------- Forwarded Message Follows -------
>From compfin(a)CSE.OGI.EDU Sun Mar 19 17:27:57 2000
>From: Computational Finance <compfin(a)CSE.OGI.EDU>
To: "SNDE Mailing List" <SNDE(a)fas-econ.rutgers.edu>
Subject: Computational Finance Graduate Programs
Date: Wed, 7 May 1997 11:53:59 -0700 (PDT)
Reply-to: Computational Finance <compfin(a)CSE.OGI.EDU>
Status: RO
X-Status:
X-Keywords:
X-UID: 262
=======================================================================
COMPUTATIONAL FINANCE at the Oregon Graduate Institute of Science &
Technology (OGI)
Master of Science Concentrations in
Computer Science & Engineering (CSE)
Electrical Engineering (EE)
Upcomming MS Application Deadline for Fall 1997: May 15 & June 15!
New! Certificate Program Designed for Part-Time Students.
For more information, contact OGI Admissions at (503)690-1027 or
admissions(a)admin.ogi.edu, or visit our Web site at:
http://www.cse.ogi.edu/CompFin/
=======================================================================
Computational Finance Overview:
Advances in computing technology now enable the widespread use of
sophisticated, computationally intensive analysis techniques applied to
finance and financial markets. The real-time analysis of tick-by-tick
financial market data, and the real-time management of portfolios of
thousands of securities is now sweeping the financial industry. This has
opened up new job opportunities for scientists, engineers, and computer
science professionals in the field of Computational Finance.
The strong demand within the financial industry for technically
sophisticated graduates is addressed at OGI by the Master of Science and
Certificate Programs in Computational Finance. Unlike a standard two year
MBA, the programs are directed at training scientists, engineers, and
technically oriented financial professionals in the area of quantitative
finance.
The master's programs lead to a Master of Science in Computer Science and
Engineering (CSE track) or in Electrical Engineering (EE track). The MS
programs can be completed within 12 months on a full-time basis. In
addition, OGI has introduced a Certificate program designed to provide
professionals in engineering and finance a means of upgrading their skills
or acquiring new skills in quantitative finance on a part-time basis.
The Computational Finance MS concentrations feature a unique combination
of courses that provides a solid foundation in finance at a non-trivial,
quantitative level, plus the essential core knowledge and skill sets of
computer science or the information technology areas of electrical
engineering. These skills are important for advanced analysis of markets
and for the development of state-of-the-art investment analysis, portfolio
management, trading, derivatives pricing, and risk management systems.
The MS in CSE is ideal preparation for students interested in securing
positions in information systems in the financial industry, while the MS
in EE provides rigorous training for students interested in pursuing
careers as quantitative analysts at leading-edge financial firms.
The curriculum is strongly project-oriented, using state-of-the-art
computing facilities and live/historical data from the world's major
financial markets provided by Dow Jones Telerate. Students are trained in
the use of high-level numerical and analytical software packages for
analyzing financial data.
OGI has established itself as a leading institution in research and
education in Computational Finance. Moreover, OGI has strong research
programs in a number of areas that are highly relevant for work in
quantitative analysis and information systems in the financial industry.
-----------------------------------------------------------------------
Admissions
-----------------------------------------------------------------------
Applications for entrance into the Computational Finance MS programs for
Fall Quarter 1997 are currently being considered. The deadlines for
receipt of applications are:
May 15, 1997 Notification by June 15, 1997
June 15, 1997 Notification by July 15, 1997
In keeping with OGI policy, we will consider applications received after
June 15, 1997 on a space available basis.
A candidate must hold a bachelor's degree in computer science,
engineering, mathematics, statistics, one of the biological or physical
sciences, finance, econometrics, or one of the quantitative social
sciences. Candidates who hold advanced degrees in these fields or who have
experience in the financial industry are also encouraged to apply.
Applications for the Certificate Program are considered on an ongoing
basis for entrance in any quarter.
----------------------------------------------------------------------
Contact Information
----------------------------------------------------------------------
For general information and admissions materials:
Visit our web site at:
http://www.cse.ogi.edu/CompFin/
or contact:
Office of Admissions
Oregon Graduate Institute
P.O.Box 91000
Portland, OR 97291-1000
E-mail: admissions(a)admin.ogi.edu
Phone: (503)690-1027
For special inquiries:
E-mail: compfin(a)cse.ogi.edu
======================================================================
------------------------------------------------------------------
Dr. Andrea Gaunersdorfer
Department of Business Administration
University of Vienna Tel.: +43-1-29 1 28-466
Bruenner Strasse 72 FAX: +43-1-29 1 28-464
A - 1210 Wien e-mail: gauner(a)finance2.bwl.univie.ac.at
http://www.bwl.univie.ac.at/bwl/fiwi1/members/gauner/gauner.htm
=========================================================================
Technische Universitaet Wien
Abteilung Industriefinanzierung / Investment Banking
Einladung zum Vortrag
"Externe Performance Attribution"
Dr. Peter Reichling
Universitaet Mainz
Dienstag, 6. Mai 1997, 17.30-19.00
Floragasse 7, Seminarraum Parterre
Dr. Stefan Pichler
Department of Finance
Vienna University of Technology
Floragasse 7/4, A-1040 Wien
Phone: ++43-1-5051973-15 Fax: ++43-1-5051973-17
Prof. Helmut Uhlir
Seminar aus Industriefinanzierung
Einladung zum Vortrag
"Der Gang an die Boerse am Beispiel KTM"
Mag. Paul Severin
Leiter der Aktienanalyse, Creditanstalt/Bankverein
Mittwoch, 30. April 1997, 17.00-18.30
Floragasse 7/4, Seminarraum im Parterre
Dr. Stefan Pichler
Department of Finance
Vienna University of Technology
Floragasse 7/4, A-1040 Wien
Phone: ++43-1-5051973-15 Fax: ++43-1-5051973-17
=========================================================================
SEMINAR IN FINANCE
Christian Helmenstein, Gabriel Lee
(Biweekly Mondays)
Monday, 21. April 1997
Wolfgang AUSSENEGG
(Technical University of Vienna
Short and Long-Run Performance of IPOs in the Austrian Stock Market
Abstract:
This paper investigates the price behaviour of initial public offerings
(IPOs) of equities listed on the Vienna Stock Exchange during the period
from 1984 to 1996. In accordance with the findings for other markets, the
average initial returns of Austrian IPOs are significantly positive. For a
total sample of 66 IPOs, an average first day return of 6.5 per cent is
documented which is lower than for most other IPO markets. More than a
quarter of all IPOs are overpriced with negative initial returns. Several
hypotheses to explain the observed unterpricing of Austrian IPOs are tested.
The short-run aftermarket performance (first year) is found to be not
significantly different from zero, whereas in the long-run (first three
years) the total sample of Austrian IPOs underperform benchmark firms. An
investor would have had to invest 22 per cent more money in IPOs than in non
IPO firms of similar size to have the same wealth three years after the
offering date. There is also evidence that the main reason for this
underperformance are poorly performing family-owned IPOs.
Place: Institute for Advanced Studies, Stumpergasse 56, 1060 Vienna, SZ VI
Time: 17:00h-18:30h
Info: http://www.wsr.ac.at/ihs-html/fin/finsem.html
=========================================================================
WIRTSCHAFTSTHEORETISCHES FORSCHUNGSSEMINAR
der Wiener Universit=E4ten gemeinsam mit dem
Institut f=FCr H=F6here Studien und der National=F6konomischen Gesellschaf=
t
10. April 1997
16.00 s.t.:
Matthias RAITH (Universitaet Bielefeld)
"Optimizing Multi-Stage Negotiations"
17.30 s.t.:
Nina MADERNER (Universitaet Wien)
"Optimal Contracts with Type-Dependent Reservation Utilities"
24. April 1997:
16.00 s.t.:
Rabah AMIR (Wissenschaftszentrum Berlin)
"Modelling Imperfectly Appropriable R & D via Spillovers
17.30 s.t.:
Gerhard CLEMENZ (Universitaet Wien)
Imperfectly Observable Emissions, Adverse Selection and Output
Restrictions"
Die Vortraege finden im Institut f=FCr Hoehere Studien, Stumpergasse 56,
1060 Wien, H=F6rsaal II, statt.
Das Seminar steht allen Interessierten offen. Insbesondere wird die
Teilnahme von fortgeschrittenen Studierenden begruesst.
Die naechsten Vortraege finden am 15. und 22. Mai 1997 statt.
Egbert Dierker
=========================================================================
SEMINAR IN FINANCE
Christian Helmenstein, Gabriel Lee
(Biweekly Mondays)
Monday, 07. April 1997
Martin Scheicher
(University of Vienna, Department of Economics)
"Modeling Polish Stock Returns"
Abstract:
This paper studies the econometric modeling of returns from the Warsaw Stock
Exchange. We collect the statistical properties of returns and compare them
to a sample from the German stock market. Then we evaluate the fit of two
types of models: GARCH and Poisson Jump processes. We find that GARCH
dominates the Jump model.
Place: Institute for Advanced Studies, Stumpergasse 56, 1060 Vienna, SZ VI
Time: 17:00h-18:30h
Info: http://www.wsr.ac.at/ihs-html/fin/finsem.html
=========================================================================
Der Vortrag
"The Homeownership Choice, Life Cycle Savings and Household Demand
for Debt: Some Issues''
von Prof. Larry Jones (University of British Columbia)
im Rahmen des Betriebswirtschaftlichen Forschungsseminars des
Instituts fuer Betriebswirtschaftslehre der Universitaet Wien
findet am
Montag, 14. 4. 1997 um 12.30 Uhr (nicht am 17.4.)
im BWZ-Bruennerstrasse (Hoersaal 3)
statt.
=========================================================================
VSX WORKSHOPS
Einladungen
zu den
Vortraegen
"Risk-Value Efficient Portfolios and Asset Pricing''
Professor Guenter Franke (Universitaet Konstanz)
Freitag, 11. April 1997
von 15:30 - 17:00 im Hoersaal 8 des Betriebswirtschaftlichen
Zentrums der Universit"at Wien, Bruenner Strasse 72, 1210 Wien
"Bidder Behavior in Multiple Unit Auctions:
Evidence from Swedish Treasury Auctions''
Professor Nyborg Kjell (London Business School)
Freitag, 25. April 1997
von 15:30 - 17:00 im Hoersaal 8 des Betriebswirtschaftlichen
Zentrums der Universitaet Wien, Bruenner Strasse 72, 1210 Wien
=========================================================================
Einladung
zum
Betriebswirtschaftlichen Forschungsseminar
des Institutes fuer Betriebswiss., Arbeitswiss.
und Betriebswirtschaftslehre
der Technischen Universitaet Wien
A-1040 Wien, Theresianumgasse 27
Professor Adolf Stepan
und
des Institutes fuer Betriebswirtschaftslehre
der Universitaet Wien
A-1210 Wien, Bruenner Strasse 72
Professor Erich Loitlsberger
"Uberraschende archaeologische Funde
des Rechnungswesens in Sumerien''
Prof. Ricco Mattessich (University of British Columbia)}
Dienstag, 15. April 1997 von 16:00 - 17:30 im Seminarraum 1
des Betriebswirtschaftlichen Zentrums der Universitaet Wien,
Bruenner Strasse 72, 1210 Wien
=========================================================================
Einladungen
zu den
Betriebswirtschaftlichen Forschungsseminaren
des Institutes fuer Betriebswirtschaftslehre
der Universitaet Wien
A-1210 Wien, Bruennerstrasse 72
"The Homeownership Choice, Life Cycle Savings
and Household Demand for Debt: Some Issues''
Prof. Larry Jones (University of British Columbia)
Montag, 17. 4. 1997, 12.30 Uhr
BWZ-Bruennerstrasse (Hoersaal 3)
"Share blocks and corporate control in the UK''
Prof. Colin Mayer (University of Oxford)
Montag, 21. 4. 1997, 12.00 Uhr
BWZ-Bruennerstrasse (Hoersaal 3)
=========================================================================
VSX WORKSHOPS
Einladungen
zu den
Vortraegen
''Liquidity-Based Competition for Order Flow''
Professor Duane Seppi (Carnegie Mellon University)
Freitag, 14. Maerz 1997
von 15:30 - 17:00 im Hoersaal 8 des Betriebswirtschaftlichen
Zentrums der Universitaet Wien, Bruenner Strasse 72, 1210 Wien
''Corporate Diversification Strategies & Firm Performance''
Professor John Doukas (Old Dominion University)
Montag, 17. Maerz 1997
von 16:00 - 17:30 im Hoersaal 5 des Betriebswirtschaftlichen
Zentrums der Universitaet Wien, Bruenner Strasse 72, 1210 Wien
=========================================================================
--=====================_857523005==_
Content-Type: text/plain; charset="us-ascii"
Liebe Frau Ganuersdorfer,
Thanks for the invitation to One Factor Markov Model presentation.
Attached please find the results of a multifactor markov modell
investigating transaction costs of several real exchanges.
Best regards
Otto Loistl
At 15:02 03.03.1997 GMT, you wrote:
>------- Forwarded Message Follows -------
>Date: Mon, 03 Mar 1997 12:41:32 +0100 (MET)
>From: Institut fuer Mathematik - Sekretariat
<sekr(a)nelly.mat.univie.ac.at>
>Subject: Mathem. Kolloquium vom 12.03.1997
>To: Undisclosed recipients:;@nelly.mat.univie.ac.at ;
>
>
>
>
> E I N L A D U N G
>
> zu einem
>
>
> V O R T R A G
>
> von
>
>
> F. Delbaen
> (ETH Zuerich)
>
> mit dem Thema
>
>
> "One factor Markov Models in Finance"
>
>
>
>
>ORT: Inst. fuer Mathematik an der Universitaet Wien, Boltzmanngase 9,
> ESI - Hoersaal.
>
>Zeit: Mittwoch, 12.03.1997, 16 Uhr c.t.
>
>
>
>
> H. Rindler
> W. Schachermayer
>
>
>
>
>
>------------------------------------------------------------------
>Dr. Andrea Gaunersdorfer
>Department of Business Administration
>University of Vienna Tel.: +43-1-29 1 28-466
>Bruenner Strasse 72 FAX: +43-1-29 1 28-464
>A - 1210 Wien e-mail: gauner(a)finance2.bwl.univie.ac.at
>http://www.bwl.univie.ac.at/bwl/fiwi1/members/gauner/gauner.htm
>
>
--=====================_857523005==_
------- Forwarded Message Follows -------
>From sekr(a)nelly.mat.univie.ac.at Sun Mar 19 17:27:57 2000
Date: Mon, 03 Mar 1997 12:41:32 +0100 (MET)
>From: Institut fuer Mathematik - Sekretariat <sekr(a)nelly.mat.univie.ac.at>
Subject: Mathem. Kolloquium vom 12.03.1997
To: Undisclosed recipients:;@nelly.mat.univie.ac.at ;
Status: RO
X-Status:
X-Keywords:
X-UID: 246
E I N L A D U N G
zu einem
V O R T R A G
von
F. Delbaen
(ETH Zuerich)
mit dem Thema
"One factor Markov Models in Finance"
ORT: Inst. fuer Mathematik an der Universitaet Wien, Boltzmanngase 9,
ESI - Hoersaal.
Zeit: Mittwoch, 12.03.1997, 16 Uhr c.t.
H. Rindler
W. Schachermayer
------------------------------------------------------------------
Dr. Andrea Gaunersdorfer
Department of Business Administration
University of Vienna Tel.: +43-1-29 1 28-466
Bruenner Strasse 72 FAX: +43-1-29 1 28-464
A - 1210 Wien e-mail: gauner(a)finance2.bwl.univie.ac.at
http://www.bwl.univie.ac.at/bwl/fiwi1/members/gauner/gauner.htm
=========================================================================
------- Forwarded Message Follows -------
>From RBCALDWELL(a)delphi.com Sun Mar 19 17:27:57 2000
>From: RBCALDWELL(a)delphi.com
Date: Sat, 01 Mar 1997 08:15:16 -0500 (EST)
Subject: CFP Special Issue of JCIF
To: snde_l(a)email.rutgers.edu
Status: RO
X-Status:
X-Keywords:
X-UID: 244
*******************************************************************
C A L L F O R P A P E R S
*******************************************************************
Journal of Computational Intelligence in Finance
Call for Papers
Special Issue and Competition on
"Improving Generalization for Nonlinear Financial Forecasting Models"
The Journal of Computational Intelligence in Finance, a peer-reviewed
technical journal, published by Finance & Technology Publishing, is
seeking papers for review and publication in 1997 on "Improving
Generalization for Nonlinear Financial Forecasting Models". For
comparison of methods submitted, the target variable series and
performance metrics are specified (though not required).
As an internationally-recognized independent forum since 1993, the
Journal of Computational Intelligence in Finance (formerly
NeuroVest Journal) serves as a central forum for the converging,
multi-disciplined field of computational intelligence in finance.
Papers published in the Journal are eligible for entry in an Annual
Essay Award Contest. The Editorial Advisory Board of the Journal
selects the best paper for which a cash award is presented each year.
EDITORIAL ADVISORY BOARD
E. Michael Azoff, Themisto Numerics Ltd.
James E. Bowen, CompEngServ Ltd.
Richard J. Bauer, Jr., St. Mary's University
James F. Derry, Mgmt. Engineering Productivity Systems
Ypke Hiemstra, Vrije Universiteit
Yuval Lirov, Lehman Brothers
Zoran Obradovic, Washington State University
David B. Skalak, University of Massachusetts
Stephen Slade, Stern Bus. Sch., New York University
Leon Sterling, University of Melbourne
Manoel F. Tenorio, University of Purdue
Halbert White, University of California at San Diego
SPECIAL TOPIC
Improving Generalization for Nonlinear Financial Forecasting Models
PUBLICATION DATE
November 1997
PAPER SUBMISSION DEADLINE
June 30, 1997
MOTIVATION
The critical issue in applying neural networks and other data-driven
forecasting systems is generalization, the performance on data not used
for training. The key to generalization behavior is model complexity.
Too simple a model cannot approximate the true relationship, and overly
complex models adjust to the noise in the data. Nearly all financial
applications of nonparametric models (such as neural networks and genetic
algorithms) vary model complexity by adjusting the number of parameters.
This special issue intends to highlight other methods to improve
generalization, in particular regularization (e.g., neural network
weight decay and smoothing) and techniques for combining models. Of
particular interest are nonlinear methods including neural networks,
genetic algorithms, nearest neighbor networks, polynomial networks,
fuzzy logic, and hybrids.
Nearly all studies apply cross-validation to select the best model.
Alternatives to cross-validation include 'analytical' selection rules
such as Akaike's Information Criterion, Schwartz's Information Criterion,
and a number of others. Of particular interest are the statistical
properties (i.e., bias and variance) of model selection methods in
estimating out-of-sample performance.
DATA, TARGET VARIABLES and PERFORMANCE METRICS
Data: daily prices of a financial time series (see below)
Target Variable: the relative difference in percent (RDP) between
today's closing price and the price five (5) days ahead
Performance Metrics: MSE (target). nRMSE and DS (to be used in the
analysis).
Participants are encouraged to use the forecast data, target variable and
performance metrics specified for this special issue, which are available
on the Web to those who submit a satisfactory abstract (including brief
biography) as outlined below. Participants are not be restricted regarding
the data used as inputs to their predictors. Especially interesting
original methods using other forecast data, target variables and
performance metrics will also be considered.
The forecast series is derived from daily closing prices for a financial
time series. The target variable is the relative difference in
percent (RDP) between today's closing price and the closing price
five (5) days ahead. The date, the underlying price series and the
target variable series are all provided in the downloadable data file.
The target metric is the MSE. Also, authors' analysis should include
the normalized RMSE (RMSE normalized using the standard deviation of
actual RDP values), and Directional Symmetry (percentage of correctly
predicted directions with respect to the target variable).
The forecast data provided is separated into in-sample (10 years of
daily data) and out-of-sample (2 years of daily data) sets. Participants
are not restricted regarding the data used as input to their predictors.
However, all data used should be disclosed in the paper presentaton,
including the details of all techniques and formulas used to pre-process
the data. Details on the predictor and the methods used for improving
generalization should be presented in the paper.
FORECAST HORIZON AND RE-TRAINING
Participants should test performance of their predictors over the entire
two-year out-of-sample dataset. Of interest are results of analyses and
performance of predictors over the entire two-year prediction period:
(1) without re-training and
(2) with re-training (optional).
The results from (1) and (2) can be useful for estimating the limits
of the forecasting horizon for the prediction methods presented.
For additional details on the forecast data, target variable and
performance metrics, see:
http://ourworld.compuserve.com/homepages/ftpub/call.htm
Suggested references for the topic include:
1) Abu-Mostafa, J.S. [1990] "Learning from hints in neural networks",
Journal of Complexity, 6, June, pp. 192.
2) Bishop C.M. [1995] Neural Networks for Pattern Recognition, Oxford
University Press.
3) Caldwell, R.B. (editor) [1997] Nonlinear Financial Forecasting:
Proceedings of the First INFFC, Finance & Technology Publishing.
4) Elder, John F. and Mark T. Finn [1991] "Creating `Optimally Complex`
Models for Forecasting," Financial Analysts Journal, Jan/Feb, pp. 73-79.
5) Swanson, N.R. and H. White [1995] "A Model Selection Approach to
Assessing the Information in the Term Structure Using Linear Models
and Artificial Neural Networks", Journal of Business and Economic
Statistics 13.
ABSTRACTS
Submit 150 to 300 word abstract including full name(s) and
affiliation(s) of the author(s), complete mailing address,
email address and telephone numbers of all authors. Authors
should provide a brief biographic sketch of themselves. Send
to either the postal or email addresses below:
Post:
Editors
JCIF
P.O. Box 764
Haymarket, VA 20168
USA
E-mail:
72672.261(a)compuserve.com
PAPERS
Submit three copies of each paper. Papers should be double-
spaced, single-sided. Authors should provide a brief
biographic sketch of themselves. Each copy submitted should
include a page that contains the title of the paper, the full
name(s) and affiliation(s) of the author(s), complete mailing
address, email address and telephone numbers of all authors,
and a 150 to 300 word abstract. The Journal reserves the right
to edit all material to meet space requirements and to make
grammatical and typographical corrections.
The final text should be 4000 to 5000 words in length,
containing no more than about 10 references, and be provided
as follows:
(1) Hardcopy: printed and double-spaced, with notations
for the location of graphics, mathematical equations, given
thereon, as necessary,
(2) Softcopy: The preferred media format is IBM PC 3.5", 1.44MB.
The preferred file format is Word 6/95/97 for Windows 3.1/95.
Other acceptable software files (in the IBM PC format) are the following:
Word/DOS 3.0 or later
Word/Mac 4.0 or later
Word/Win 2.0 through 7
WordPerfect 5.1 or later (for DOS or Windows 3.1/95).
Any standard ASCII text file format using the preferred
media format, including bracketed notations for
the locations of symbols, equations or other
non-ASCII characters.
Tex and LaTex may be used for the development and
generation of the hardcopy version of the
paper, provided that a softcopy version is also
submitted in any standard ASCII text file
format using the preferred media format,
including bracketed notations for citations and
for the locations of symbols, equations or
other non-ASCII characters.
GRAPHICS
The preferred graphics format is a Windows compatible format
(.pcx, .bmp, .wmf). For other graphics formats, submit high-quality,
camera-ready hardcopy.
TEXT CITATIONS AND REFERENCES
Papers should be limited to about 10 references. Encouraged are
references to peer-reviewed journals as well as to books.
Conference proceedings/compendiums are discouraged.
Text citations must use the following format: last name(s) of
author(s), publication date and suffix (as necessary) in
brackets. Example:
Watkins and McCoy [1993a]
References must be listed alphabetically by the last name of
the first author according to the following formats:
Journal Article: authors' names, publication date and
suffix (as necessary) in brackets, article title (in double
quotations), periodical title (in italics), volume and number,
pages cited.
Book: authors' names, publication date and suffix (as
necessary) in brackets, book title (in italics), publisher,
publisher location, pages cited.
Chapter in Book: authors' names, publication date and
suffix (as necessary) in brackets, chapter title (in double
quotations), editors' names, book title (in italics),
publisher, location, pages cited.
Send all manuscripts to the following postal address:
Editors
JCIF
P.O. Box 764
Haymarket, VA 20168
USA
***********************************************************************
C A L L F O R P A P E R S
***********************************************************************
------------------------------------------------------------------
Dr. Andrea Gaunersdorfer
Department of Business Administration
University of Vienna Tel.: +43-1-29 1 28-466
Bruenner Strasse 72 FAX: +43-1-29 1 28-464
A - 1210 Wien e-mail: gauner(a)finance2.bwl.univie.ac.at
http://www.bwl.univie.ac.at/bwl/fiwi1/members/gauner/gauner.htm
=========================================================================
Wirtschaftstheoretisches Forschungsseminar der Wiener Universit=E4ten
gemeinsam mit dem Institut f=FCr H=F6here Studien und der
National=F6konomischen Gesellschaft
13. M=E4rz 1997:
16.00 s.t.:
Georg KIRCHSTEIGER (Universit=E4t Wien)
"Theoretically Robust but Empirically Invalid? An Experimental
Investigation into Tax Equivalence"
17.30 s.t.:
Ernst FEHR (Universit=E4t Z=FCrich)
"Strategic Complementarity as a Source of Nominal Inertia"
Die Vortr=E4ge finden im H=F6rsaal II des Instituts f=FCr H=F6here Studien=
,
Stumpergasse 56, 1060 Wien, statt.
Das Seminar steht allen Interessierten offen. Insbesondere wird die
Teilnahme von fortgeschrittenen Studierenden begr=FC=DFt.
Die n=E4chsten Vortr=E4ge finden am 10. und 24. April 1997 statt.
Egbert Dierker
=========================================================================
SEMINAR IN FINANCE
Christian Helmenstein, Gabriel Lee
(Biweekly Mondays)
Monday, 24. February 1997
C. ZULEHNER
(IHS)
"Auction Theory"
Abstract:
The importance of auction theory has gained increased recognition
in the scientific community, the latest recognition being the
awarding of the Nobel price to Vickrey and Mirrlees. Auction theory
has been applied in quite different fields, both theoretically and
empirically. This paper provides a survey about the theoretical results.
Place: Institute for Advanced Studies, Stumpergasse 56, 1060 Vienna, HS II
Time: 17:00h-18:30h
Info: http://www.wsr.ac.at/ihs-html/fin/finsem.html
--
=========================================================================
EINLADUNG
zum Gastvortrag
Dr. Otto Waibel, Mitglied des Vorstandes
Vorarlberger Kraftwerke AG
Mi, 22.1.1997, 16:30 Uhr
S. 3006, Stiege 6; 4.OG, UZA III
Althanstrasse 39-45
A-1090 Wien
----------------------------------------------------------------------
Institut fuer Finanzierung und Finanzmaerkte
Univ. Prof. Dipl. Kfm. Dr. Otto Loistl
Althanstrasse 39-45, A-1090 Wien
Tel.: ++43-1-31336-4173, Fax: -761
@: otto.loistl(a)wu-wien.ac.at
=========================================================================
>From tatume(a)rider.wharton.upenn.edu Sun Mar 19 17:27:57 2000
Date: Thu, 16 Jan 1997 12:00:06 -0500
>From: Ed Tatum <tatume(a)rider.wharton.upenn.edu>
Organization: Financial Institutions Center
To: wwwor(a)mat.gsia.cmu.edu
Subject: PERFORMANCE OF FINANCIAL INSTITUTIONS
Status: RO
X-Status:
X-Keywords:
X-UID: 235
SECOND CALL FOR PAPERS
BACKGROUND INFORMATION:
While the efficiency of the capital markets is widely and extensively
studied, little has been done to study the efficiency of the
Institutions that operate in these markets. What are the forms of
efficiency or lack thereof of a financial Institution? What are the
drivers of performance that enhance or inhibit efficiency? These
issues have only recently been under the scrutiny of scholarly inquiry
motivated by the increased competitiveness with the globalization of the
financial markets and the increased use of information technology in
the delivery of financial services. Serious inroads have been made in
providing answers to these questions.
CONFERENCE FOCUS:
This interdisciplinary conference brings together scholars from around
the world in economics, finance, operations management, marketing and
other disciplines to describe and understand the performance of
financial institutions. The conference is tentatively structured as
follows:
Session 1: Institutional Efficiency: What Is It?
This session explores alternative notions of efficiency, including
productivity, profitability, and quality of the services delivered by
financial institutions.
Session 2: Institutional Efficiency: What Drives It?
Papers in this session explore the drivers of institution efficiency,
including scale and scope economies, technology, human resource
practices, etc.
Session 3: Efficiency of the Financial Intermediation Process: What Is
It?
This session defines alternative notions of efficiency of the financial
intermediation process, looking particularly at risk management,
asset-liability matching, and intertemporal smoothing of fund flows.
Session 4: Efficiency of the Financial Intermediation Process: What
Drives It?
Given the various notions of intermediation efficiency, this session
explores the characteristics of the market that limit the efficiency of
financial intermediaries, including regulation and institutional
structure.
Session 5: Innovations in Financial Services: Alternative Institutions
This session explores the impact of innovations in the structure of the
financial services market and the range of services offered to the
consumer, including the rise of mutual funds and other non-bank
competitors, on the efficiency of the financial system.
Session 6: Innovations in Financial Services: Alternative Channels
The rise of new distribution channels, enabled by technology, will be
considered in this session along with their impact on the efficiency of
institutions, the intermediation process and the end consumer.
Session 7: International Studies of Efficiency
Papers in this session study the efficiency, as described above, within
and between countries.
CONFERENCE DATE AND LOCATION:
The conference will be held May 8-10, 1997, at the Wharton School of the
University of Pennsylvania.
CONFERENCE ORGANIZERS:
Name: Dr. Patrick Harker
E-mail: harker(a)opim.wharton.upenn.edu
Postal: Financial Institutions Center, The Wharton School, 3301
Steinberg Hall-Dietrich Hall, University of Pennsylvania, Philadelphia,
PA 19104-6367, U.S.A.
Name: Dr. Stavros A. Zenios
E-mail: zenioss(a)atlas.pba.ucy.ac.cy
Postal: School of Economics and Management, University of Cyprus, 75
Kallipoleos Street, P.O. Box 537, CY 1678, Nicosia, CYPRUS
PAPER SUBMISSION PROCESS:
To participate, please send five copies of your article to the address
below no later than February 28, 1997. Authors of accepted articles will
be notified by March 15, 1997. If you have any questions, please feel
free to contact the organizers. Submit all manuscripts to:
All papers to be presented will be rigorously refereed and placed in an
edited volume to be published by Cambridge University Press. A select
group of papers will be invited to be published in a special issue of
Management Science.
CONTACT:
Submit all manuscripts to:
Postal: Performance of Financial Institutions, Financial Institutions
Center, The Wharton School, 434 Vance Hall, Philadelphia, PA 19104-6301,
U.S.A.
Please see our home page at
http://wrdsenet.wharton.upenn.edu/fic/wfic/new.html for further details.
This message was to the WWWOR mailing list (WWW and Operations
Research). Send postings to wwwor(a)mat.gsia.cmu.edu . Send
administrative requests to majordomo(a)mat.gsia.cmu.edu or use the web
interface at http://mat.gsia.cmu.edu/cgi-bin/lwgate/WWWOR/
------------------------------------------------------------------
Dr. Andrea Gaunersdorfer
Department of Business Administration
University of Vienna Tel.: +43-1-29 1 28-466
Bruenner Strasse 72 FAX: +43-1-29 1 28-464
A - 1210 Wien e-mail: gauner(a)finance2.bwl.univie.ac.at
=========================================================================
SEMINAR IN FINANCE
Christian Helmenstein, Gabriel Lee
(Biweekly Mondays)
Monday, 27. January 1997
Dusan M^ÐSZAROS
(ING Baring Securities - Bratislava)
On Efficiency and Anomalies of the Slovak Capital Market
Abstract:
In this paper I test for predictability of stock prices traded on
the Bratislava Stock Exchange and document some anomalies of
the Slovak capital market. Three of the five most liquid stocks
conform to a random walk, but both Slovak stock market indexes do not.
I show that 74 % of the securities have significant first lag
autocorrelation with a negative mean autocorrelation of -0.217.
The indexes exhibit daily seasonality: The average Monday return
is negative and significantly different from the average returns
of the rest of the week. The volatility of the stock returns is
largest over the weekend and the highest average daily turnover
is reported for Mondays. In the cross-sectional regression a model
with standard market beta explains only 33.8 % of the expected return.
However, a model with beta and natural logarithm of the firm size
explains 74.4 % of the expected returns.
Place: Institute for Advanced Studies, Stumpergasse 56, 1060 Vienna, SZ VI
Time: 17:00h-18:30h
Info: http://www.wsr.ac.at/ihs-html/fin/finsem.html
=========================================================================
EINLADUNG
zum Wirtschaftstheoretischen Forschungsseminar
der Wiener Universit=E4ten gemeinsam mit dem
Institut f=FCr H=F6here Studien und der National=F6konomischen Gesellschaf=
t
ACHTUNG!! =C4NDERUNG DER BEGINNZEITEN!
23. J=E4nner 1997:
17.30 Uhr: Birgit GRODAL (University Copenhagen)
"Clubs and the Market"
30. J=E4nner 1997: (Zus=E4tzlicher Termin)
16.00 Uhr: Robert WALDMANN (Eruopean University Institute Florenz)
"Demography and Growth"
17.30 Uhr: Manfred NEUMANN (Universit=E4t Bonn)
"Inflation=E4re Geldpolitik und Zentralbankverfassung:
eine positive Theorie"
Die Vortr=E4ge finden im Institut f=FCr H=F6here Studien, Stumpergasse 56,=
1060 Wien, H=F6rsaal II, statt.
Das Seminar steht allen Interessierten offen. Insbesondere wird die
Teilnahme von fortgeschrittenen Studierenden begruesst.
Der n=E4chste Vortrag findet am 13. M=E4rz 1997 statt.
Egbert Dierker
=========================================================================
Einladung
zum
Betriebswirtschaftlichen Forschungsseminar
des Institutes fuer Betriebswirtschaftslehre
der Universitaet Wien
A-1210 Wien, Bruennerstrasse 72
Donnerstag, 30. Jaenner 1997, 14:00
BWZ-Bruennerstrasse (Besprechungsraum
Nr. 156 - Lehrstuhl Professor Wagner)
Professor Dr. Lutz Hildebrandt
''Panelanalyse unbeobachtbarer
Einflussgroessen in der Erfolgsfaktorenforschung''-
=========================================================================
o. Univ.-Prof. Dr. Engelbert J. Dockner
o. Univ.-Prof. Dr. Josef Zechner
VSX WORKSHOP
!!! TERMIN"ANDERUNG !!!
Einladung
zum
Vortrag
von
Professor Julian Franks,
London Business School
mit dem Thema
''The Ownership and Control of German Corporations''
Aufgrund einer Terminkollision mit der Konferenz der Austrian Working
Group of Banking and Finance wird der Vortrag von Professor Franks
auf
Freitag, 17. Jaenner 1997, 10.00 - 11.30,
Seminarraum 1 des Betriebswirtschaftlichen Zentrums
der Universitaet Wien, Bruenner Strasse 72, 1210 Wien verschoben.
=========================================================================
------- Forwarded Message Follows -------
>From McClelland_R(a)dcgate.bls.gov Sun Mar 19 17:27:57 2000
>From: McClelland_R <McClelland_R(a)dcgate.bls.gov>
To: "'snde_l'" <snde_l(a)email.rutgers.edu>
Subject: SNDE_L FW: Artificial Stock Market working paper available
Date: Tue, 7 Jan 1997 10:03:29 -0500
Status: RO
X-Status:
X-Keywords:
X-UID: 229
****************************************************************
* To post a message, send it to OWNER-SNDE_L(a)EMAIL.RUTGERS.EDU *
* To leave the list, send the message UNSUBSCRIBE SNDE_L *
* to MAJORDOMO(a)EMAIL.RUTGERS.EDU *
* To resolve any problems, contact MCCLELLAND_R(a)BLS.GOV *
****************************************************************
----------
<bigger>
Asset Pricing Under Endogenous Expectations in an Artificial Stock
Market
by
W. B. Arthur, J. H. Holland, , B. LeBaron, R. G. Palmer, and P. Tayler
ABSTRACT:
We propose a theory of asset pricing based on heterogeneous agents
who continually adapt their expectations to the market that these
expectations aggregatively create. And we explore the implications of
this theory computationally using our Santa Fe artificial stock market.
Asset markets, we argue, have a recursive nature in that agents'
expectations are formed on the basis of their anticipations of
other agents' expectations, which precludes expectations being
formed by deductive means. Instead, traders continually
hypothesize (continually explore) expectational models, buy or sell
on the basis of those that perform best, and confirm or discard these
according to their performance. Thus, individual beliefs or expectations
become endogenous to the market, and constantly compete within an
ecology of others' beliefs or expectations. The ecology of beliefs
co-evolves over time.
Computer experiments with this endogenous-expectations market explain
one of the more striking puzzles in finance: that market traders often
believe in such concepts as technical trading, "market psychology,"
and bandwagon effects, while academic theorists believe in market
efficiency
and a lack of speculative opportunities. Both views, we show, are
correct, but within different regimes. Within a regime where investors
explore alternative expectational models at a low rate, the market
settles into the rational-expectations equilibrium of the
efficient-market
literature. Within a regime where the rate of exploration of
alternative
expectations is higher, the market self-organizes into a complex pattern.
It acquires a rich psychology, technical trading emerges, temporary
bubbles
and crashes occur, and asset prices and trading volume show statistical
features (in particular, GARCH behavior) characteristic of actual market
data.
Postscript is available at:
http://www.santafe.edu/sfi/publications/96wplist.html
Paper copies can be requested from:
wp(a)santafe.edu
(All authors are affiliated with the Santa Fe Institute where Arthur is
the
Citibank Professor. In addition, Holland is Professor of Computer
Science
and Engineering, University of Michigan, Ann Arbor; LeBaron is Associate
Professor of Economics, University of Wisconsin, Madison; Palmer is
Professor of Physics, Duke University; and Tayler is with the Dept. of
Computer Science, Brunel University, London.)
</bigger>
=========================================================================
VSX WORKSHOP
Einladung zum
Vortrag
von
Professor Julian Franks,
London Business School
mit dem Thema ueber
''The Ownership and Control of German Corporations''
am Freitag, 17. Jaenner 1997, 13.30 - 15.00 Uhr
im Hoersaal 4 des Betriebswirtschaftlichen Zentrums
der Universitaet Wien, Bruenner Strasse 72, 1210 Wien.
=========================================================================
Termine im J=E4nner 1997:
16. J=E4nner 1997:
16.00 Uhr:
Clemens PUPPE (Universit=E4t Wien)
"Valuing Diversity"
17.30 Uhr:
Kai-Uwe K=DCHN (CSIS, Barcelona)
"A Theory of Union Power and Labor Turnover"
23. J=E4nner 1997:
16.00 Uhr:
Robert WALDMANN (European University Institute Florenz)
Titel des Vortrags wird noch bekanntgegeben.
17.30 Uhr:
Birgit GRODAL (University Copenhagen)
"Clubs and the Market"
30. J=E4nner 1997: Zus=E4tzlicher Termin - Ge=E4nderte Beginnzeit!
17.15 Uhr:
Manfred NEUMANN (Universit=E4t Bonn)
"Inflation=E4re Geldpolitik und Zentralbankverfassung: eine positive
Theorie"
Die Vortr=E4ge finden im Institut f=FCr H=F6here Studien, Stumpergasse 56,=
1060 Wien, H=F6rsaal II, statt.
Egbert Dierker