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
=========================================================================
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
=========================================================================
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
=========================================================================
*******************************************************************
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.htmhttp://ourworld.compuserve.com/homepages/ftpub/other.htmhttp://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
*******************************************************************
=========================================================================
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!
=========================================================================
------- 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
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(SSEP, Inc.) and Social Science Research
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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
____________________________________________________________
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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
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____________________________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
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
=========================================================================
------- 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:
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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
=========================================================================
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
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.
--
=========================================================================
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.
=========================================================================
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
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
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.
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
=========================================================================
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.
=========================================================================
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
=========================================================================
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.
=========================================================================
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
=========================================================================
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
=========================================================================
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
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
=========================================================================
------- 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
=========================================================================
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
=========================================================================
------- 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
=========================================================================
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
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
=========================================================================
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
=========================================================================
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
=========================================================================
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
=========================================================================
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.
=========================================================================
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
=========================================================================
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
=========================================================================
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)
=========================================================================
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
=========================================================================
--=====================_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==_
------- 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
=========================================================================
------- 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
=========================================================================
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
=========================================================================
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
--
=========================================================================
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
=========================================================================
>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
=========================================================================
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
=========================================================================
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
=========================================================================
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''-
=========================================================================
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.
=========================================================================
------- 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>
=========================================================================
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.
=========================================================================
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
****************************************************************
* 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
************************************************************************
=========================================================================
****************************************************************
* 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
***********************************************************************
=========================================================================
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
=========================================================================
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
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.
=========================================================================
****************************************************************
* 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
=========================================================================
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
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.
=========================================================================
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.
=========================================================================
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"
=========================================================================
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''
=========================================================================
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''
=========================================================================
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.
=========================================================================
* 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
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
=========================================================================
>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.
=========================================================================
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
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
======================================================================
=========================================================================
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
=========================================================================
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.
=========================================================================
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
=========================================================================
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.
=========================================================================
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 .
=========================================================================
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
=========================================================================
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
=========================================================================
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
=========================================================================
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.
=========================================================================
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
=========================================================================
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
=========================================================================
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
=========================================================================
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
=========================================================================
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
=========================================================================
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
=========================================================================
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
=========================================================================
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.
=========================================================================
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
-----------------------------------------------------------------
=========================================================================
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
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
=========================================================================
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
=========================================================================
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.
=========================================================================
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
=========================================================================
== 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 ! ! !
******************************************************************
=========================================================================
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
=========================================================================
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
=========================================================================
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
=========================================================================
Im Rahmen der Vortragsreihe "Frauenfoerderung in Theorie und Praxis" an der
WU Wien findet am Mittwoch, 24. April 1996 der erste Vortrag statt:
Dr. Lilian Hofmeister (Gleichbehandlungsbeauftragte Justiz):
"Frauenfoerderung in der oeffentlichen Verwaltung"
18 Uhr S. 1.15(D)
Gabriele Michalitsch/Daniel Eckert
___________________________________________
Dr.phil. Daniel Eckert
Department of Economics ~~
Vienna University of Economics @(.)(.)@
and Business Administration ''
Augasse 2-6 (------)
A-1090 Vienna
Austria ><
email: eckert(a)isis.wu-wien.ac.at
voice: +43-1-31336-4161
fax: +43-1-31336-726
home: +43-1-3105816 (fax: +43-1-3108938)
=========================================================================