VFN-L

vfn-l@fam.tuwien.ac.at

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1160 discussions

Wirtschaftstheoretisches Forschungsseminar
by Erika Ristl 19 Dec '96

19 Dec '96

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

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

10 Dec '96

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

10 Dec '96

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

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None
by Stefan Pichler 09 Dec '96

09 Dec '96

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

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Wirtschaftstheoretisches Forschungsseminar
by Erika Ristl 25 Nov '96

25 Nov '96

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

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None
by Elke PENDL 23 Nov '96

23 Nov '96

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

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

15 Nov '96

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Wirtschaftstheoretisches Forschungsseminar
by Erika Ristl 30 Oct '96

30 Oct '96

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

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Oekonometrisches FS
by Gertrude Scheiner 23 Oct '96

23 Oct '96

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

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None
by Elke PENDL 17 Oct '96

17 Oct '96

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

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Stellenausschreibung
by Peter Mitter 17 Oct '96

17 Oct '96

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

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None
by Elke PENDL 15 Oct '96

15 Oct '96

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by Elke PENDL 15 Oct '96

15 Oct '96

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

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None
by Elke PENDL 09 Oct '96

09 Oct '96

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

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Wirtschaftstheoretisches Forschungsseminar
by Erika Ristl 09 Oct '96

09 Oct '96

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

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SE Artificial Financial Life
by Hans Mitloehner 24 Sep '96

24 Sep '96

* Einladung zum Forschungsseminar * 3840 Janko/Otruba/Mitloehner: Artificial Financial Life SE 2, Tuesday 17.00-19.00, S. 2.19 (A), Begin October 8, 1996. Interdisciplinary research seminar in connection with the SFB Adaptive Information Systems and Modelling in Economics and Management Science. There are two areas of work planned for this term: Analysis package: participants develop analysis instruments for financial time series, based on selected literature. This group should consist of participants with economics and computer science background. The tools - based on well-documented economic and statistical concepts - will be employed in future work in SFB projects. Financial robot competition: financial agents created by the participants compete against each other on an artificial electronic market. These robots should employ some form of adaptive behaviour. We aim to explore how even a population of very simple agents can show complex dynamic behaviour. The programming language C++ will be used for implementations. In preparation for the work within the SFB the seminar language will be English. The participants will work on projects in small groups and present their work in the seminar. Well-documented projects and good presentation will earn the students a seminar certificate for the SBWL Informationswirtschaft or VWL. Organized by Leopold.Soegner(a)wu-wien.ac.at (Dep. of Economics/Prof. Otruba) and Johann.Mitloehner(a)wu-wien.ac.at (Dep. of Applied Computer Science/Prof. Janko) On the web as http://www.wu-wien.ac.at/usr/ai/mitloehn/se/w96 Auf Ihre Teilnahme freuen sich Leopold Soegner & Johann Mitloehner Johann.Mitloehner(a)wu-wien.ac.at, Abt. Angewandte Informatik A-1090 Wien, Augasse 2-6, Tel: (+431) 31336-5202, Fax: -739 http://www.wu-wien.ac.at/usr/ai/mitloehn

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None
by Elke PENDL 23 Sep '96

23 Sep '96

Einladung zum Betriebswirtschaftlichen Forschungsseminar am BWZ Prof. Thaleia Zariphopoulou University of Wisconsin, Madison, USA Market frictions and Derivative Pricing Abstract: In this talk, I will address the problem of pricing derivative securities in markets with frictions, namely transaction costs and stochastic volatility. The approach is based on utility maximization and not on replication arguments. The mathematical tools stem from the theory of stochastic control and nonlinear differential equations. Dienstag, 1. Oktober 1996, 14.15 Uhr, HS 8 BWZ Bruennerstrasse 72, 1210 Wien o. Prof. W. Schachermayer =========================================================================

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FW: Old working paper now published
by Andrea Gaunersdorfer 11 Sep '96

11 Sep '96

>From Blake Sun Mar 19 17:27:57 2000 >From: Blake LeBaron To: OWNER-SNDE_L Subject: Old working paper now published Date: Wednesday, September 04, 1996 4:26PM Status: RO X-Status: X-Keywords: X-UID: 272 This paper has been in circulation as a working paper for nearly 10 years, but it has finally come out: A Test for Independence Based on the Correlation Dimension, W. A. Brock, W. D. Dechert, J. A. Scheinkman, B. LeBaron Econometric Reviews 15(3), 197-235, 1996. ABSTRACT: This paper presents a test of independence that can be applied to the estimated residuals of any time series model that can be transformed into a model driven by independent and identically distributed errors. The first order asymptotic distribution of the test statistic is independent of estimation error provided that the parameters of the model under test can be estimated sqrt(N)-consistently. Because of this, our method can be used as a model selection tool and as a specification test. Widely used software written by Dechert and LeBaron can be used to implement the test. Also, this software is fast enough that the null distribution of our test statistic can be estimated with bootstrap methods. Our method can be viewed as a nonlinear analog of the Box-Pierce Q statistic used in ARIMA methods. (For software info check http://www.econ.wisc.edu/~blake.) Note: Also, of related interest is the paper in the same issue, Nuisance Parameter Free Properties of Correlation Integral Based Statistics, P. J. F. de Lima, Econometric Reviews 15(3), 237-259, 1996. =========================================================================

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Announcement: APSM Oesterreichische EU-Wahlen '96
by Gerhard Ortner 28 Jul '96

28 Jul '96

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

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

19 Jul '96

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

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Finance FS
by Gertrude Scheiner 26 Jun '96

26 Jun '96

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

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Gastvortrag Robert Schwartz
by Roland Dipplinger 20 Jun '96

20 Jun '96

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

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Oekonometrisches FS
by Gertrude Scheiner 13 Jun '96

13 Jun '96

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

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Einladung zu Vorträgen
by Martin Scheicher 11 Jun '96

11 Jun '96

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

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None
by Elke PENDL 07 Jun '96

07 Jun '96

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

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