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

17 Nov '97

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

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

14 Nov '97

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

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

14 Nov '97

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

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

14 Nov '97

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

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

04 Nov '97

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

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

04 Nov '97

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

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

29 Oct '97

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

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None
by Andrea Gaunersdorfer 27 Oct '97

27 Oct '97

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

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

03 Oct '97

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

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Einladung
by Erika Ristl 24 Sep '97

24 Sep '97

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

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

23 Sep '97

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

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Ausschreibung einer Assistenplanstelle
by Roland Dipplinger 15 Sep '97

15 Sep '97

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

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

06 Aug '97

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

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neuer AEM Markt
by Gerhard Ortner 23 Jul '97

23 Jul '97

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

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Vortragsankuendigung 26.6.
by Thomas Hudetz 19 Jun '97

19 Jun '97

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

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Seminar in Finance
by Gerti Scheiner 18 Jun '97

18 Jun '97

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

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Vortragsankuendigung 19.06.
by Thomas Hudetz 12 Jun '97

12 Jun '97

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

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Seminar in Finance
by Gerti Scheiner 12 Jun '97

12 Jun '97

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

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None
by Elke PENDL 10 Jun '97

10 Jun '97

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

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None
by Elke PENDL 06 Jun '97

06 Jun '97

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

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

03 Jun '97

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

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Einladung
by Erika Ristl 02 Jun '97

02 Jun '97

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

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Gastvortrag
by Roland Dipplinger 28 May '97

28 May '97

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

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Seminar of Finance
by Gerti Scheiner 27 May '97

27 May '97

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

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

26 May '97

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

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