriebswirtschaftslehre der Universitaet Wien findet am Montag, 14. 4. 1997 um 12.30 Uhr (nicht am 17.4.) im BWZ-Bruennerstrasse (Hoersaal 3) statt. =========================================================================

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None
by Elke PENDL 01 Apr '97

01 Apr '97

VSX WORKSHOPS Einladungen zu den Vortraegen "Risk-Value Efficient Portfolios and Asset Pricing'' Professor Guenter Franke (Universitaet Konstanz) Freitag, 11. April 1997 von 15:30 - 17:00 im Hoersaal 8 des Betriebswirtschaftlichen Zentrums der Universit"at Wien, Bruenner Strasse 72, 1210 Wien "Bidder Behavior in Multiple Unit Auctions: Evidence from Swedish Treasury Auctions'' Professor Nyborg Kjell (London Business School) Freitag, 25. April 1997 von 15:30 - 17:00 im Hoersaal 8 des Betriebswirtschaftlichen Zentrums der Universitaet Wien, Bruenner Strasse 72, 1210 Wien =========================================================================

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None
by Elke PENDL 01 Apr '97

01 Apr '97

Einladung zum Betriebswirtschaftlichen Forschungsseminar des Institutes fuer Betriebswiss., Arbeitswiss. und Betriebswirtschaftslehre der Technischen Universitaet Wien A-1040 Wien, Theresianumgasse 27 Professor Adolf Stepan und des Institutes fuer Betriebswirtschaftslehre der Universitaet Wien A-1210 Wien, Bruenner Strasse 72 Professor Erich Loitlsberger "Uberraschende archaeologische Funde des Rechnungswesens in Sumerien'' Prof. Ricco Mattessich (University of British Columbia)} Dienstag, 15. April 1997 von 16:00 - 17:30 im Seminarraum 1 des Betriebswirtschaftlichen Zentrums der Universitaet Wien, Bruenner Strasse 72, 1210 Wien =========================================================================

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None
by Elke PENDL 01 Apr '97

01 Apr '97

Einladungen zu den Betriebswirtschaftlichen Forschungsseminaren des Institutes fuer Betriebswirtschaftslehre der Universitaet Wien A-1210 Wien, Bruennerstrasse 72 "The Homeownership Choice, Life Cycle Savings and Household Demand for Debt: Some Issues'' Prof. Larry Jones (University of British Columbia) Montag, 17. 4. 1997, 12.30 Uhr BWZ-Bruennerstrasse (Hoersaal 3) "Share blocks and corporate control in the UK'' Prof. Colin Mayer (University of Oxford) Montag, 21. 4. 1997, 12.00 Uhr BWZ-Bruennerstrasse (Hoersaal 3) =========================================================================

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None
by Elke PENDL 04 Mar '97

04 Mar '97

VSX WORKSHOPS Einladungen zu den Vortraegen ''Liquidity-Based Competition for Order Flow'' Professor Duane Seppi (Carnegie Mellon University) Freitag, 14. Maerz 1997 von 15:30 - 17:00 im Hoersaal 8 des Betriebswirtschaftlichen Zentrums der Universitaet Wien, Bruenner Strasse 72, 1210 Wien ''Corporate Diversification Strategies & Firm Performance'' Professor John Doukas (Old Dominion University) Montag, 17. Maerz 1997 von 16:00 - 17:30 im Hoersaal 5 des Betriebswirtschaftlichen Zentrums der Universitaet Wien, Bruenner Strasse 72, 1210 Wien =========================================================================

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Re: (Fwd) Mathem. Kolloquium vom 12.03.1997
by Otto Loistl 04 Mar '97

04 Mar '97

--=====================_857523005==_ Content-Type: text/plain; charset="us-ascii" Liebe Frau Ganuersdorfer, Thanks for the invitation to One Factor Markov Model presentation. Attached please find the results of a multifactor markov modell investigating transaction costs of several real exchanges. Best regards Otto Loistl At 15:02 03.03.1997 GMT, you wrote: >------- Forwarded Message Follows ------- >Date: Mon, 03 Mar 1997 12:41:32 +0100 (MET) >From: Institut fuer Mathematik - Sekretariat <sekr(a)nelly.mat.univie.ac.at> >Subject: Mathem. Kolloquium vom 12.03.1997 >To: Undisclosed recipients:;@nelly.mat.univie.ac.at ; > > > > > E I N L A D U N G > > zu einem > > > V O R T R A G > > von > > > F. Delbaen > (ETH Zuerich) > > mit dem Thema > > > "One factor Markov Models in Finance" > > > > >ORT: Inst. fuer Mathematik an der Universitaet Wien, Boltzmanngase 9, > ESI - Hoersaal. > >Zeit: Mittwoch, 12.03.1997, 16 Uhr c.t. > > > > > H. Rindler > W. Schachermayer > > > > > >------------------------------------------------------------------ >Dr. Andrea Gaunersdorfer >Department of Business Administration >University of Vienna Tel.: +43-1-29 1 28-466 >Bruenner Strasse 72 FAX: +43-1-29 1 28-464 >A - 1210 Wien e-mail: gauner(a)finance2.bwl.univie.ac.at >http://www.bwl.univie.ac.at/bwl/fiwi1/members/gauner/gauner.htm > > --=====================_857523005==_

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(Fwd) Mathem. Kolloquium vom 12.03.1997
by Andrea Gaunersdorfer 03 Mar '97

03 Mar '97

------- Forwarded Message Follows ------- >From sekr(a)nelly.mat.univie.ac.at Sun Mar 19 17:27:57 2000 Date: Mon, 03 Mar 1997 12:41:32 +0100 (MET) >From: Institut fuer Mathematik - Sekretariat <sekr(a)nelly.mat.univie.ac.at> Subject: Mathem. Kolloquium vom 12.03.1997 To: Undisclosed recipients:;@nelly.mat.univie.ac.at ; Status: RO X-Status: X-Keywords: X-UID: 246 E I N L A D U N G zu einem V O R T R A G von F. Delbaen (ETH Zuerich) mit dem Thema "One factor Markov Models in Finance" ORT: Inst. fuer Mathematik an der Universitaet Wien, Boltzmanngase 9, ESI - Hoersaal. Zeit: Mittwoch, 12.03.1997, 16 Uhr c.t. H. Rindler W. Schachermayer ------------------------------------------------------------------ Dr. Andrea Gaunersdorfer Department of Business Administration University of Vienna Tel.: +43-1-29 1 28-466 Bruenner Strasse 72 FAX: +43-1-29 1 28-464 A - 1210 Wien e-mail: gauner(a)finance2.bwl.univie.ac.at http://www.bwl.univie.ac.at/bwl/fiwi1/members/gauner/gauner.htm =========================================================================

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(Fwd) CFP Special Issue of JCIF
by Andrea Gaunersdorfer 03 Mar '97

03 Mar '97

------- Forwarded Message Follows ------- >From RBCALDWELL(a)delphi.com Sun Mar 19 17:27:57 2000 >From: RBCALDWELL(a)delphi.com Date: Sat, 01 Mar 1997 08:15:16 -0500 (EST) Subject: CFP Special Issue of JCIF To: snde_l(a)email.rutgers.edu Status: RO X-Status: X-Keywords: X-UID: 244 ******************************************************************* C A L L F O R P A P E R S ******************************************************************* Journal of Computational Intelligence in Finance Call for Papers Special Issue and Competition on "Improving Generalization for Nonlinear Financial Forecasting Models" The Journal of Computational Intelligence in Finance, a peer-reviewed technical journal, published by Finance & Technology Publishing, is seeking papers for review and publication in 1997 on "Improving Generalization for Nonlinear Financial Forecasting Models". For comparison of methods submitted, the target variable series and performance metrics are specified (though not required). As an internationally-recognized independent forum since 1993, the Journal of Computational Intelligence in Finance (formerly NeuroVest Journal) serves as a central forum for the converging, multi-disciplined field of computational intelligence in finance. Papers published in the Journal are eligible for entry in an Annual Essay Award Contest. The Editorial Advisory Board of the Journal selects the best paper for which a cash award is presented each year. EDITORIAL ADVISORY BOARD E. Michael Azoff, Themisto Numerics Ltd. James E. Bowen, CompEngServ Ltd. Richard J. Bauer, Jr., St. Mary's University James F. Derry, Mgmt. Engineering Productivity Systems Ypke Hiemstra, Vrije Universiteit Yuval Lirov, Lehman Brothers Zoran Obradovic, Washington State University David B. Skalak, University of Massachusetts Stephen Slade, Stern Bus. Sch., New York University Leon Sterling, University of Melbourne Manoel F. Tenorio, University of Purdue Halbert White, University of California at San Diego SPECIAL TOPIC Improving Generalization for Nonlinear Financial Forecasting Models PUBLICATION DATE November 1997 PAPER SUBMISSION DEADLINE June 30, 1997 MOTIVATION The critical issue in applying neural networks and other data-driven forecasting systems is generalization, the performance on data not used for training. The key to generalization behavior is model complexity. Too simple a model cannot approximate the true relationship, and overly complex models adjust to the noise in the data. Nearly all financial applications of nonparametric models (such as neural networks and genetic algorithms) vary model complexity by adjusting the number of parameters. This special issue intends to highlight other methods to improve generalization, in particular regularization (e.g., neural network weight decay and smoothing) and techniques for combining models. Of particular interest are nonlinear methods including neural networks, genetic algorithms, nearest neighbor networks, polynomial networks, fuzzy logic, and hybrids. Nearly all studies apply cross-validation to select the best model. Alternatives to cross-validation include 'analytical' selection rules such as Akaike's Information Criterion, Schwartz's Information Criterion, and a number of others. Of particular interest are the statistical properties (i.e., bias and variance) of model selection methods in estimating out-of-sample performance. DATA, TARGET VARIABLES and PERFORMANCE METRICS Data: daily prices of a financial time series (see below) Target Variable: the relative difference in percent (RDP) between today's closing price and the price five (5) days ahead Performance Metrics: MSE (target). nRMSE and DS (to be used in the analysis). Participants are encouraged to use the forecast data, target variable and performance metrics specified for this special issue, which are available on the Web to those who submit a satisfactory abstract (including brief biography) as outlined below. Participants are not be restricted regarding the data used as inputs to their predictors. Especially interesting original methods using other forecast data, target variables and performance metrics will also be considered. The forecast series is derived from daily closing prices for a financial time series. The target variable is the relative difference in percent (RDP) between today's closing price and the closing price five (5) days ahead. The date, the underlying price series and the target variable series are all provided in the downloadable data file. The target metric is the MSE. Also, authors' analysis should include the normalized RMSE (RMSE normalized using the standard deviation of actual RDP values), and Directional Symmetry (percentage of correctly predicted directions with respect to the target variable). The forecast data provided is separated into in-sample (10 years of daily data) and out-of-sample (2 years of daily data) sets. Participants are not restricted regarding the data used as input to their predictors. However, all data used should be disclosed in the paper presentaton, including the details of all techniques and formulas used to pre-process the data. Details on the predictor and the methods used for improving generalization should be presented in the paper. FORECAST HORIZON AND RE-TRAINING Participants should test performance of their predictors over the entire two-year out-of-sample dataset. Of interest are results of analyses and performance of predictors over the entire two-year prediction period: (1) without re-training and (2) with re-training (optional). The results from (1) and (2) can be useful for estimating the limits of the forecasting horizon for the prediction methods presented. For additional details on the forecast data, target variable and performance metrics, see: http://ourworld.compuserve.com/homepages/ftpub/call.htm Suggested references for the topic include: 1) Abu-Mostafa, J.S. [1990] "Learning from hints in neural networks", Journal of Complexity, 6, June, pp. 192. 2) Bishop C.M. [1995] Neural Networks for Pattern Recognition, Oxford University Press. 3) Caldwell, R.B. (editor) [1997] Nonlinear Financial Forecasting: Proceedings of the First INFFC, Finance & Technology Publishing. 4) Elder, John F. and Mark T. Finn [1991] "Creating `Optimally Complex` Models for Forecasting," Financial Analysts Journal, Jan/Feb, pp. 73-79. 5) Swanson, N.R. and H. White [1995] "A Model Selection Approach to Assessing the Information in the Term Structure Using Linear Models and Artificial Neural Networks", Journal of Business and Economic Statistics 13. ABSTRACTS Submit 150 to 300 word abstract including full name(s) and affiliation(s) of the author(s), complete mailing address, email address and telephone numbers of all authors. Authors should provide a brief biographic sketch of themselves. Send to either the postal or email addresses below: Post: Editors JCIF P.O. Box 764 Haymarket, VA 20168 USA E-mail: 72672.261(a)compuserve.com PAPERS Submit three copies of each paper. Papers should be double- spaced, single-sided. Authors should provide a brief biographic sketch of themselves. Each copy submitted should include a page that contains the title of the paper, the full name(s) and affiliation(s) of the author(s), complete mailing address, email address and telephone numbers of all authors, and a 150 to 300 word abstract. The Journal reserves the right to edit all material to meet space requirements and to make grammatical and typographical corrections. The final text should be 4000 to 5000 words in length, containing no more than about 10 references, and be provided as follows: (1) Hardcopy: printed and double-spaced, with notations for the location of graphics, mathematical equations, given thereon, as necessary, (2) Softcopy: The preferred media format is IBM PC 3.5", 1.44MB. The preferred file format is Word 6/95/97 for Windows 3.1/95. Other acceptable software files (in the IBM PC format) are the following: Word/DOS 3.0 or later Word/Mac 4.0 or later Word/Win 2.0 through 7 WordPerfect 5.1 or later (for DOS or Windows 3.1/95). Any standard ASCII text file format using the preferred media format, including bracketed notations for the locations of symbols, equations or other non-ASCII characters. Tex and LaTex may be used for the development and generation of the hardcopy version of the paper, provided that a softcopy version is also submitted in any standard ASCII text file format using the preferred media format, including bracketed notations for citations and for the locations of symbols, equations or other non-ASCII characters. GRAPHICS The preferred graphics format is a Windows compatible format (.pcx, .bmp, .wmf). For other graphics formats, submit high-quality, camera-ready hardcopy. TEXT CITATIONS AND REFERENCES Papers should be limited to about 10 references. Encouraged are references to peer-reviewed journals as well as to books. Conference proceedings/compendiums are discouraged. Text citations must use the following format: last name(s) of author(s), publication date and suffix (as necessary) in brackets. Example: Watkins and McCoy [1993a] References must be listed alphabetically by the last name of the first author according to the following formats: Journal Article: authors' names, publication date and suffix (as necessary) in brackets, article title (in double quotations), periodical title (in italics), volume and number, pages cited. Book: authors' names, publication date and suffix (as necessary) in brackets, book title (in italics), publisher, publisher location, pages cited. Chapter in Book: authors' names, publication date and suffix (as necessary) in brackets, chapter title (in double quotations), editors' names, book title (in italics), publisher, location, pages cited. Send all manuscripts to the following postal address: Editors JCIF P.O. Box 764 Haymarket, VA 20168 USA *********************************************************************** C A L L F O R P A P E R S *********************************************************************** ------------------------------------------------------------------ Dr. Andrea Gaunersdorfer Department of Business Administration University of Vienna Tel.: +43-1-29 1 28-466 Bruenner Strasse 72 FAX: +43-1-29 1 28-464 A - 1210 Wien e-mail: gauner(a)finance2.bwl.univie.ac.at http://www.bwl.univie.ac.at/bwl/fiwi1/members/gauner/gauner.htm =========================================================================

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Einladung
by Erika Ristl 21 Feb '97

21 Feb '97

Wirtschaftstheoretisches Forschungsseminar der Wiener Universit=E4ten gemeinsam mit dem Institut f=FCr H=F6here Studien und der National=F6konomischen Gesellschaft 13. M=E4rz 1997: 16.00 s.t.: Georg KIRCHSTEIGER (Universit=E4t Wien) "Theoretically Robust but Empirically Invalid? An Experimental Investigation into Tax Equivalence" 17.30 s.t.: Ernst FEHR (Universit=E4t Z=FCrich) "Strategic Complementarity as a Source of Nominal Inertia" Die Vortr=E4ge finden im H=F6rsaal II des Instituts f=FCr H=F6here Studien= , Stumpergasse 56, 1060 Wien, statt. Das Seminar steht allen Interessierten offen. Insbesondere wird die Teilnahme von fortgeschrittenen Studierenden begr=FC=DFt. Die n=E4chsten Vortr=E4ge finden am 10. und 24. April 1997 statt. Egbert Dierker =========================================================================

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Seminar in Finance
by Gertrude Scheiner 18 Feb '97

18 Feb '97

SEMINAR IN FINANCE Christian Helmenstein, Gabriel Lee (Biweekly Mondays) Monday, 24. February 1997 C. ZULEHNER (IHS) "Auction Theory" Abstract: The importance of auction theory has gained increased recognition in the scientific community, the latest recognition being the awarding of the Nobel price to Vickrey and Mirrlees. Auction theory has been applied in quite different fields, both theoretically and empirically. This paper provides a survey about the theoretical results. Place: Institute for Advanced Studies, Stumpergasse 56, 1060 Vienna, HS II Time: 17:00h-18:30h Info: http://www.wsr.ac.at/ihs-html/fin/finsem.html -- =========================================================================

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Gastvortrag - Einladung
by Roland Dipplinger 21 Jan '97

21 Jan '97

EINLADUNG zum Gastvortrag Dr. Otto Waibel, Mitglied des Vorstandes Vorarlberger Kraftwerke AG Mi, 22.1.1997, 16:30 Uhr S. 3006, Stiege 6; 4.OG, UZA III Althanstrasse 39-45 A-1090 Wien ---------------------------------------------------------------------- Institut fuer Finanzierung und Finanzmaerkte Univ. Prof. Dipl. Kfm. Dr. Otto Loistl Althanstrasse 39-45, A-1090 Wien Tel.: ++43-1-31336-4173, Fax: -761 @: otto.loistl(a)wu-wien.ac.at =========================================================================

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(Fwd) WWWOR PERFORMANCE OF FINANCIAL INSTITUTIONS (fwd)
by Andrea Gaunersdorfer 20 Jan '97

20 Jan '97

>From tatume(a)rider.wharton.upenn.edu Sun Mar 19 17:27:57 2000 Date: Thu, 16 Jan 1997 12:00:06 -0500 >From: Ed Tatum <tatume(a)rider.wharton.upenn.edu> Organization: Financial Institutions Center To: wwwor(a)mat.gsia.cmu.edu Subject: PERFORMANCE OF FINANCIAL INSTITUTIONS Status: RO X-Status: X-Keywords: X-UID: 235 SECOND CALL FOR PAPERS BACKGROUND INFORMATION: While the efficiency of the capital markets is widely and extensively studied, little has been done to study the efficiency of the Institutions that operate in these markets. What are the forms of efficiency or lack thereof of a financial Institution? What are the drivers of performance that enhance or inhibit efficiency? These issues have only recently been under the scrutiny of scholarly inquiry motivated by the increased competitiveness with the globalization of the financial markets and the increased use of information technology in the delivery of financial services. Serious inroads have been made in providing answers to these questions. CONFERENCE FOCUS: This interdisciplinary conference brings together scholars from around the world in economics, finance, operations management, marketing and other disciplines to describe and understand the performance of financial institutions. The conference is tentatively structured as follows: Session 1: Institutional Efficiency: What Is It? This session explores alternative notions of efficiency, including productivity, profitability, and quality of the services delivered by financial institutions. Session 2: Institutional Efficiency: What Drives It? Papers in this session explore the drivers of institution efficiency, including scale and scope economies, technology, human resource practices, etc. Session 3: Efficiency of the Financial Intermediation Process: What Is It? This session defines alternative notions of efficiency of the financial intermediation process, looking particularly at risk management, asset-liability matching, and intertemporal smoothing of fund flows. Session 4: Efficiency of the Financial Intermediation Process: What Drives It? Given the various notions of intermediation efficiency, this session explores the characteristics of the market that limit the efficiency of financial intermediaries, including regulation and institutional structure. Session 5: Innovations in Financial Services: Alternative Institutions This session explores the impact of innovations in the structure of the financial services market and the range of services offered to the consumer, including the rise of mutual funds and other non-bank competitors, on the efficiency of the financial system. Session 6: Innovations in Financial Services: Alternative Channels The rise of new distribution channels, enabled by technology, will be considered in this session along with their impact on the efficiency of institutions, the intermediation process and the end consumer. Session 7: International Studies of Efficiency Papers in this session study the efficiency, as described above, within and between countries. CONFERENCE DATE AND LOCATION: The conference will be held May 8-10, 1997, at the Wharton School of the University of Pennsylvania. CONFERENCE ORGANIZERS: Name: Dr. Patrick Harker E-mail: harker(a)opim.wharton.upenn.edu Postal: Financial Institutions Center, The Wharton School, 3301 Steinberg Hall-Dietrich Hall, University of Pennsylvania, Philadelphia, PA 19104-6367, U.S.A. Name: Dr. Stavros A. Zenios E-mail: zenioss(a)atlas.pba.ucy.ac.cy Postal: School of Economics and Management, University of Cyprus, 75 Kallipoleos Street, P.O. Box 537, CY 1678, Nicosia, CYPRUS PAPER SUBMISSION PROCESS: To participate, please send five copies of your article to the address below no later than February 28, 1997. Authors of accepted articles will be notified by March 15, 1997. If you have any questions, please feel free to contact the organizers. Submit all manuscripts to: All papers to be presented will be rigorously refereed and placed in an edited volume to be published by Cambridge University Press. A select group of papers will be invited to be published in a special issue of Management Science. CONTACT: Submit all manuscripts to: Postal: Performance of Financial Institutions, Financial Institutions Center, The Wharton School, 434 Vance Hall, Philadelphia, PA 19104-6301, U.S.A. Please see our home page at http://wrdsenet.wharton.upenn.edu/fic/wfic/new.html for further details. This message was to the WWWOR mailing list (WWW and Operations Research). Send postings to wwwor(a)mat.gsia.cmu.edu . Send administrative requests to majordomo(a)mat.gsia.cmu.edu or use the web interface at http://mat.gsia.cmu.edu/cgi-bin/lwgate/WWWOR/ ------------------------------------------------------------------ Dr. Andrea Gaunersdorfer Department of Business Administration University of Vienna Tel.: +43-1-29 1 28-466 Bruenner Strasse 72 FAX: +43-1-29 1 28-464 A - 1210 Wien e-mail: gauner(a)finance2.bwl.univie.ac.at =========================================================================

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Seminar in Finance
by Gertrude Scheiner 16 Jan '97

16 Jan '97

SEMINAR IN FINANCE Christian Helmenstein, Gabriel Lee (Biweekly Mondays) Monday, 27. January 1997 Dusan M^ÐSZAROS (ING Baring Securities - Bratislava) On Efficiency and Anomalies of the Slovak Capital Market Abstract: In this paper I test for predictability of stock prices traded on the Bratislava Stock Exchange and document some anomalies of the Slovak capital market. Three of the five most liquid stocks conform to a random walk, but both Slovak stock market indexes do not. I show that 74 % of the securities have significant first lag autocorrelation with a negative mean autocorrelation of -0.217. The indexes exhibit daily seasonality: The average Monday return is negative and significantly different from the average returns of the rest of the week. The volatility of the stock returns is largest over the weekend and the highest average daily turnover is reported for Mondays. In the cross-sectional regression a model with standard market beta explains only 33.8 % of the expected return. However, a model with beta and natural logarithm of the firm size explains 74.4 % of the expected returns. Place: Institute for Advanced Studies, Stumpergasse 56, 1060 Vienna, SZ VI Time: 17:00h-18:30h Info: http://www.wsr.ac.at/ihs-html/fin/finsem.html =========================================================================

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Wirtschaftstheoretisches Forschungsseminar
by Erika Ristl 16 Jan '97

16 Jan '97

EINLADUNG zum Wirtschaftstheoretischen Forschungsseminar der Wiener Universit=E4ten gemeinsam mit dem Institut f=FCr H=F6here Studien und der National=F6konomischen Gesellschaf= t ACHTUNG!! =C4NDERUNG DER BEGINNZEITEN! 23. J=E4nner 1997: 17.30 Uhr: Birgit GRODAL (University Copenhagen) "Clubs and the Market" 30. J=E4nner 1997: (Zus=E4tzlicher Termin) 16.00 Uhr: Robert WALDMANN (Eruopean University Institute Florenz) "Demography and Growth" 17.30 Uhr: Manfred NEUMANN (Universit=E4t Bonn) "Inflation=E4re Geldpolitik und Zentralbankverfassung: eine positive Theorie" Die Vortr=E4ge finden im Institut f=FCr H=F6here Studien, Stumpergasse 56,= 1060 Wien, H=F6rsaal II, statt. Das Seminar steht allen Interessierten offen. Insbesondere wird die Teilnahme von fortgeschrittenen Studierenden begruesst. Der n=E4chste Vortrag findet am 13. M=E4rz 1997 statt. Egbert Dierker =========================================================================

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None
by Elke PENDL 14 Jan '97

14 Jan '97

Einladung zum Betriebswirtschaftlichen Forschungsseminar des Institutes fuer Betriebswirtschaftslehre der Universitaet Wien A-1210 Wien, Bruennerstrasse 72 Donnerstag, 30. Jaenner 1997, 14:00 BWZ-Bruennerstrasse (Besprechungsraum Nr. 156 - Lehrstuhl Professor Wagner) Professor Dr. Lutz Hildebrandt ''Panelanalyse unbeobachtbarer Einflussgroessen in der Erfolgsfaktorenforschung''- =========================================================================

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None
by Elke PENDL 14 Jan '97

14 Jan '97

o. Univ.-Prof. Dr. Engelbert J. Dockner o. Univ.-Prof. Dr. Josef Zechner VSX WORKSHOP !!! TERMIN"ANDERUNG !!! Einladung zum Vortrag von Professor Julian Franks, London Business School mit dem Thema ''The Ownership and Control of German Corporations'' Aufgrund einer Terminkollision mit der Konferenz der Austrian Working Group of Banking and Finance wird der Vortrag von Professor Franks auf Freitag, 17. Jaenner 1997, 10.00 - 11.30, Seminarraum 1 des Betriebswirtschaftlichen Zentrums der Universitaet Wien, Bruenner Strasse 72, 1210 Wien verschoben. =========================================================================

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(Fwd) SNDE_L FW: Artificial Stock Market working paper avai
by Andrea Gaunersdorfer 08 Jan '97

08 Jan '97

------- Forwarded Message Follows ------- >From McClelland_R(a)dcgate.bls.gov Sun Mar 19 17:27:57 2000 >From: McClelland_R <McClelland_R(a)dcgate.bls.gov> To: "'snde_l'" <snde_l(a)email.rutgers.edu> Subject: SNDE_L FW: Artificial Stock Market working paper available Date: Tue, 7 Jan 1997 10:03:29 -0500 Status: RO X-Status: X-Keywords: X-UID: 229 **************************************************************** * To post a message, send it to OWNER-SNDE_L(a)EMAIL.RUTGERS.EDU * * To leave the list, send the message UNSUBSCRIBE SNDE_L * * to MAJORDOMO(a)EMAIL.RUTGERS.EDU * * To resolve any problems, contact MCCLELLAND_R(a)BLS.GOV * **************************************************************** ---------- <bigger> Asset Pricing Under Endogenous Expectations in an Artificial Stock Market by W. B. Arthur, J. H. Holland, , B. LeBaron, R. G. Palmer, and P. Tayler ABSTRACT: We propose a theory of asset pricing based on heterogeneous agents who continually adapt their expectations to the market that these expectations aggregatively create. And we explore the implications of this theory computationally using our Santa Fe artificial stock market. Asset markets, we argue, have a recursive nature in that agents' expectations are formed on the basis of their anticipations of other agents' expectations, which precludes expectations being formed by deductive means. Instead, traders continually hypothesize (continually explore) expectational models, buy or sell on the basis of those that perform best, and confirm or discard these according to their performance. Thus, individual beliefs or expectations become endogenous to the market, and constantly compete within an ecology of others' beliefs or expectations. The ecology of beliefs co-evolves over time. Computer experiments with this endogenous-expectations market explain one of the more striking puzzles in finance: that market traders often believe in such concepts as technical trading, "market psychology," and bandwagon effects, while academic theorists believe in market efficiency and a lack of speculative opportunities. Both views, we show, are correct, but within different regimes. Within a regime where investors explore alternative expectational models at a low rate, the market settles into the rational-expectations equilibrium of the efficient-market literature. Within a regime where the rate of exploration of alternative expectations is higher, the market self-organizes into a complex pattern. It acquires a rich psychology, technical trading emerges, temporary bubbles and crashes occur, and asset prices and trading volume show statistical features (in particular, GARCH behavior) characteristic of actual market data. Postscript is available at: http://www.santafe.edu/sfi/publications/96wplist.html Paper copies can be requested from: wp(a)santafe.edu (All authors are affiliated with the Santa Fe Institute where Arthur is the Citibank Professor. In addition, Holland is Professor of Computer Science and Engineering, University of Michigan, Ann Arbor; LeBaron is Associate Professor of Economics, University of Wisconsin, Madison; Palmer is Professor of Physics, Duke University; and Tayler is with the Dept. of Computer Science, Brunel University, London.) </bigger> =========================================================================

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None
by Elke PENDL 19 Dec '96

19 Dec '96

VSX WORKSHOP Einladung zum Vortrag von Professor Julian Franks, London Business School mit dem Thema ueber ''The Ownership and Control of German Corporations'' am Freitag, 17. Jaenner 1997, 13.30 - 15.00 Uhr im Hoersaal 4 des Betriebswirtschaftlichen Zentrums der Universitaet Wien, Bruenner Strasse 72, 1210 Wien. =========================================================================

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Wirtschaftstheoretisches Forschungsseminar
by Erika Ristl 19 Dec '96

19 Dec '96

Termine im J=E4nner 1997: 16. J=E4nner 1997: 16.00 Uhr: Clemens PUPPE (Universit=E4t Wien) "Valuing Diversity" 17.30 Uhr: Kai-Uwe K=DCHN (CSIS, Barcelona) "A Theory of Union Power and Labor Turnover" 23. J=E4nner 1997: 16.00 Uhr: Robert WALDMANN (European University Institute Florenz) Titel des Vortrags wird noch bekanntgegeben. 17.30 Uhr: Birgit GRODAL (University Copenhagen) "Clubs and the Market" 30. J=E4nner 1997: Zus=E4tzlicher Termin - Ge=E4nderte Beginnzeit! 17.15 Uhr: Manfred NEUMANN (Universit=E4t Bonn) "Inflation=E4re Geldpolitik und Zentralbankverfassung: eine positive Theorie" Die Vortr=E4ge finden im Institut f=FCr H=F6here Studien, Stumpergasse 56,= 1060 Wien, H=F6rsaal II, statt. Egbert Dierker

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FW: INFFC Proceedings Announcement
by Andrea Gaunersdorfer 10 Dec '96

10 Dec '96

**************************************************************** * To post a message, send it to OWNER-SNDE_L(a)EMAIL.RUTGERS.EDU * * To leave the list, send the message UNSUBSCRIBE SNDE_L * * to MAJORDOMO(a)EMAIL.RUTGERS.EDU * * To resolve any problems, contact MCCLELLAND_R(a)BLS.GOV * **************************************************************** ---------- From: RBCALDWELL@delphi.com[SMTP:RBCALDWELL@delphi.com] Sent: Sunday, December 08, 1996 3:57 PM To: owner-snde_l(a)email.rutgers.edu Subject: INFFC Proceedings Announcement Status: RO X-Status: X-Keywords: X-UID: 224 ************************************************************************ I N F F C ************************************************************************ Nonlinear Financial Forecasting: Proceedings of the First INFFC International Nonlinear Financial Forecasting Competition Finance & Technology Publishing January 1997 Finance & Technology Publishing, the publisher of the NeuroVe$t Journal: advanced technology in finance, is pleased to announce its publication of "Nonlinear Financial Forecasting: Proceedings of the First INFFC" on January 10, 1997. After more than 2 years of work, this new book presents the results of the systems that were independently designed, tested and analyzed in this unique competition on applying nonlinear tools to financial forecasting. Expanding and improving upon the work of previous scientific time-series forecasting competitions, the First INFFC provided a rare opportunity to test and analyze the predictive performance of independently developed financial forecasting systems using new and promising technologies and methods, such as neural networks, genetic algorithms, neurogenetic hybrids, polynomial networks, and nearest neighbor networks. Now, the details of this unique competition, designed to be relevant to the interests of both financial practitioners and the time-series prediction community, are presented. As such, the Proceedings is certain to appeal to a large audience, and will be especially important to everyone interested in financial forecasting. Topics and details covered in the Proceedings: * An overview of the INFFC from organization to results. * An analysis of the INFFC time series used. * The details for each of the forecasting systems tested. * Papers from each of the participants. * The methods and metrics used to test the forecasting systems. * The performance results for each system. * Analyses of the results for each system. * What has been learned from the results and their analyses. * How future competitions might be designed. For additional details on the World Wide Web, see http://ourworld.compuserve.com/homepages/ftpub/inffc.htm Price: $59.95 direct-from-publisher price (Retail: $69.95) plus shipping/handling: $7 USA (First Class Mail) $11.50 Canada & Mexico (Air Mail) $15.50 elsewhere (Air Mail) Nonlinear Financial Forecasting: Proceedings of the First INFFC edited by Randall B. Caldwell January 1997, 320 pages, 8.5x11-inch format, softcover ISBN 0-9651332-1-4 Finance & Technology Publishing Mail: P.O. Box 764, Haymarket, VA 20168, USA Voice: 703-754-0696 Fax: 703-753-2634 Email: 72672.261(a)compuserve.com ************************************************************************ I N F F C ************************************************************************ =========================================================================

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FW: Final CFP: Data Mining for Financial Applications
by Andrea Gaunersdorfer 10 Dec '96

10 Dec '96

**************************************************************** * To post a message, send it to OWNER-SNDE_L(a)EMAIL.RUTGERS.EDU * * To leave the list, send the message UNSUBSCRIBE SNDE_L * * to MAJORDOMO(a)EMAIL.RUTGERS.EDU * * To resolve any problems, contact MCCLELLAND_R(a)BLS.GOV * **************************************************************** ---------- From: RBCALDWELL@delphi.com[SMTP:RBCALDWELL@delphi.com] Sent: Sunday, December 08, 1996 3:20 PM To: owner-snde_l(a)email.rutgers.edu Subject: Final CFP: Data Mining for Financial Applications Status: RO X-Status: X-Keywords: X-UID: 222 ******************************************************************* F I N A L C A L L F O R P A P E R S ******************************************************************* N E U R O V E $ T J O U R N A L Final Call for Papers Special Issue On Data Mining for Financial Applications NEUROVE$T JOURNAL, a peer-reviewed technical journal, published by Finance & Technology Publishing, is seeking papers for review and publication in 1997 on "Data Mining for Financial Applications". As an internationally-recognized independent forum since 1993, the NEUROVE$T JOURNAL serves as the journal of record on the application of advanced computing technologies in finance. Papers published in the Journal are eligible for entry in the Annual NEUROVE$T JOURNAL Essay Award Contest. The Editorial Advisory Board of the Journal selects the best paper for which a cash award is presented each year. EDITORIAL ADVISORY BOARD E. Michael Azoff, Themisto Numerics Ltd. James E. Bowen, CompEngServ Ltd. Richard J. Bauer, Jr., St. Mary's University James F. Derry, Mgmt. Engineering Productivity Systems Ypke Hiemstra, Vrije Universiteit Yuval Lirov, Lehman Brothers Zoran Obradovic, Washington State University David B. Skalak, University of Massachusetts Stephen Slade, Stern Bus. Sch., New York University Leon Sterling, University of Melbourne Manoel F. Tenorio, University of Purdue Halbert White, University of California at San Diego SPECIAL TOPIC Data Mining for Financial Applications PUBLICATION DATE May 1997 PAPER SUBMISSION DEADLINE January 15, 1997 MOTIVATION Financial databases provide a primary source of information for data-driven financial forecasting and classification systems. Extracting information and knowledge from numerical databases is therefore important to financial practitioners. To date, little has been published on the application of automated data mining processes for financial applications. Methods and technologies of interest include: data induction, rough sets, attribute-oriented induction, data mining, knowledge discovery in databases, rule generation, genetic algorithms, neural networks, expert and fuzzy systems. Recent reports on the application of data mining in finance and time series analysis include: Apte, C. and S.J. Hong [1996] "Predicting Equity Returns from Securities Data," in Advances in Knowledge Discovery and Data Mining, The MIT Press, Cambridge, Mass. Berndt, D. and J. Clifford [1996] "Finding Patterns in Time Series: A Dynmaic Programming Approach," in Advances in Knowledge Discovery and Data Mining, The MIT Press, Cambridge, Mass. Derry, J.F. [1995] "Induction: Learning Rules from Data (part 1)," NeuroVe$t Journal, Vol.3, No.1. Derry, J.F. [1995] "Induction: Learning Rules from Data (part 2)," NeuroVe$t Journal, Vol.3, No.4. John, G.H. et al. [1996] "Stock Selection Using Rule Induction," IEEE Expert, Vol.11, No.5. Simoudis, E. et al. [1996] "Integrating Inductive and Deductive Reasoning for Data Mining," in Advances in Knowledge Discovery and Data Mining, The MIT Press, Cambridge, Mass. Skalkos, C. [1996] "Rough Sets Help Time the OEX," NeuroVe$t Journal, Vol.4, No.6. ABSTRACTS Submit 150 to 300 word abstract including full name(s) and affiliation(s) of the author(s), complete mailing address, email address and telephone numbers of all authors. Authors should provide a brief biographic sketch of themselves. Send to either the postal or e-mail addresses below: Post: Editors NEUROVE$T JOURNAL P.O. Box 764 Haymarket, VA 20168 USA E-mail: 72672.261(a)compuserve.com Also, see details available on The Finance & Technology Web at http://ourworld.compuserve.com/homepages/ftpub/call.htm PAPERS Submit three copies of each paper. Papers should be double- spaced, single-sided. Authors should provide a brief biographic sketch of themselves. Each copy submitted should include a page that contains the title of the paper, the full name(s) and affiliation(s) of the author(s), complete mailing address, email address and telephone numbers of all authors, and a 150 to 300 word abstract. The Journal reserves the right to edit all material to meet space requirements and to make grammatical and typographical corrections. The final text should be 4000 to 5000 words in length, containing no more than about 10 references, and be provided as follows: (1) Hardcopy: printed and double-spaced, with notations for the location of graphics, mathematical equations, given thereon, as necessary, (2) Softcopy: The preferred media format is IBM PC 3.5", 1.44MB. The preferred file format is Word 6/7 for Windows 3.1/95. Other acceptable software file formats are the following: WordPerfect 6.1 (for DOS or Windows 3.1). Word/Macintosh 5.0/6.0 using the preferred media format. Any standard ASCII text file format using the preferred media format, including bracketed notations for the locations of symbols, equations or other non-ASCII characters. Tex and LaTex may be used for the development and generation of the hardcopy version of the paper, provided that a softcopy version is also submitted in any standard ASCII text file format using the preferred media format, including bracketed notations for citations and for the locations of symbols, equations or other non-ASCII characters. GRAPHICS The preferred graphics format is a Windows compatible format (.pcx, .bmp, .wmf). For other graphics formats, submit high-quality, camera-ready hardcopy. TEXT CITATIONS AND REFERENCES Papers should be limited to about 10 references. Encouraged are references to peer-reviewed and refereed journals as well as to books. Because of large variations in the detail and quality of material presented in conference proceedings/compendiums, such references are discouraged. Text citations must use the following format: last name(s) of author(s), publication date and suffix (as necessary) in brackets. Example: Watkins and McCoy [1993a] References must be listed alphabetically by the last name of the first author according to the following formats: Journal Article: authors' names, publication date and suffix (as necessary) in brackets, article title (in double quotations), periodical title (in italics), volume and number, pages cited. Book: authors' names, publication date and suffix (as necessary) in brackets, book title (in italics), publisher, publisher location, pages cited. Chapter in Book: authors' names, publication date and suffix (as necessary) in brackets, chapter title (in double quotations), editors' names, book title (in italics), publisher, location, pages cited. Send all manuscripts to the following postal address: Editors NEUROVE$T JOURNAL P.O. Box 764 Haymarket, VA 20168 USA *********************************************************************** F I N A L C A L L F O R P A P E R S *********************************************************************** =========================================================================

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None
by Stefan Pichler 09 Dec '96

09 Dec '96

AUSTRIAN WORKING GROUP ON BANKING AND FINANCE 9. Workshop, Wien, 17.-18. Jaenner 1997 Veranstaltungsort: Gartenhotel Altmannsdorf, Hoffingergasse 26-28, 1120 Wien Anmeldungen (unter Angabe der ueblichen Daten) bitte an: spichler(a)pop.tuwien.ac.at Vorlaeufiges Programm (Aenderungen vorbehalten): Freitag, 17. Jaenner: Session 1: Stoughton, N. / Zechner, J.: IPO-Mechanisms, Monitoring and Ownership Structure Bogner, S.: Betriebliche Investitions-, Finanzierungs- und Versicherungsentscheidung unter adverser Selektion Session 2: Boeheim, R. / Boss M.: Consumption Based Capital Asset Pricing and the Austrian Stock Exchange Session 3: Brandner, P.: Auktionstechniken zur Emission der Bundesanleihen Gruenbichler, A. / Rudolf, M.: Optimale Strukturierung der Finanzschuld der Republik Oesterreich ueber verschiedene Waehrungen Gemeinsames Abendessen in Anschluss an den Workshop Samstag, 18. Jaenner Session 4: Biasin, M.: Sinnhaftigkeit und Aussagekraft des Cash-Flow Statement italienischer Banken Casey, C.: Moeglichkeiten der Objektivierung des risikoangepassten Kalkulationszinsfusses in der Praxis der Unternehmensbewertung Session 5: Schaefer, G.: Fixed-Rate versus Fairly Priced Deposit Insurance in Equilibrium: Structural Effects and Bank Stability Aussenegg, W. / Pichler, S.: Empirical Evaluation of Simple Methods to Calculate Value-at-Risk of Fixed-Income Instruments =========================================================================

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Wirtschaftstheoretisches Forschungsseminar
by Erika Ristl 25 Nov '96

25 Nov '96

EINLADUNG zum Wirtschaftstheoretischen Forschungsseminar der Wiener Universit=E4ten gemeinsam mit dem Institut f=FCr H=F6here Studien und der National=F6konomischen Gesellschaft 5. Dezember 1996 16.00 Uhr: Winand Emons (Universit=E4t Bern) "Expertise, Contingent Fees, and Excessive Litigation" 17.30 Uhr: Thomas GEHRIG (Universit=E4t Basel) "Excessive Risks and Banking Regulation" Ort: Institut f=FCr H=F6here Studien, Stumpergasse 56, 1060 Wien, H=F6rsaal II Papers zu den Vortr=E4gen liegen (soweit vorhanden) im Sekretariat des Instituts f=FCr Wirtschaftswissenschaften, Hohenstaufengasse 9, 1010 Wien, 5. Stock, am IHS (Abteilung =D6konomie) und im BWZ, Lehrstuhl Cleme= nz, Sekretariat Fr. Kellner, auf. Die n=E4chsten Vortr=E4ge finden voraussichtlich am 16. J=E4nner und am 23= . J=E4nner 1997 statt. Egbert Dierker ========================================================================= >From compfin(a)cse.ogi.edu Sun Mar 19 17:27:57 2000 Date: Tue, 26 Nov 1996 12:14:52 -0800 (PST) >From: Computational Finance <compfin(a)cse.ogi.edu> To: devfinance(a)lists.acs.ohio-state.edu, corryfee(a)mundo.eco.utexas.edu, scelist(a)mundo.eco.utexas.edu, csemlist(a)mundo.eco.utexas.edu, snde_l(a)email.rutgers.edu, comp_finance(a)teleport.com, economics <majordomo@mundo>, finance(a)vm.temple.edu, listserve(a)templevm.bitnet Subject: Computational Finance at the Oregon Graduate Institute Status: RO X-Status: X-Keywords: X-UID: 218 ======================================================================= COMPUTATIONAL FINANCE at the Oregon Graduate Institute of Science & Technology (OGI) Masters of Science Concentrations in Computer Science & Engineering (CSE) Electrical Engineering (EE) Now Reviewing MS Applications for Fall 1997! Early Decision Deadline: January 15 (Decisions by February 15) Final Deadline: March 15 (Decisions by April 15) New! Certificate Program Designed for Part-Time Students. For more information, call the OGI Office of Admissions (503)690-1027, or visit http://www.cse.ogi.edu/CompFin/ ======================================================================= Computational Finance Overview: Advances in computing technology now enable the widespread use of sophisticated, computationally-intensive analysis techniques applied to finance and financial markets. The real-time analysis of tick-by-tick financial market data, and the real-time management of portfolios of thousands of securities is now sweeping the financial industry. This has opened up new job opportunities for scientists, engineers, and computer science professionals in the field of Computational Finance. The strong demand within the financial industry for technically- sophisticated graduates is addressed at OGI by the Masters of Science and Certificate Programs in Computational Finance. Unlike a standard two year MBA, the programs are directed at training scientists, engineers, and technically-oriented financial professionals in the area of quantitative finance. The Masters programs lead to a Master of Science in Computer Science and Engineering (CSE track) or in Electrical Engineering (EE track). The MS programs can be completed within 12 months on a full time basis. In addition, OGI has introduced a Certificate program designed to allow professionals in engineering and finance a way of acquiring skills or upgrading their skills in quantitative finance on a part-time basis. The Computational Finance MS concentrations feature a unique combination of courses that provide a solid foundation in finance at a non-trivial, quantitative level, plus training in the essential core knowledge and skill sets of computer science or the information technology areas of electrical engineering. These skills are important for advanced analysis of markets and for the development of state-of-the-art investment analysis, portfolio management, trading, derivatives pricing, and risk management systems. The MS in CSE is ideal preparation for students interested in securing positions in information systems in the financial industry, while the MS in EE provides rigorous training for students interested in pursuing careers as quantitative analysts at leading-edge financial firms. The curriculum is strongly project-oriented, using state-of-the-art computing facilities and live/historical data from the world's major financial markets provided by Dow Jones Telerate. Students are trained in using high level numerical and analytical packages for analyzing financial data. OGI has established itself as a leading institution in research and education in Computational Finance. Moreover, OGI has very strong research programs in a number of areas that are highly relevant for work in quantitative analysis and information systems in the financial industry. ----------------------------------------------------------------------- Admissions ----------------------------------------------------------------------- Applications for entrance into the Computational Finance MS programs for Fall Quarter 1997 are currently being considered. The deadlines for receipt of applications are: January 15 (Early Decision Deadline, decisions by February 15) March 15 (Final Deadline, decisions by April 15) A candidate must hold a bachelor's degree in computer science, engineering, mathematics, statistics, one of the biological or physical sciences, finance, econometrics, or one of the quantitative social sciences. Candidates who hold advanced degrees in these fields or who have experience in the financial industry are also encouraged to apply. Applications for the Certificate Program are considered on an ongoing basis for entrance in any quarter. ---------------------------------------------------------------------- Contact Information ---------------------------------------------------------------------- For general information and admissions materials: Office of Admissions Oregon Graduate Institute P.O.Box 91000 Portland, OR 97291-1000 E-mail: admissions(a)admin.ogi.edu Phone: (503)690-1027 WWW: http://www.cse.ogi.edu/CompFin/ For special inquiries: E-mail: compfin(a)cse.ogi.edu ====================================================================== ------------------------------------------------------------------ Dr. Andrea Gaunersdorfer Department of Business Administration University of Vienna Tel.: +43-1-29 1 28-466 Bruenner Strasse 72 FAX: +43-1-29 1 28-464 A - 1210 Wien e-mail: gauner(a)finance2.bwl.univie.ac.at

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None
by Elke PENDL 23 Nov '96

23 Nov '96

VSX WORKSHOP Einladung zum Vortrag von Professor Bryan R. Routledge, Carnegie Mellon University mit dem Thema ueber "Adaptive Learning and Financial Markets" am Donnerstag, 19. Dezember 1996, 15.30 - 17.00 Uhr im Seminarraum 2 des Betriebswirtschaftlichen Zentrums der Universitaet Wien, Bruenner Strasse 72, 1210 Wien. =========================================================================

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FW: CEF '97 at Stanford
by Andrea Gaunersdorfer 15 Nov '96

15 Nov '96

**************************************************************** * To post a message, send it to OWNER-SNDE_L(a)EMAIL.RUTGERS.EDU * * To leave the list, send the message UNSUBSCRIBE SNDE_L * * to MAJORDOMO(a)EMAIL.RUTGERS.EDU * * To resolve any problems, contact MCCLELLAND_R(a)BLS.GOV * **************************************************************** ---------- Dear Colleague: Below is a call for papers for a Computational Economics conference I am hosting next summer here at Hoover. Please circulate it among your colleagues. Also, note the items of special interest below for your graduate students. Thanks, Ken Judd P.S. Please excuse multiple messages; I am using many lists. ***************************************************************** ********************************************************* ****** CALL FOR PAPERS ****** Society for Computational Economics announces the Third International Conference on "COMPUTING IN ECONOMICS AND FINANCE" Stanford, CA, June 30 - July 2, 1997 The Third International Conference on Computing in Economics and Finance, organized under the auspices of the Society for Computational Economics, will be held at the HooverInstitution at Stanford University from June 30 through July 2, 1997. We invite participation from all branches of economics and finance, and related areas in computer science, operations research, statistics, and mathematics, in both the academic and business worlds. Presentations will cover both quantitative and empirical methods for economics and finance including, but not limited to, optimization, linear and nonlinear equations, computationally intensive statistical methods, option pricing, CGE modelling, neural networks, agent-based economics, rational expectations modelling, computation of Nash equilibrium, variational inequalities, genetic algorithms, simulation methods, automatic differentiation, Bayesian methods, databases, network economics, option pricing, and artificial intelligence. Those unacquainted with the SCE and this conference series should consult the web page http://www.unige.ch/ce/ce96/ which describes the program from the Second International Conference on Computing in Economics and Finance held in Geneva, Switzerland, in June, 1996, or the page http://www.unige.ch/ce/austin/ which describes the program from the previous meeting held in Austin, Texas, in 1995. Individuals who wish to present papers should submit abstracts or finished papers to: Kenneth L. Judd Hoover Institution Stanford, CA. 94305 judd(a)hoover.stanford.edu. 415-723-1687 (fax) Electronic submissions in ASCII, TeX, and LaTeX formats are encouraged, but ordinary paper (by mail or fax) is fine. Deadline for submissions: February 15, 1997. ===================================================== CONFERENCE WEB PAGE: Visit us at http://bucky.stanford.edu/cef97/ for up-to-date information on the program, accomodations, and local attractions. ====================================================== Following are some special program notes: CURRENTLY PLANNED PLENARY TALKS: "Solution Methods for Equations" Curtis Eaves, Stanford EES/OR Department Panel Discussion on "The Teaching of Computational Economics" Ken Judd (Hoover Institution) David Kendrick (University of Texas) Mario Miranda (Ohio State University) "Computational Economics in Practice in the Telecommunications Industry" Louis F. Pau, (Ericsson Utvecklings AB and Technical University of Denmark) GRADUATE STUDENT POSTER SESSION: In an effort to encourage graduate student participation, there will be a poster session for graduate students to present their work-in-progress. There will also be some financial aid for graduate student participants; contact Ken Judd for details. GRADUATE STUDENT PRIZE: The Society for Computational Economics is offering three $1,000 prizes for outstanding papers by graduate students. A description of that prize is available at http://bucky.stanford.edu/cef97/ PROGRAM COMMITTEE: Ken Judd, Hoover Institution, General Chairman Hans Amman, University of Amsterdam Kit Baum, Boston College Dave Belsley, Boston College Chris Birchenhall, University of Manchester Dee Dechert, University of Wisconsin John Duffy, University of Pittsburgh Larry Eisenberg, The Risk Engineering Company Manfred Gilli, University of Geneva Bill Goffe, University of Southern Mississipi Seth Greenblatt, University of Reading Steve Hall, Imperial College David Kendrick, University of Texas Mario Miranda, Ohio Statue University Anna Nagurney, University of Massachusetts Louis Pau, Ericsson Utvecklings AB and Technical University of Denmark Ken Pearson, Monash University John Rust, Yale University Berc Rustem, Imperial College Tom Sargent, Hoover Insitution Leigh Tesfatsion, Iowa State Charles Tapiero, ESSEC Peter Tinsley, U.S. Federal Reserve Bank, Washington, D.C. Andy Whinston, University of Texas =========================================================================

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Wirtschaftstheoretisches Forschungsseminar
by Erika Ristl 30 Oct '96

30 Oct '96

EINLADUNG zum Wirtschaftstheoretischen Forschunngseminar 7. November 1996 16.00 Uhr Philip Han FRANSES (Erasmus University Rotterdam) "Modelling Seasonality In Economic Time Series" 17.30 Uhr Konrad PODCZECK (Universit=E4t Wien) "Gleichgewichtstheorie mit unendlich vielen G=FCtern" 21. November 1996 16.00 Uhr Stefan KRASA (University of Illinois) "Enforcement in Differential Information Economies" 17.30 Uhr Henry TULKENS (CORE, Louvain-La-Neuve) "Cooperation vs. Free Riding in International Environmental Affairs" Die Vortr=E4ge finden im Institut f=FCr H=F6here Studien, Stumpergasse 56,= 1060 Wien, H=F6rsaal II, statt. Egbert Dierker Institut f=FCr Wirtschaftswissenschaften Hohenstaufengasse 9, 1010 Wien

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Oekonometrisches FS
by Gertrude Scheiner 23 Oct '96

23 Oct '96

OEKONOMETRISCHES FORSCHUNGSSEMINAR (M. Deistler, R. Alt, R. Kunst) Donnerstag, 31. Oktober 1996 R. BOEHEIM und M. BOSS (IHS) Consumption Based Capital Asset Pricing und der Wiener Aktienmarkt Abstract: In einem einflussreichen Artikel aus dem Jahre 1985 beschreiben Mehra und Prescott das sogenannte Equity Premium Puzzle. In diesem Artikel versuchen die Autoren die empirisch beobachtete Risikopraemie (durchschnittlicher Return am Aktienmarkt minus dem risikolosen Zinssatz) am New Yorker Aktienmarkt mittels eines einfachen Consumption Based Capital Asset Pricing Modells (C-CAPM) zu erklaeren. Das C-CAPM ist ein Gleichgewichtsmodell, das auf den Annahmen vollstaendiger Konkurrenz und friktionsfreier Maerkte beruht. Mehra und Prescott kommen zu dem Schluss, dass die von ihrem Modell generierten Risikopraemien viel zu klein sind, um die empirisch beobachteten zu erklaeren und bezeichnen dies als das Equity Premium Puzzle. In diesem Vortrag wird zunaechst das allgemeine C-CAPM vorgestellt. In der Folge werden Ergebnisse der Schaetzung dreier verschiedener C-CAPMs fuer den Wiener Aktienmarkt praesentiert. Das erste dieser Modelle ist das urspruengliche Modell von Mehra und Prescott, das zweite wurde von Rietz (1988) vorgestellt, der in das urspruengliche Modell einen sogenannten Crash-Zustand einfuehrt und dadurch das Equity Premium Puzzle loesen will. Das dritte Modell beinhaltet zudem einen Zustand, in dem ueberdurchschnittlich hohe Returns, wie sie am Wiener Aktienmarkt waehrend der 80er Jahre zu beobachten waren, beruecksichtigt werden. Die Parameter dieser Modelle wurden mit der Generalized Method of Moments (GMM) geschaetzt. Die von den Modellen generierten Risikopraemien lassen den Schluss zu, dass das von Mehra und Prescott beschriebene Equity Premium Puzzle auch am Wiener Aktienmarkt besteht. Literatur: BOEHEIM R. und M. BOSS, Consumption Based Capital Asset Pricing and the Austrian Stock Exchange, Economic Series No. 29/May 96 Ort: HS II Zeit: 9.00 Uhr c. t. =========================================================================

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None
by Elke PENDL 17 Oct '96

17 Oct '96

Einladung zum Privatissimum des Institutes fuer Betriebswirtschaftslehre der Universitaet Wien A-1210 Wien, Bruennerstrasse 72 Montag, 21. 10. 1996, 16:00 BWZ-Bruennerstrasse (Besprechungsraum Lehrstuhl Marketing, Zimmer Nr. 156) Professor Gerald Goodhart ''BRAND-LOYALTY VS STORE-LOYALTY'' This presentation outlines a methodology - based on the Dirichlet model of buyer behaviour - for comparing brand and store loyalty. It reports results concerning three frequently bougth products in the UK. The main finding is that store-loyalty generally exceeds brand-loyalty, although the difference is not great and varies by product field. =========================================================================

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Stellenausschreibung
by Peter Mitter 17 Oct '96

17 Oct '96

Am Institut f=FCr H=F6here Studien (IHS), Abteilung Finanzwirtschaft, sind folgende Positionen zu besetzen: Assistent/in =20 Wunschprofil: Studienabschlu=DF in Finanzwirtschaft oder verwandtem Fach, hohe methodische und empirische Qualifikation, sehr gute Kenntnis des =F6sterreichischen Finanzmarktes und seiner Institutionen. Aufgaben: Selbst=E4ndige Durchf=FChrung von Forschungsprojekten, Betreuung von Postgraduate-Studenten, Lehre. Projektassistent/in Wunschprofil: Hohe empirisch/analytische Qualifikation, Erfahrung im Modellbau. Bewerbungen mit den =FCblichen Unterlagen sind bis zum 15. 11. 1996 zu richten an die Direktion des IHS Stumpergasse 56, A-1060 Wien. ************************************************************************* ****** __ __ __ ____ *** Peter Mitter,Institute for Advanced Studies * ***** / / / / / / / __ \ * Stumpergasse 56, A-1060 Vienna, Austria * **** / / / /_/ / / /_ \/ ** Internet: mitter(a)ihssv.wsr.ac.at * *** / / / __ / \__ \ *** CompuServe: 100271,270 * ** / / / / / / /\__/ / **** BTX (Austria): 912310644 * * /_/ /_/ /_/ \____/ ***** voice: +43-1-59991-158 * ** ****** fax: +43-1-5970635 * ************************************************************************* http://www.wsr.ac.at/ihs-html/ gopher://gopher.wsr.ac.at/1/ihs =========================================================================

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None
by Elke PENDL 15 Oct '96

15 Oct '96

Einladung zum Privatissimum des Institutes fuer Betriebswirtschaftslehre der Universitaet Wien A-1210 Wien, Bruennerstrasse 72 Montag, 21. 10. 1996, 16:00 BWZ-Bruennerstrasse (Besprechungsraum Lehrstuhl Marketing, Zimmer Nr. 156) Professor Gerald Goodhardt "BRAND-LOYALTY VS STORE-LOYALTY" =========================================================================

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None
by Elke PENDL 15 Oct '96

15 Oct '96

VSX WORKSHOPS Einladungen zu den Vortraegen von 15:30 - 17:00 im Hoersaal 8 des Betriebswirtschaftlichen Zentrums der Universitaet Wien, Bruenner Strasse 72, 1210 Wien. Freitag, 25. 10. 1996 Professor Dieter Sondermann (Universitaet Bonn) ''Closed Form Solutions for Term Structure Derivatives with Log-Normal Interest Rates'' Donnerstag, 31. 10. 1996 Professor William Perraudin (Birkbeck College, London) ''Real Options and Preemption'' Freitag, 15. 11. 1996 Professor Thierry Foucault (Universitaet Pompeu Fabra) ''Monitoring Incentives with Liquidity Shocks'' Freitag, 22. 11. 1996 Professor Espen Eckbo u. Karin Thorburn (Stockholm, School of Economics) ''Competition and State-Contingent Payoffs in Tender Offers'' ''Corporate Restructurings under a Liquidation Code: Evidence from Swedish Bankruptcies'' Freitag, 29. 11. 1996 Professor Eckhart Boehmer (Humboldt-Universitaet zu Berlin) ''Corporate Governance Strukturen in Deutschland'' =========================================================================

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None
by Elke PENDL 09 Oct '96

09 Oct '96

Einladung zum Betriebswirtschaftlichen Forschungsseminar des Institutes fuer Betriebswirtschaftslehre der Universitaet Wien A-1210 Wien, Bruennerstrasse 72 Freitag, 18. 10. 1996, 15:30 - 17:00 BWZ-Bruennerstrasse (Hoersaal 8) Professor Olaf Ehrhardt (Humboldt-Universitaet zu Berlin) ''Boerseneinfuehrungen von Aktien am deutschen Kapitalmarkt'' =========================================================================

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Wirtschaftstheoretisches Forschungsseminar
by Erika Ristl 09 Oct '96

09 Oct '96

Einladung DIENSTAG, 15. Oktober 1996 (Ausnahmetermin - sonst Donnerstag) 16.00 Uhr: Mario PASCOA (University of Lisbon) "Nash Equilibrium and the Law of Large Numbers" 17.30 Uhr: Georg KIRCHSTEIGER (Universit=E4t Wien) "On the Possibility of Efficient Private Provision of Public Goods through Government Subsidies" Die Vortr=E4ge finden im Institut f=FCr H=F6here Studien, Stumpergasse 56,= 1060 Wien, H=F6rsaal II, statt. =========================================================================

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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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None
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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Announcement: APSM Oesterreichische EU-Wahlen '96
by Gerhard Ortner 28 Jul '96

28 Jul '96

Announcement: APSM Oesterreichische EU-Wahlen '96 Nach langem Warten ist es endlich soweit und der Markt fuer die oesterreichischen EU Wahlen im Rahmen des Austrian Political Stock Market Experiments (TU Wien & Uni. of Iowa) ist geoeffnet. Ganz aehnlich wie der Markt fuer die NRW'95 kommt auch hier wieder ein "vote share market" zum Einsatz. Alle Details (Marktprospekt, etc.) sind - wie schon ueblich - auf unserem WWW Server unter http://ebweb.tuwien.ac.at/apsm/euw96/euw.html zu finden. Wie wuerden uns freuen, wenn sich neben den bisherigen TraderInnen auch noch einige neue Marktteilnehmer fuer die Maerkte "Wiener Gemeideratswahlen" (laeuft bereits seit Sep. 95) und fuer "Austria EU-Wahlen" finden wuerden. Informationen ueber die Funktionsweise der Maerkte, Teilnahmemoeglichkeiten, bisherige und gerade laufende Maerkte, u.v.a.m. stehen via WWW (http://ebweb.tuwien.ac.at/apsm/) zur Verfuegung. Fuer weitere Informationen wenden Sie sich bitte am besten via email (apsm(a)ebwnov.tuwien.ac.at) an uns. Gerhard Ortner --------------------------------------------------------------------------- Technical University Vienna Institut of Industrial Engineering, Ergonomics and Business Economics Theresianumgasse 27, A-1040 Vienna, Austria Phone: +43-1-505 73 19 /43 Fax: +43-1-504 14 99 EMail: ortner(a)ebwnov.tuwien.ac.at WWW : http://ebweb.tuwien.ac.at/ortner/home.html --------------------------------------------------------------------------- THIS MESSAGE HAS BEEN COMPOSED USING 100% RECYCLED ELECTRONS

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Computational Finance Program at OGI
by Andrea Gaunersdorfer 19 Jul '96

19 Jul '96

For more information, please contact: E-mail: CompFin(a)cse.ogi.edu Betty Shannon http://www.cse.ogi.edu/CompFin/ ===================================================================== COMPUTATIONAL FINANCE at the Oregon Graduate Institute of Science & Technology (OGI) An Intensive 12-Month Concentration in the MS Programs of Computer Science & Engineering (CSE) Electrical Engineering (EE) ===================================================================== Program Overview: Today's technology has increased the level of technical proficiency required in the financial markets. At one time, for example, spreadsheet skills, pre-calculus, and a basic understanding of financial instruments were sufficient to build practical asset and derivative pricing tools. Today, however, leading-edge financial institutions routinely use advanced analytical and numerical techniques from engineering and computer science to create, price, and manage risk for both new and established instruments. Advances in computing technology now enable the widespread use of sophisticated, computationally-intensive analysis techniques, the real-time analysis of tick-by-tick financial market data, and the real-time management of portfolios of hundreds or thousands of securities. Furthermore, modern data analysis tools can consider many variables simultaneously and can capture complicated and often nonlinear inter-dependencies between variables. This has opened up new modeling possibilities for portfolio management, asset allocation, hedging, derivatives instruments, and decision making. The strong demand within the financial industry for technically-sophisticated graduates who are well versed in state-of-the-art quantitative analysis and computing techniques is addressed at OGI by an intensive 12 month Computational Finance program. Unlike a standard two year MBA, the program is directed at training scientists, engineers, and technically-oriented financial professionals. The program is offered as a concentration in both the Computer Science and Engineering (CSE), and Electrical Engineering (EE) departments. The program leads to a Master of Science degree in Computer Science and Engineering (CSE track), or in Electrical Engineering (EE track). Computational Finance courses are also cross-listed in the Management of Science & Technology (MST) program. The Computational Finance concentrations feature a unique combination of courses that provide a solid foundation in finance at a non-trivial, quantitative level, plus training in the essential core knowledge and skill sets of computer science or the information technology subdiscipline of electrical engineering. These skills are essential for advanced analysis of markets and for the development of state-of-the-art investment analysis, trading, derivatives pricing, and risk management systems. The MS in CSE is ideal preparation for students interested in securing positions in information systems in the financial industry, while the MS in EE provides rigorous training for students interested in pursuing careers as quantitative analysts at leading-edge financial firms. The curriculum is strongly project-oriented, using state-of-the-art computing facilities and live/historical data from the world's major financial markets provided by Dow Jones Telerate. Students are trained in using high level numerical and analytical packages, such as MATLAB, Mathematica, and SPlus, for analyzing and modeling financial data. OGI has established itself as a leading institution in research and education in Computational Finance. Moreover, OGI has very strong research programs in a number of areas that are highly relevant for work in quantitative analysis and information systems in the financial industry. These areas include signal processing, neural networks and adaptive systems, machine learning, information theory and coding, nonlinear dynamics, stochastic processes, software engineering, object-oriented programming, database systems, transaction processing, human-computer interaction, and spoken language understanding.. ------------------------------------------------------------------- Admission Requirements ------------------------------------------------------------------- Applications for entrance into the Computational Finance MS programs for Fall Quarter 1996 (which begins on Monday, September 23) are currently being considered as they are received. Enrollment in the program is limited. Admission requirements are the same as the general require- ments of the institution. GRE scores are required for the 12-month concentration in Computational Finance, although they can be waived under certain circumstances. A candidate must hold a bachelor's degree in computer sci- ence, engineering, mathematics, statistics, one of the bio- logical or physical sciences, finance, econometrics, or one of the quantitative social sciences. Candidates who hold advanced degrees in these fields or who have experience in the financial industry are also encouraged to apply. ---------------------------------------------------------------------- Contact Information ---------------------------------------------------------------------- For more information, contact Program Information Admission Information E-mail: CompFin(a)cse.ogi.edu Betty Shannon, Academic WWW: Coordinator http://www.cse.ogi.edu/CompFin/ Computer Science and Engineering Department Oregon Graduate Institute of Science and Technology P.O.Box 91000 Portland, OR 97291-1000 E-mail: academic(a)cse.ogi.edu Phone: (503) 690-1255 ====================================================================== =========================================================================

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Finance FS
by Gertrude Scheiner 26 Jun '96

26 Jun '96

A-1060 Wien, Stumpergasse 56 Telefon: (0222) 59 9 91 Telefax: (0222) 597 06 35 INSTITUT FUER HOEHERE STUDIEN FINANCE FORSCHUNGSSEMINAR (R. Alt) Dienstag, 2. Juli 1996 H. Pippan (Universit^Ät Graz) Marktrisiko und Jahresabschluáinformationen Ort: HS II Zeit: 16.30 Uhr

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Gastvortrag Robert Schwartz
by Roland Dipplinger 20 Jun '96

20 Jun '96

EINLADUNG zum Gastvortrag Ten Major Microstructure Misconceptions Robert A. Schwartz Professor and Yamaichi Faculty Fellow New York University Zeit: Montag, 24. Juni 1996, 14.00-16.00 Uhr Ort: Wiener Boerse Warenboersesaal, 2.OG Wipplingerstra=DFe 34 1010 Wien ____________________________________________________________ Mag. Roland Dipplinger, Institut fuer Finanzierung und Finanzmaerkte Wirtschaftsuniversitaet Wien, Althanstrasse 39-45, A-1090 WIEN Tel.: ++431-31336-4173, Fax: -761, @: Roland.Dipplinger(a)wu-wien.ac.at "Sorry - Nick" -- Nick Leeson, Barings, 23/2/95 =========================================================================

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Oekonometrisches FS
by Gertrude Scheiner 13 Jun '96

13 Jun '96

OEKONOMETRISCHES FORSCHUNGSSEMINAR (M. Deistler, R. Alt, R. Kunst) Donnerstag, 20. Juni 1996 "Forecasting Stock Market Averages to Enhance Profitable Trading Strategies" Christian HAEFKE and Christian HELMENSTEIN (IHS) Abstract: In this paper we formulate a trading strategy for stocks that exploits the informational difference implied by different stock market index construction principles. In order to gain a competitive advantage over other market participants, we forecast the indexes one day ahead and subsequently generate buy and sell signals through the trading rule. To illustrate how the system works, we apply it to select stocks from those constituting the ATX index sample. The forecasting of the indexes is done applying standard financial econometric techniques and feedforward neural networks. Drawing upon various model selection criteria, such as AIC, HQ and SIC, we discuss their potential for rendering parsimonious neural network architectures. Keywords: Artificial Neural Networks, Model Selection, Stock Market Indexes, Trading Systems. Ort: HS II Zeit: 9.00 Uhr c. t. =========================================================================

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Einladung zu Vorträgen
by Martin Scheicher 11 Jun '96

11 Jun '96

Einladung zu nachstehenden Vortr=E4gen von Thomas Mayer, Univ. of California: Donnerstag, 13.6., 15.00 Uhr, SE-Raum 2, Hohenstaufengasse 9 "The Dark Side of Economic Modelling" Freitag, 14.6., 15.30 Uhr, OeNB, Generalratssitzungssaal, 5. Stock "Monetarists and Keynesians on Central Banking: A Case Study of A Failed Debate" Marvin Goodfriend, Federal Research Bank of Richmond Montag, 17.6., 15.00 Uhr, SE-Raum 1, Hohenstaufengasse 9 "A Framework for the Analysis of Moderate Inflation" Mittwoch,19.6., 15.00 Uhr, OeNB, Generalratssitzungssaal, 5. Stock "Foreign Exchange Operations and the Federal Reserve" ------------------------------------------------------- Veronika Moser Department of Economics University of Vienna Hohenstaufengasse 9 A-1010 Vienna, Austria Phone: +43-1-40103-3367 Fax: +43-1-532 14 98 e-mail: veronika.moser(a)univie.ac.at =========================================================================

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None
by Elke PENDL 07 Jun '96

07 Jun '96

VSX WORKSHOP Einladung zum Vortrag von Prof. S. Eduardo Schwartz, UCLA ueber ''Asset Allocation'' am Freitag, 21. Juni 1996, 15.30 Uhr im Roten Saal der Wiener Boerse, 2. Stock, Wipplingerstrasse 34, 1011 Wien. Eduardo S. Schwartz is the California Professor of Real Estate and Professor of Finance, Anderson Graduate School of Management at the University of California, Los Angeles. His wide-ranging research has focused on different dimensions in asset and securities pricing. Topics in recent years range from interest rate volatility to asset allocation issues to evaluating natural resource investments. His collected works include more than seventy articles in finance and economic journals, two monographs, and a large number of monograph chapters, conference proceedings, and special reports. He is the winner of a number of awards for both teaching excellence and for the quality of his published work. He is associate editor for least a dozen journals, including the Journal of Finance, the Journal of Financial Economics and the Journal of Financial and Quantitative Analysis. He is past president of the Western Finance Association and is now president of the American Finance Association. He has also been a consultant to governmental agencies, banks, investment banks and industrial corporations. =========================================================================

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None
by Renate Kogler 05 Jun '96

05 Jun '96

EINLADUNG zum Betriebswirtschaftlichen Forschungsseminar des Instituts fuer Betriebswirtschaftslehre der Universitaet Wien Bruenner Strasse 72, 1210 Wien Freitag, 14.06.1996; 15.30 Uhr; HS 8 des BWZ DR. HERIBERT REISINGER (Universitaet Wien) "DER EINFLUSS DES FORSCHUNGSDESIGNS AUF DIE HOEHE VON BESTIMMTHEITSMASSEN IN LINEAREN REGRESSIONSMODELLEN" Abstract: The classical linear regression model is the standard procedure for analyzing dependencies between variables that are measured on a metric scale. In the course of model estimation it is common practice to assess the appropriateness of a single descriptive model for the problem under study with the help of coefficients of determination (R^2 and ADJ. R^2 ). When considering the advantages of calculating these measures in empirical studies the question arises whether it makes sense to evaluate a model by means of a single descriptive measure at all. For example, from a statistical point of view the analyzed data set is irrelevant when deciding on the appropriateness of the model under consideration. However, a market researcher clearly distinguishes whether he studies time series or cross sectional data. A well known fact says that on the average one may expect larger coefficients of determination for time series data than for cross sectional data. Starting from this known phenomenon it is tried to identify various impacts on R^2 and ADJ. R^2 that originate in the research designs of empirical studies rather than in the research subjects within the framework of a meta-analysis. One important result claims a strong negative correlation between the sample size and the values of R^2 and ADJ. R^2 . =========================================================================

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Exotic Options
by Roland Dipplinger 30 May '96

30 May '96

EINLADUNG ZUM GASTVORTRAG: 'Recent advances in Options Markets: Exotics=92 Robert G. Tompkins, AB, AM, MBA Managing Director Minerva Consulting Limited Zeit: Donnerstag, 13. Juni 1996, 10-12 Uhr Ort: Wirtschaftsuniversitaet Wien Hs.2006 UZAIII, Stiege 6, 3. OG. 1090 Wien, Althanstra=DFe 39-45 ____________________________________________________________ Mag. Roland Dipplinger, Institut fuer Finanzierung und Finanzmaerkte Wirtschaftsuniversitaet Wien, Althanstrasse 39-45, A-1090 WIEN Tel.: ++431-31336-4173, Fax: -761, @: Roland.Dipplinger(a)wu-wien.ac.at "Sorry - Nick" -- Nick Leeson, Barings, 23/2/95

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None
by Renate Kogler 22 May '96

22 May '96

EINLADUNG zum Betriebswirtschaftlichen Forschungsseminar des Instituts fuer Betriebswirtschaftslehre der Universitaet Wien Bruenner Strasse 72, 1210 Wien Freitag, 14.06.1996; 14.00 Uhr; HS 6 des BWZ Prof. Stan Pliska (University of Chicago) ,Dynamic Asset Allocations with Uncertain Parameters" Renate Kogler Lehrstuhl fuer Controlling Institut fuer BWL Universitaet Wien Bruenner Strasse 72 A-1210 Wien Tel.: +43-1-29128-402 Fax : +43-1-29128-404 =========================================================================

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None
by Renate Kogler 22 May '96

22 May '96

EINLADUNG zum Betriebswirtschaftlichen Forschungsseminar des Instituts fuer Betriebswirtschaftslehre der Universitaet Wien Bruenner Strasse 72, 1210 Wien Donnerstag, 30.05.1996; 16.30 Uhr; HS 7 des BWZ Prof. Wolfgang Gaul (Universitaet Karlsruhe) ,Gleichzeitige, zweifache Segmentierung als Instrument der Marketingforschung" Abstract: Gleichzeitige, zweifache Segmentierungstechniken koennen z.B. eingesetzt werden, wenn bei Strukturierungsbemuehungen in Maerkten der Wunsch besteht, sowohl auf der Angebotsseite wie auf der Nachfrageseite geeignete Gruppierungen dergestalt zu finden, dass Nachfragesegmente und Angebotsteilmengen einander bestmoeglichst zugeordnet werden koennen. Es werden Ansaetze beschrieben, wie die Bildung solcher gleichzeitigen, zweifachen Segmentierungen durch leicht nachvollziehbare Berechnungsvorschriften unterstuetzt werden kann, wobei auch Ausfaelle im Antwortverhalten von Befragten beruecksichtigt werden koennen. Zusaetzlich werden Moeglichkeiten und Grenzen ueberlappender Segmentierungsprozeduren diskutiert. Renate Kogler Lehrstuhl fuer Controlling Institut fuer BWL Universitaet Wien Bruenner Strasse 72 A-1210 Wien Tel.: +43-1-29128-402 Fax : +43-1-29128-404 =========================================================================

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Vortrag Frauenfoerderung
by Daniel Eckert 15 May '96

15 May '96

Im Rahmen des Seminars "Frauenfoerderung in Theorie und Praxis" an der Wirtschaftsuniversitaet Wien findet am Mittwoch, dem 22. Mai 1996 wieder ein Gastvortrag statt: Dr. Ingrid Nikolay-Leitner (Anwaeltin fuer Gleichbehandlungsfragen) "Gleichbehandlung - ein Weg zur Gleichstellung von Frauen?" 18 Uhr, Seminarraum 1.15(D), Wirtschaftsuniversitaet Wien, IX, Augasse 2-6 Alle InteressentInnen sind herzlich dazu eingeladen Gabriele Michalitsch/Daniel Eckert ---------------------- Dr.phil. Daniel Eckert Department of Economics email: eckert(a)isis.wu-wien.ac.at Vienna University of Economics phone: +431-31336-4161 Augasse 2-6 fax: +431-31336-726 A-1090 Wien home: +431-3105816 Austria fax: +431-3108938 =========================================================================

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Exotic Options
by Roland Dipplinger 14 May '96

14 May '96

EINLADUNG zum Gastvortrag =91Recent advances in Options Markets: Exotics=92 Robert G. Tompkins, AB, AM, MBA Managing Director Minerva Consulting Limited Zeit: Donnerstag, 13. Juni 1996, 10-12 Uhr Ort: Wirtschaftsuniversitaet Wien Hs.2006 UZAIII, Stiege 6, 3. OG. 1090 Wien, Althanstra=DFe 39-45 ____________________________________________________________ Mag. Roland Dipplinger, Institut fuer Finanzierung und Finanzmaerkte Wirtschaftsuniversitaet Wien, Althanstrasse 39-45, A-1090 WIEN Tel.: ++431-31336-4173, Fax: -761, @: Roland.Dipplinger(a)wu-wien.ac.at "Sorry - Nick" -- Nick Leeson, Barings, 23/2/95 =========================================================================

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Oekonometrisches FS
by Gertrude Scheiner 13 May '96

13 May '96

OEKONOMETRISCHES FORSCHUNGSSEMINAR (M. Deistler, R. Alt, R. Kunst) Donnerstag, 23. Mai 1996 The Dynamics of Stock Prices and Volume in a Model of Nontradable Asset Chiente HSU (University of Bern) Abstract: In this paper we develop a simple, fully dynamic asset pricing model in which agents have rational expectations and are heterogeneous in their investment opportunities. In this model, trading takes place because of changes in the excess return of the nontradable asset. We show that the equilibrium price and volume depend on the dividends of the stock as well as the excess return on the nontradable asset which are assumed to follow ARCH (GARCH) processes. The dynamics of stock prices and trading volume implied by the structural model can explain the following empirical regularities found in the high frequency stock data: (i) positive relation between volume and the magnitude of price changes; (ii) positive relation between volume and stock price volatility and (iii) positive autocorrelation of volume data. By employing the Efficient Method of Moment estimator developed by Gallant and Tauchen to the Dow Jones index and total NYSE trading volume we investigate to what extent the structural model can account for the observed joint dynamics of return and trading volume in the stock markets. The structural model implies a distribution of stock prices which is much closer than that observed in the data. The model can account for the VAR and ARCH features of the data. In addition, the estimation results coincide with findings of many previous empirical studies in the relations between stock prices and volume. Ort: HS II Zeit: 9.00 Uhr c. t. =========================================================================

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IT-Kongress 96
by Hans Mitloehner 13 May '96

13 May '96

Der Praesident der ADV, Prof. W. Janko, freut sich, Sie zum IT-Kongress 96 einzuladen. Die Praesentation von Wissenschaft und Praxis unter besonderer Beruecksichtigung der Zukunftsentwicklung ist sicher fuer sehr viele Besucher von Interesse. Die ADV freut sich auf Ihr Kommen und ermoeglicht WU-Angehoerigen eine um 50% ermaessigte Teilnahme. ------------------------------------------------------------------------- *** EINLADUNG *** zum Wiener IT-Kongress 96: Globale Informationsverarbeitung - Auswirkungen der Internationalisierung 28. - 31. Mai 1996, Vienna Hilton Hotel ADV Arbeitsgemeinschaft fuer Datenverarbeitung THEMENKREISE - Entwicklung internationaler Informationssysteme - Basistechnoligien fuer Informationssysteme - Marktentwicklung durch elektronische Massenkommunikationssysteme - Organisation der IT-Systeme internation taetiger Unternehmen - EDV und Recht - Gruppenarbeit - regionale und ueberregionale Zusammenarbeit - Evolution der Informationsverarbeitung und der Betriebsorganisation - Qualitaet der Informatik - Informationsmanagement in der oeffentlichen Verwaltung - Datenbanken fuer Europa - Electronic Data Interchange (EDI) SONDERVERANSTALTUNGEN - Symposion "Verwaltungsinformatik" - Tutorials - ESPITI-Software-Enquete Vgl. auch http://www.wu-wien.ac.at/usr/ai/mitloehn/it96.html Eine Broschuere mit naeheren Informationen (Programm, Anmeldeformulare) ist in der Abteilung fuer Angewandte Informatik/UZA II, 3. Stock, erhaeltlich. MfG 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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Vortrag von Jochen Wilhelm am 20. Mai
by Stefan Pichler 13 May '96

13 May '96

TU WIEN Abteilung Industriefinanzierung und Investment Banking Bank Austria Einladung zur HANS MAYR LECTURE Univ.-Prof. Dr. Jochen Wilhelm, Lehrstuhl fuer Betriebswirtschaftslehre, Universitaet Passau: "Neoklassische und 'neuere' Finanzierungs- theorie - Antithese oder Symbiose?" 20. Mai 1996, 16.00, Festsaal der Technischen Universitaet Wien, 1040 Wien, Karlsplatz 13 =========================================================================

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Vortrag Frauenfoerderung
by Daniel Eckert 09 May '96

09 May '96

Im Rahmen des Seminars "Frauenfoerderung in Theorie und Praxis" an der Wirtschaftsuniversitaet Wien findet am Mittwoch, dem 15. Mai 1996 wieder ein Gastvortrag statt: Mag. Elisabeth Ruehrig (Hewlett-Packard): "Frauenfoerderung in der Privatwirtschaft" 18 Uhr, Seminarraum 1.15(D), Wirtschaftsuniversitaet Wien, IX, Augasse 2-6 Alle InteressentInnen sind herzlich dazu eingeladen Gabriele Michalitsch/Daniel Eckert ---------------------- Dr.phil. Daniel Eckert Department of Economics email: eckert(a)isis.wu-wien.ac.at Vienna University of Economics phone: +431-31336-4161 Augasse 2-6 fax: +431-31336-726 A-1090 Wien home: +431-3105816 Austria fax: +431-3108938 =========================================================================

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Planstelle
by WOLFGANG ECKERT 09 May '96

09 May '96

Am Institut fuer Betriebliche Finanzwirtschaft der Universitaet Innsbruck ist eine Universitaetsassitent/inn/enplanstelle ab sofort ausgeschrieben. Erwuenscht werden neben einem betriebs- oder volkswirtschaftlichem Studium solide Kenntnisse aus dem Bereich der Finanzierungstheorie und den Methoden der Mikrooekonomie. Schriftliche Bewerbungen sind bis 24. Mai 1996 in der Universitaetsdirektion der Leopold-Franzens-Universitaet Innsbruck, Innrain 52, A-6020 Innsbruck einzubringen. Die Bewerberinnen und Bewerber haben keinen Anspruch auf Abgeltung aufgelaufener Reise- und Aufenthaltskosten, die aus Anlass des =========================================================================

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AWG-Workshop
by Stefan Pichler 07 May '96

07 May '96

Technische Universitaet Wien Karl-Franzens-Universitaet Graz 8. Workshop Austrian Working Group on Banking and Finance 8./9. 11. 1996 CALL FOR PAPERS Der Workshop findet am Freitag, dem 8. 11. 1996, nachmittags und am Samstag, dem 9. 11. 1996, vormittags in Graz (Konferenzraeume der RLB im "Steirerhof") statt. Bezueglich der Themen ist keine Einschraenkung vorgesehen. Papers oder extended abstracts (ca. 2 Seiten) koennen bis spaetestens 15. 9. 1996 bei Prof. Dr. Helmut Uhlir, TU Wien, Abteilung fuer Industriefinanzierung und Investment Banking, Floragasse 7, 1040 Wien (Tel.: 0222-5051973-10, Fax: 0222-5051973-17), eingereicht werden. Um den angestrebten Workshopcharakter der Veranstaltung zu foerdern, koennen papers auch durch einen discussant besprochen werden. Jene Teilnehmer, die eine solche Vorgangsweise wuenschen, muessten dann bis etwa Ende Juli ihr Manuskript einreichen. Anmeldungen koennen auch per email an SPICHLER(a)POP.TUWIEN.AC.AT erfolgen. Bitte geben Sie Ihren Namen, Institution/Position, Adresse, Telefon und Faxnummer an. Bitte geben Sie uns dann auch folgende Informationen: 1. Wollen Sie ein paper praesentieren? 2. Sollen wir Ihnen Hotelreservierungsvorschlaege zusenden? Herzliche Gruesse Stefan Pichler =========================================================================

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Forschungsseminar
by Gertrude Scheiner 06 May '96

06 May '96

INSTITUT FUER HOEHERE STUDIEN INSTITUTE FOR ADVANCED STUDIES FINANCE FORSCHUNGSSEMINAR (R. Alt) Dienstag, 14. Mai 1996 W. Aussenegg (Technische Universitaet Wien) Faktorstrukturermittling fuer den Wiener Aktienmarkt Abstract: Ausgangspunkt fuer die Bewertung von Aktien nach der auf Ross (1976, 1977) zurueckgehenden Arbitrage Pricing Theory (APT) sowie fuer die praktische Anwendung eines Multifaktor-APT Modells ist die Kenntnis der systematischen Einflussgroessen. Waehrend fuer grosse Aktienmaerkte die Faktorstruktur weitgehend bekannt ist, gibt es relativ wenig empirische Evidenz ueber oekonomische Faktoren, die systematisch die Aktienrenditen in einer kleinen offenen Volkswirtschaft beeinflussen. Dieser Vortrag beschaeftigt sich mit der Ermittlung einer Faktorstruktur fuer den Wiener Aktienmarkt. Zunaechst werden die in der Literatur diesbezueglich vorgeschlagenen Methoden analysiert und mit Hilfe eines kuenstlichen Wertpapiermarktes im Rahmen einer Monte Carlo Simulation anhand verschiedener Kriterien evaluiert. Aufbauend auf diesen Ergebnissen beschreibt der zweite Teil der Ausfuehrungen den Ablauf einer (exogenen) Faktorstrukturbestimmung mit makrooekonomischen Zeitreihen und praesentiert empirische Ergebnisse fuer OEsterreich. Literatur: Aussenegg, W. (1995), Die Ermittlung der Faktorstruktur - Ein Multifaktor-APT Modell fuer den oesterreichischen Aktienmarkt, Deutscher UniversitaetsVerlag, Wiesbaden 1995, 259 S. Ort: HS II Zeit: 16.30 Uhr -- Raimund =========================================================================

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Vortrag Frauenfoerderung
by Daniel Eckert 06 May '96

06 May '96

Im Rahmen des Seminars "Frauenfoerderung in Theorie und Praxis" an der WU Wien findet am Mittwoch, dem 8. Mai 1996 wieder ein Gastvortrag statt: Univ.-Prof. Dr. Gabriele Kucsko-Stadlmayer (Inst.f.Staats- u. Verwaltungsrecht d. Univ. Wien): Rechtliche Rahmenbedingungen von Frauenfoerderung 18 Uhr, Seminarraum 1.15(D) WU Wien, Hauptgebaeude, 1090 Wien, Augasse 2-6 Alle InteressentInnen sind herzlich dazu eingeladen Gabriele Michalitsch/Daniel Eckert ---------------------- Dr.phil. Daniel Eckert Department of Economics email: eckert(a)isis.wu-wien.ac.at Vienna University of Economics phone: +431-31336-4161 Augasse 2-6 fax: +431-31336-726 A-1090 Wien home: +431-3105816 Austria fax: +431-3108938 =========================================================================

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None
by Elke PENDL 02 May '96

02 May '96

VSX WORKSHOP Einladung zum Vortrag von Prof. Philippe Jorion, University of California at Irvine ueber ''Re-emerging Markets'' am Donnerstag, 9. Mai 1996, 15.30 - 17.00 im Seminarraum 2 des Betriebswirtschaftlichen Zentrums der Universitaet Wien, Bruenner Strasse 72, 1210 Wien. =========================================================================

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Seminareinladung
by Peter Brandner 01 May '96

01 May '96

Einladung zu zwei Seminarvortr=E4gen von Prof. Adi Raveh School of Business Administration and Statistics Department The Hebrew University of Jerusalem, Israel THE GREEK BANKING SYSTEM: REANALYSIS OF PERFORMANCE Abstract: Multiattribute Evaluation of Greek Banking Performance has been done recently by Zopounidis et.al. (1995). They used an ordinal regression analysis as well as an additive utility model to obtain final ranking of a representative sample of greek banks. In this paper we reanalyze their data by means of two multivariate analysis methods. One method is a nonmetric multidimensional saling type called Smalliest Space Analysis (SSA-I), which is designated to analyze variables (e.g., 7 attributes). The second method is called Co-plot. It is also a graphic display that is designated to analyze observations (e.g., 16 banks) and attributes simultaneously. Some further comments and findings are uncovered from our analysis. key words: Banking Performance, Co-plot, Graphic Display, Smallest Space Analysis Zeit: Montag, 6.5.1996, 13.00 Uhr Ort: Kleiner Sitzungssaal, =D6sterreichisches Institut f=FCr Wirtschaftsforschu= ng (WIFO) Arsenal, Objekt 20 1030 Wien und CO-PLOT DISPLAY TECHNIQUE AS AN AID TO THE PREDICTION OF CORPORATE BANKRUPTCY Abstarct: CO-PLOT, a new graphic display method for multivariate data analysis, is introduced and used to aid the prediction of corporate bankruptcy. Co-plot maps the rows of a matrix in such a way that similar rows (observations) will be closely located on the map. The sample units are exhibited as n points and the variables as p arrows, relative to the same axis and origin. Co-plot enables the simultaneous study of observations and variables for a set of data, hence its name. This method is applied here to study similarity among companies, the correlation structure among financial ratios (variables), and the mutual relationships between the companies' observations and financial ratios. Co-plot yielded clearer findings for the data set analyzed previously by Altman for the same purpose of prediction. key words: Dissimilarity, Maximum Correlation, Multidimensional Scaling (MDS). Zeit: Dienstag, 7.5.1996, 16.00 Uhr Ort: HS 12, BWZ, Br=FCnner Stra=DFe 72, 1210 Wien Peter Brandner Department of Economics email: peter.brandner(a)univie.ac.at University of Vienna voice: +43-1-40103-3371 Hohenstaufengasse 9 fax: +43-1-5321498 A-1010 Vienna, Austria ----------------------------------------------------------------- =========================================================================

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None
by Renate Kogler 30 Apr '96

30 Apr '96

EINLADUNG zum Betriebswirtschaftlichen Forschungsseminar des Instituts fuer Betriebswirtschaftslehre der Universitaet Wien Bruenner Strasse 72, 1210 Wien Freitag, 10.05.1996; 15.30 Uhr; HS 8 des BWZ Prof. Georg Pflug (Universitaet Wien) ,Decision making under uncertainity" Abstract: Der Hauptkritikpunkt an modell- und algorithmusgestuetzten unternehmerischen Entscheidungen liegt in der Annahme, dass alle entscheidungsrelevanten Daten genau bekannt sind. Es gibt aber eine Disziplin, die sich mit dem Einbau von Unsicherheit und Risiko in diesen Prozess beschaeftigt: die stochastische Optimierung. Nach einer Einleitung ueber Erwartung und Risiko und ueber die Begriffe "here-and-now" versus "wait-and-see" und "expected value of perfect information" wird der Wert der Information als Schattenwert aehnlich dem Wert der Ressource als Schattenpreis dargestellt. An zwei Beispielen, und zwar aus der dynamischen Portfoliooptimierung und aus der stochastischen Reihenfolgeplanung werden die praesentierten Begriffe erlaeutert. Die theoretische Seite benuetzt moderne Resultate der Wahrscheinlichkeitstheorie (Martingale, Talagrand's Ungleichung), die praktische Seite in hohem Masse Parallelverarbeitung. Renate Kogler Lehrstuhl fuer Controlling Institut fuer BWL Universitaet Wien Bruenner Strasse 72 A-1210 Wien Tel.: +43-1-29128-402 Fax : +43-1-29128-404

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Ball des Betriebswirtschaftszentrums
by Alexander STOMPER 25 Apr '96

25 Apr '96

EINLADUNG Das Betriebswirtschaftszentrum veranstaltet am 3.Mai 1996 seinen Ball, den Economic Cercle, in der Wiener Boerse. Zu diesem Ball wollen wir auch die Mitglieder des Vienna Finance Newsletters herzlich einladen. Der Ball steht unter dem Ehrenschutz des Bundespraesidenten, des Rektors der Universitaet Wien, Prof. Ebenbauer, sowie des Generalsekretaers der Wiener Boersekammer, Dr. Kamp. Einlasz ist ab 20.00 und die Eroeffnung findet um 21.00 statt. Karten zu diesem Ball sind bei den Portieren der WU, den Portieren der Uni Wien (Hauptgebaeude) sowie am BWZ im SOWI Shop erhaeltlich. Wir hoffen auf zahlreiches Erscheinen, Alex Stomper =========================================================================

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None
by Otto Loistl 24 Apr '96

24 Apr '96

At 17:40 18.04.1996 GMT-1, you wrote: >EINLADUNG >zum >Betriebswirtschaftlichen Forschungsseminar > >des Instituts fuer Betriebswirtschaftslehre >der Universitaet Wien >Bruenner Strasse 72, 1210 Wien > > > >Freitag, 26.04.1996; 15.30 Uhr; HS 8 des BWZ > Dr. Josef Hofbauer (Universitaet Wien) > ,Nicht-Konvergenz zum Gleichgewicht: Ein universelles > Shapley Beispiel" > > > >Abstract: >Shapley hat 1964 ein 3x3 Spiel angegeben, bei dem der Fictitious Play >Prozess nicht zum Gleichgewicht konvergiert. Ich werde ein aehnliches, >einfacheres Beispiel vorstellen, bei dem kein ,vernuenftiger" >dynamischer Prozess zum Gleichgewicht konvergieren kann. > > > >Dienstag, 30.04.1996; 15.30 Uhr; HS 8 des BWZ > Prof. Ron Giammarino (University of British Columbia) > ,The Evolution of Firm Value and the Allocative Role of > Greenmail" > > >Renate Kogler >Lehrstuhl fuer Controlling >Institut fuer BWL >Universitaet Wien >Bruenner Strasse 72 >A-1210 Wien >Tel.: +43-1-29128-402 >Fax : +43-1-29128-404 > > Sehr geehrte Frau Kogler, leider kann ich an dieser Veranstaltung nicht teilnehmen, bin an dem Thema aber sehr interessiert. K=F6nnten Sie mir die Vortragsunterlagen zukommen lassen? Vielen Dank im voraus. Meine Adresse: Otto Loistl, Institut f=FCr Finanzierung und Finanzm=E4rkte Wirtschaftsuniversi=E4t Wien, Althanstr. 39-45 A 1090 Wien Mit vielen Gr=FC=DFen =========================================================================

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None
by Elke PENDL 24 Apr '96

24 Apr '96

VSX WORKSHOP Einladung zum Vortrag von Professor Francesca Cornelli, London Business School ueber "Stage financing and the role of convertible debt" am Freitag, 3. Mai 1996, 15.30 - 17.00 Uhr, im Hoersaal 8 des Betriebswirtschaftlichen Zentrums der Universitaet Wien, Bruenner Strasse 72, 1210 Wien. =========================================================================

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None
by Renate Kogler 24 Apr '96

24 Apr '96

AENDERUNG zum Betriebswirtschaftlichen Forschungsseminar des Instituts fuer Betriebswirtschaftslehre der Universitaet Wien Bruenner Strasse 72, 1210 Wien Der Vortrag von Prof. Ron Giammarino (University of British Columbia) am Dienstag, den 30.4.1996 um 15.30 im HS 8 des BWZ, lautet nicht wie angekuendigt ,The Evolution of Firm Value and the Allocative Role of Greenmail", sondern ,A Value Enhancing Role for Greenmail and Defensive Measures". Abstract: A popular view of corporate defensive measures, such as poison pills, shareholders' rights plans and greenmail, is that they are evidence of entrenched, self-interested management. Empirical evidence, such as a target stock price decline subsequent to the payment of greenmail, is cited as support for this view. Somewhat inconsistent with this argument is the overwhelming rate of acceptance of such measures by shareholders, with very little stock price reaction. We model an informational role for greenmail and show that value-maximizing management will pay greenmail that leads to a stock price decline. Consistent with the empirical evidence, the decline exceeds the value of the greenmail payment. Moreover, shareholders have an incentive to impose a defensive measure, such as a poison pill, to limit takeover attempts if the target stock price is too low or the raider has too high an initial shareholding in the target. Renate Kogler Lehrstuhl fuer Controlling Institut fuer BWL Universitaet Wien Bruenner Strasse 72 A-1210 Wien Tel.: +43-1-29128-402 Fax : +43-1-29128-404 =========================================================================

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New Web Site: The Finance & Technology Web
by Andrea Gaunersdorfer 23 Apr '96

23 Apr '96

== Forwarded Mail == >From RBCALDWELL(a)delphi.com Sun Mar 19 17:27:57 2000 >From: RBCALDWELL(a)delphi.com Subject: New Web Site: The Finance & Technology Web To: nonlin-l(a)list.nih.gov Status: RO X-Status: X-Keywords: X-UID: 129 ****************************************************************** ! ! ! N E W W E B S I T E ! ! ! ****************************************************************** The Finance & Technology Web Finance & Technology Publishing, as the publisher of the NeuroVe$t Journal, is glad to announce that it has launched a new Web site on the World Wide Web. The new site is intended to provide an extended tool to those already provided by Finance & Technology. It will serve as an open forum and central node for information of interest to financial practitioners and applied researchers applying neural networks and other advanced technologies and tools to investing and trading. The new site is located at: http://ourworld.compuserve.com/homepages/FTPub The new Web site currently provides: * links to other Web sites of interest * links to single and meta search engines of interest * a collection of 4+ years of stock market data available for free downloading * details on the NeuroVe$t Journal table of contents for the latest issue contents of all previous issues call for papers and author guidelines upcoming special focus issues * details on other products from Finance & Technology Publishing * additional information and services (to be provided) Let us know if you find this new service useful. As an open forum, Finance & Technology welcomes your input and support. ****************************************************************** ! ! ! N E W W E B S I T E ! ! ! ****************************************************************** =========================================================================

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None
by Renate Kogler 18 Apr '96

18 Apr '96

EINLADUNG zum Betriebswirtschaftlichen Forschungsseminar des Instituts fuer Betriebswirtschaftslehre der Universitaet Wien Bruenner Strasse 72, 1210 Wien Freitag, 26.04.1996; 15.30 Uhr; HS 8 des BWZ Dr. Josef Hofbauer (Universitaet Wien) ,Nicht-Konvergenz zum Gleichgewicht: Ein universelles Shapley Beispiel" Abstract: Shapley hat 1964 ein 3x3 Spiel angegeben, bei dem der Fictitious Play Prozess nicht zum Gleichgewicht konvergiert. Ich werde ein aehnliches, einfacheres Beispiel vorstellen, bei dem kein ,vernuenftiger" dynamischer Prozess zum Gleichgewicht konvergieren kann. Dienstag, 30.04.1996; 15.30 Uhr; HS 8 des BWZ Prof. Ron Giammarino (University of British Columbia) ,The Evolution of Firm Value and the Allocative Role of Greenmail" Renate Kogler Lehrstuhl fuer Controlling Institut fuer BWL Universitaet Wien Bruenner Strasse 72 A-1210 Wien Tel.: +43-1-29128-402 Fax : +43-1-29128-404 =========================================================================

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Final CFP: NNs in the Capital Markets, Deadline May 1
by Andrea Gaunersdorfer 18 Apr '96

18 Apr '96

For more information, please contact: yaser(a)caltech.edu == Forwarded Mail == >From moody(a)chianti.cse.ogi.edu Sun Mar 19 17:27:57 2000 >From: John Moody <moody(a)chianti.cse.ogi.edu> Date: Mon, 15 Apr 96 19:44:11 -0700 To: ml(a)ics.uci.edu, Reinforce(a)cs.uwa.edu.au, gannout(a)cs.iastate.edu, corryfee(a)hasara11.bitnet, csemlist(a)hasara11.bitnet, nonlin-l(a)list.nih.gov, comp-finance(a)teleport.com Subject: Final CFP: NNs in the Capital Markets, Deadline May 1 Status: O X-Status: X-Keywords: X-UID: 124 -- Final Call for Papers -- NNCM-96 FOURTH INTERNATIONAL CONFERENCE NEURAL NETWORKS in the CAPITAL MARKETS Wednesday-Friday, November 20-22, 1996 The Ritz-Carlton Hotel, Pasadena, California, U.S.A. Sponsored by Caltech and London Business School Original contributions representing new and significant research, development, and applications in the following areas of interest are invited: Price forecasting for stocks, bonds, commodities, and foreign exchange; asset allocation and risk management; volatility analysis and pricing of derivatives; cointegration, correlation, and multivariate data analysis; credit assessment and economic forecasting; statistical methods, learning techniques, and hybrid systems. Authors should send 5 copies of a 1000-word summary clearly stating their results to Dr. Y. Abu-Mostafa, Caltech 136-93, Pasadena, CA 91125, U.S.A. All submissions must be received before May 1, 1996. There will be a rigorous refereeing process to select the high-quality papers to be presented at the conference. Mailing List: If you wish to be added to the mailing list of NNCM-96, please send your postal address, e-mail address, and fax number to Dr. Y. Abu-Mostafa, Caltech 136-93, Pasadena, CA 91125, U.S.A. e-mail: yaser(a)caltech.edu , fax (818) 795-0326 Home Page: http://www.cs.caltech.edu/~learn/nncm.html =========================================================================

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Commerce, Complexity & Evolution proceedings volume
by Andrea Gaunersdorfer 18 Apr '96

18 Apr '96

For more information, please contact: r.marks(a)unsw.edu.au OR bobm(a)agsm.unsw.edu.au == Forwarded Mail == >From Steve.Keen(a)unsw.EDU.AU Sun Mar 19 17:27:57 2000 >From: Steve.Keen(a)unsw.EDU.AU Subject: Commerce, Complexity & Evolution proceedings volume To: NONLIN-L(a)LIST.NIH.GOV Status: RO X-Status: X-Keywords: X-UID: 126 Commerce, Complexity and Evolution Macauley Theatre, Quadrangle Building University of New South Wales February 12th-13th 1996 ---------------------------------- Limited number of Proceedings Volumes now available for purchase ---------------------------------- Complexity, or "Chaos Theory", has had a significant impact on the physical sciences, while evolutionary analysis has spread its influence from biology to many fields of endeavour. Recently, researchers in the disciplines of economics, finance and marketing have begun to apply these concepts, frequently generating results which are at odds with those derived from traditional, "linear" methods. This conference enabled leading researchers from the academic and business communities of Australia, Japan and Europe to present their findings. The 25 formal papers covered a large range of topics, ranging from philosophical considerations, through nonlinear mathematical models of firms and the economy, to the application of "evolutionary" computer techniques to attempt to predict the course of the stock exchange. The papers for the conference were supplied to attendees in a 2 volume set, totalling over 550 pages. Approxim ately 20 copies of the set remain, and these are now available for $A25 for Australian purchasers, and $US35 for overseas purchasers (the difference covers the cost of surface mail postage). The contents are as follows: 1. The_Cobweb_Model 1.1 Ergodic cobweb chaos, Akio Matsumoto 1.2 Computer simulations of the cobweb model using a genetic algorithm, Janice Gaffney, Krystyna Parrott & Franz Salzborn 1.3 Convergence of genetic algorithms applied to the cobweb model, Charles Pearce 2. Complexity_&_Economics 2.1 The role of innovation within economics, Russell Standish 2.2 Complex adaptive human systems in a boundedly rational environment - the economy as a collection of IGUSes, Bertin Martens 2.3 Economic organisms and application of topology and graph theory in economics, Xiaokai Yang & Yeong-nan Yeh 3. Finance_&_Simulation 3.1 A hybrid non-parametric approach to the intraday pricing of options on futures using implied volatility, Paul Lajbcygier, Andrew Flitman & Marimuthu Palaniswami 3.2 A genetic programming-based approach to generation of foreign exchange trading models, Andrew Colin 3.3 Evaluating planning vs. reacting in trading strategies using a complex systems simulation, Robert J ohnston & John Betts 4. Mathematical_Modelling 4.1 Some policy experiments in a complete Keynesian model of monetary growth with sluggish price and quantity adjustments, Carl Chiarella & Peter Flaschel 4.2 Economic instability in single and multi-sectoral models with finance, Steve Keen 4.3 Stochastic volatility in interest rates and nonlinearity in velocity, Haiyang Xu & Bill Barnett 5. Measurement 5.1 Evolutionary patterns of multisectoral growth dynamics, Hermann Schnabl 5.2 Detecting evolutionary change in an augmented logistic diffusion econometric model using time-varying spectral methods, John Foster & Phillip Wild 6. Methodology 6.1 Uncertainty, risk and chaos, James Juniper 6.2 Network externalities, compatibility, standardisation, and locking 6.3 Universal Darwinism and social research, the case of economics, John Nightingale 7. Genetic_Algorithms 7.1 The application of cellular automata to economies with network externalities: A generalisation of life game, Sobei Oda, Ken Muira, Yasunori Baba & Kanji Ueda 7.2 Genetic_algorithms_and_evolutionary_games, Xin Yao 7.3 Evolved perception and behaviour in oligopolies, Bob Marks 8. Equilibrium_Methods 8.1 Why do people buy PC - a case of knowledge-intensive goods, He-Ling Shi 8.2 Engendering_change, Joshua Gans 9. Business_&_Complexity 9.1 From chaos to complexity in strategic planning, Steven Phelan 9.2 International_business_and_economic_growth, Eduardo Pol 9.3 The origins and evolution of the machine tool industry, George Argyrous -- To order a copy, please send a note and cheque or money or der to: Robert MARKS, Australian Graduate School of Management, University of New South Wales, Sydney, NSW 2052, Australia Phone/Fax: +61-2-9931-9271 (W), +61-2-818-5618 (H), +61-2-662-2451 (Fax) +61-63-552752 (weekends) Internet: r.marks(a)unsw.edu.au OR bobm(a)agsm.unsw.edu.au WWW: http://www.agsm.unsw.edu.au/~bobm =========================================================================

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