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vfn-l@fam.tuwien.ac.at

1159 discussions

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

09 May '97

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

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Externe Performance Attribution
by Stefan Pichler 29 Apr '97

29 Apr '97

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

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Going Public
by Stefan Pichler 29 Apr '97

29 Apr '97

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

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Seminar in Finance
by Scheiner Gertrude 15 Apr '97

15 Apr '97

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

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EINLADUNG
by Erika Ristl 04 Apr '97

04 Apr '97

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

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Finance Forschungsseminar
by Scheiner Gertrude 03 Apr '97

03 Apr '97

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

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Terminkorrektur
by Andrea Gaunersdorfer 02 Apr '97

02 Apr '97

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

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None
by Elke PENDL 01 Apr '97

01 Apr '97

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

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None
by Elke PENDL 01 Apr '97

01 Apr '97

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

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None
by Elke PENDL 01 Apr '97

01 Apr '97

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

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None
by Elke PENDL 04 Mar '97

04 Mar '97

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

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

04 Mar '97

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

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

03 Mar '97

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

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

03 Mar '97

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

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Einladung
by Erika Ristl 21 Feb '97

21 Feb '97

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

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Seminar in Finance
by Gertrude Scheiner 18 Feb '97

18 Feb '97

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

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Gastvortrag - Einladung
by Roland Dipplinger 21 Jan '97

21 Jan '97

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

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

20 Jan '97

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

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Seminar in Finance
by Gertrude Scheiner 16 Jan '97

16 Jan '97

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

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Wirtschaftstheoretisches Forschungsseminar
by Erika Ristl 16 Jan '97

16 Jan '97

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

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None
by Elke PENDL 14 Jan '97

14 Jan '97

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

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None
by Elke PENDL 14 Jan '97

14 Jan '97

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

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

08 Jan '97

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

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None
by Elke PENDL 19 Dec '96

19 Dec '96

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

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Wirtschaftstheoretisches Forschungsseminar
by Erika Ristl 19 Dec '96

19 Dec '96

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

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